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refactor(scripts): Global Sentiment on H1, M15, M5
This commit is contained in:
Toh4iem9
@@ -1,12 +1,12 @@
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//+------------------------------------------------------------------+
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//| Market_Scanner_Pro.mq5 |
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//| QuantScan 4.2 - Benchmark Exclusions |
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//| QuantScan 5.1 - Multi-TF Global Sentiment |
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//| Copyright 2026, xxxxxxxx |
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//+------------------------------------------------------------------+
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#property copyright "Copyright 2026, xxxxxxxx"
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#property version "4.20" // Logic update: Exclude Benchmarks from Stats
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#property description "Exports 'QuantScan 4.0' for LLM Analysis."
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#property description "Includes Trend, Volatility, Stats + Beta/Alpha metrics."
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#property version "5.10" // Global Sentiment on H1, M15, M5
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#property description "Exports 'QuantScan 5.0' for LLM Analysis."
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#property description "3-Layer Logic & Multi-TF Risk Sentiment."
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#property script_show_inputs
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//--- Include Custom Calculators
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@@ -35,9 +35,13 @@ input int InpScanHistory = 500;
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input group "Benchmark Settings"
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input int InpBetaLookback = 60;
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input group "Timeframes"
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input ENUM_TIMEFRAMES InpTFFast = PERIOD_M15;
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input ENUM_TIMEFRAMES InpTFSlow = PERIOD_H1;
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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input group "Timeframes (3-Layer Model)"
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input ENUM_TIMEFRAMES InpTFSlow = PERIOD_H1; // Layer 1: Context/Sentiment Base
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input ENUM_TIMEFRAMES InpTFMiddle = PERIOD_M15; // Layer 2: Flow/Session Sentiment
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input ENUM_TIMEFRAMES InpTFFast = PERIOD_M5; // Layer 3: Trigger/Shock Sentiment
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input group "Metric Settings"
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input int InpDSMAPeriod = 40;
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@@ -66,23 +70,27 @@ struct QuantData
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string symbol;
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double price;
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// --- H1 ---
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// --- Layer 1: H1 Context ---
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double trend_score;
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double trend_qual;
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string zone;
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// Strings for Stats to allow "BENCHMARK" text
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string rel_strength_str;
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string beta_str;
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string alpha_str;
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// --- M15 ---
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double momentum;
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double vol_qual;
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string squeeze;
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double z_score;
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double vola_regime;
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string tsi_dir;
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// --- Layer 2: M15 Flow ---
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double m15_momentum;
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double m15_vol_qual;
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string m15_squeeze;
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double m15_z_score;
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double m15_vola_regime;
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string m15_tsi_dir;
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// --- Layer 3: M5 Trigger ---
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double m5_momentum;
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double m5_vol_qual;
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string m5_tsi_dir;
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double m5_velocity;
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// --- Composites ---
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double rev_prob;
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@@ -94,31 +102,65 @@ struct QuantData
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//+------------------------------------------------------------------+
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bool IsForexPair(string sym)
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{
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// Safety: If symbol IS one of the benchmarks, we don't classify it as generic forex pair here
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if(sym == InpBenchmark || sym == InpForexBench)
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return false;
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if(StringFind(sym, "USD") != -1 || StringFind(sym, "EUR") != -1 ||
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StringFind(sym, "GBP") != -1 || StringFind(sym, "JPY") != -1 ||
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StringFind(sym, "CHF") != -1 || StringFind(sym, "AUD") != -1 ||
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StringFind(sym, "CAD") != -1 || StringFind(sym, "NZD") != -1 ||
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StringFind(sym, "XAU") != -1 || StringFind(sym, "XAG") != -1)
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StringFind(sym, "JPY") != -1 || StringFind(sym, "CHF") != -1 ||
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StringFind(sym, "AUD") != -1 || StringFind(sym, "CAD") != -1 || StringFind(sym, "NZD") != -1)
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{
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if(StringFind(sym, "XTI") != -1)
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return false;
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if(StringFind(sym, "UKO") != -1)
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return false;
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if(StringFind(sym, "USO") != -1)
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return false;
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if(StringFind(sym, "BTC") != -1)
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return false;
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if(StringFind(sym, "ETH") != -1)
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if(StringFind(sym, "XAU")!=-1 || StringFind(sym, "XTI")!=-1 || StringFind(sym, "WTI")!=-1 || StringFind(sym, "BTC")!=-1 || StringFind(sym, "ETH")!=-1)
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return false;
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return true;
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}
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return false;
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}
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//+------------------------------------------------------------------+
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//| Helper: Get Sentiment String for TF |
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//+------------------------------------------------------------------+
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string GetSentimentForTF(ENUM_TIMEFRAMES tf)
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{
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// Uses Last Closed Bar change vs Prev
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double u_close[2], d_close[2];
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// Fetch 2 bars. Index 0=Oldest (Prev), Index 1=Newest (Last Closed)
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// Note: If using FetchData logic (ArraySetAsSeries false), copy from end.
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// But CopyClose(..., 0, 2) returns: [0]=Bar 1 ago, [1]=Bar 0 (Current) ?
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// Docs: CopyClose(..., start_pos, count, buffer) -> start_pos relative to current.
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// start_pos=0 is current bar. start_pos=1 is closed bar.
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// Let's create array of 2 elements from start_pos=1 (last closed two candles).
