new files added

2026-07-27 20:47:44 +00:00 · 2026-02-14 18:56:01 +01:00
parent ddf8eec995
commit f63a04d3ec
1 changed files with 153 additions and 0 deletions
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+//+------------------------------------------------------------------+
+//|                                   Autocorrelation_Calculator.mqh |
+//|      Engine for Lag-1 Serial Correlation.                        |
+//|      VERSION 2.00: Integrated Price Preparation.                 |
+//|                                        Copyright 2026, xxxxxxxx  |
+//+------------------------------------------------------------------+
+#property copyright "Copyright 2026, xxxxxxxx"
+
+#include <MyIncludes\MathStatistics_Calculator.mqh>
+
+//+------------------------------------------------------------------+
+//|                                                                  |
+//+------------------------------------------------------------------+
+class CAutocorrelationCalculator
+  {
+protected:
+   int               m_period;
+   CMathStatisticsCalculator m_stats;
+
+   // Buffers
+   double            m_price[];
+   double            m_returns[];
+
+   virtual bool      PreparePriceSeries(int rates_total, int start_index, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[]);
+   void              PrepareReturns(int rates_total, int start_index);
+
+public:
+                     CAutocorrelationCalculator() : m_period(20) {};
+                    ~CAutocorrelationCalculator() {};
+
+   bool              Init(int period);
+
+   // Updated Signature
+   void              Calculate(int rates_total, int prev_calculated, ENUM_APPLIED_PRICE price_type,
+                               const double &open[], const double &high[], const double &low[], const double &close[],
+                               double &out_ac[]);
+  };
+
+//+------------------------------------------------------------------+
+//| Init                                                             |
+//+------------------------------------------------------------------+
+bool CAutocorrelationCalculator::Init(int period)
+  {
+   m_period = (period < 5) ? 5 : period;
+   return true;
+  }
+
+//+------------------------------------------------------------------+
+//| Calculate                                                        |
+//+------------------------------------------------------------------+
+void CAutocorrelationCalculator::Calculate(int rates_total, int prev_calculated, ENUM_APPLIED_PRICE price_type,
+      const double &open[], const double &high[], const double &low[], const double &close[],
+      double &out_ac[])
+  {
+   if(rates_total < m_period + 2)
+      return;
+
+   if(ArraySize(m_price) != rates_total)
+     {
+      ArrayResize(m_price, rates_total);
+      ArrayResize(m_returns, rates_total);
+     }
+
+   int start_prep = (prev_calculated > 0) ? prev_calculated - 1 : 0;
+
+// 1. Prepare Price
+   if(!PreparePriceSeries(rates_total, start_prep, price_type, open, high, low, close))
+      return;
+
+// 2. Prepare Returns
+   PrepareReturns(rates_total, start_prep);
+
+// 3. Rolling Correlation
+   int start_calc = (prev_calculated > m_period) ? prev_calculated - 1 : m_period + 1;
+
+   double vec_x[], vec_y[];
+   ArrayResize(vec_x, m_period);
+   ArrayResize(vec_y, m_period);
+
+   for(int i = start_calc; i < rates_total; i++)
+     {
+      for(int k = 0; k < m_period; k++)
+        {
+         int idx = i - m_period + 1 + k;
+         if(idx <= 0)
+           {
+            vec_x[k]=0;
+            vec_y[k]=0;
+            continue;
+           }
+         vec_x[k] = m_returns[idx];     // r(t)
+         vec_y[k] = m_returns[idx - 1]; // r(t-1)
+        }
+      out_ac[i] = m_stats.CalculateCorrelation(vec_x, vec_y);
+     }
+  }
+
+//+------------------------------------------------------------------+
+//| Prepare Price                                                    |
+//+------------------------------------------------------------------+
+bool CAutocorrelationCalculator::PreparePriceSeries(int rates_total, int start_index, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[])
+  {
+   for(int i = start_index; i < rates_total; i++)
+     {
+      switch(price_type)
+        {
+         case PRICE_CLOSE:
+            m_price[i]=close[i];
+            break;
+         case PRICE_OPEN:
+            m_price[i]=open[i];
+            break;
+         case PRICE_HIGH:
+            m_price[i]=high[i];
+            break;
+         case PRICE_LOW:
+            m_price[i]=low[i];
+            break;
+         case PRICE_MEDIAN:
+            m_price[i]=(high[i]+low[i])/2;
+            break;
+         case PRICE_TYPICAL:
+            m_price[i]=(high[i]+low[i]+close[i])/3;
+            break;
+         case PRICE_WEIGHTED:
+            m_price[i]=(high[i]+low[i]+2*close[i])/4;
+            break;
+         default:
+            m_price[i]=close[i];
+            break;
+        }
+     }
+   return true;
+  }
+
+//+------------------------------------------------------------------+
+//| Prepare Returns                                                  |
+//+------------------------------------------------------------------+
+void CAutocorrelationCalculator::PrepareReturns(int rates_total, int start_index)
+  {
+   int i = (start_index < 1) ? 1 : start_index;
+   if(start_index == 0)
+      m_returns[0] = 0.0;
+
+   for(; i < rates_total; i++)
+     {
+      if(m_price[i-1] != 0)
+         m_returns[i] = MathLog(m_price[i] / m_price[i-1]); // Log Return
+      else
+         m_returns[i] = 0.0;
+     }
+  }
+//+------------------------------------------------------------------+