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// So [0] = Bar 2, [1] = Bar 1.
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if(CopyClose(InpBenchmark, tf, 1, 2, u_close) != 2)
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return "N/A";
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if(CopyClose(InpForexBench, tf, 1, 2, d_close) != 2)
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return "N/A";
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double us500_chg = (u_close[1] - u_close[0]);
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double dxy_chg = (d_close[1] - d_close[0]);
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double us500_pct = (u_close[0]!=0) ? (us500_chg / u_close[0])*100 : 0;
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double dxy_pct = (d_close[0]!=0) ? (dxy_chg / d_close[0])*100 : 0;
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string state = "MIXED";
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if(dxy_chg < 0 && us500_chg > 0)
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state = "RISK-ON";
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else
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if(dxy_chg > 0 && us500_chg < 0)
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state = "RISK-OFF";
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else
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if(dxy_chg > 0 && us500_chg > 0)
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state = "STRESS";
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else
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if(dxy_chg < 0 && us500_chg < 0)
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state = "DEFLATION";
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// Format: "RISK-ON (S: +0.2% D: -0.1%)"
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string tf_name = EnumToString(tf);
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StringReplace(tf_name, "PERIOD_", "");
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return StringFormat("%s: %s (US:%.2f%% DX:%.2f%%)", tf_name, state, us500_pct, dxy_pct);
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}
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//+------------------------------------------------------------------+
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//| Script Start |
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//+------------------------------------------------------------------+
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@@ -141,14 +183,35 @@ void OnStart()
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total_symbols = StringSplit(InpSymbolList, u_sep, symbols);
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}
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double bench_change_pct = 0.0;
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bool bench_global_ready = SymbolSelect(InpBenchmark, true);
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bool bench_forex_ready = SymbolSelect(InpForexBench, true);
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// --- Global Sentiment Analysis (Multi-TF) ---
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string sentiment_line = "### GLOBAL_SENTIMENT | ";
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if(!bench_global_ready)
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Print("Warning: Global Benchmark '", InpBenchmark, "' not found.");
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if(!bench_forex_ready)
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Print("Warning: Forex Benchmark '", InpForexBench, "' not found.");
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bool has_us500 = SymbolSelect(InpBenchmark, true);
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bool has_dxy = SymbolSelect(InpForexBench, true);
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if(has_us500 && has_dxy)
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{
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string s1 = GetSentimentForTF(InpTFSlow);
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string s2 = GetSentimentForTF(InpTFMiddle);
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string s3 = GetSentimentForTF(InpTFFast);
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sentiment_line += s1 + " | " + s2 + " | " + s3 + " ###";
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}
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else
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{
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sentiment_line += "Benchmarks Missing (Check High/Low settings) ###";
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}
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// --- Benchmark for RS (H1 Context) ---
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double bench_change_pct = 0.0;
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if(has_us500)
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{
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double b_close[], b_open[];
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// Using H1 for RS base
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if(CopyClose(InpBenchmark, InpTFSlow, 1, 1, b_close) > 0 && CopyOpen(InpBenchmark, InpTFSlow, InpRSBars, 1, b_open) > 0)
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if(b_open[0] != 0)
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bench_change_pct = ((b_close[0] - b_open[0]) / b_open[0]) * 100.0;
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}
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string filename = "QuantScan_" + TimeToString(TimeCurrent(), TIME_DATE|TIME_MINUTES) + ".csv";
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StringReplace(filename, ":", "");
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@@ -158,10 +221,15 @@ void OnStart()
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if(file_handle == INVALID_HANDLE)
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return;
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// --- DYNAMIC HEADER GENERATION ---
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// --- WRITE HEADER ---
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FileWrite(file_handle, sentiment_line);
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// --- DYNAMIC COLUMNS ---
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string str_slow = EnumToString(InpTFSlow);
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string str_fast = EnumToString(InpTFFast);
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StringReplace(str_slow, "PERIOD_", "");
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string str_mid = EnumToString(InpTFMiddle);
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StringReplace(str_mid, "PERIOD_", "");
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string str_fast = EnumToString(InpTFFast);
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StringReplace(str_fast, "PERIOD_", "");
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string header = "";
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@@ -169,7 +237,7 @@ void OnStart()
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header += "SYMBOL;";
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header += "PRICE;";
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// Context (Slow)
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// Layer 1
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header += StringFormat("TREND_SCORE_%s;", str_slow);
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header += StringFormat("TREND_QUAL_%s;", str_slow);
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header += StringFormat("ZONE_%s;", str_slow);
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@@ -177,13 +245,19 @@ void OnStart()
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header += StringFormat("BETA_%s;", str_slow);
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header += StringFormat("ALPHA_%s;", str_slow);
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// Trigger (Fast)
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// Layer 2
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header += StringFormat("MOMENTUM_%s;", str_mid);
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header += StringFormat("VOL_QUAL_%s;", str_mid);
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header += StringFormat("SQUEEZE_%s;", str_mid);
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header += StringFormat("Z_SCORE_%s;", str_mid);
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header += StringFormat("VOL_REGIME_%s;", str_mid);
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header += StringFormat("TSI_DIR_%s;", str_mid);
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// Layer 3
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header += StringFormat("MOMENTUM_%s;", str_fast);
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header += StringFormat("VOL_QUAL_%s;", str_fast);
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header += StringFormat("SQUEEZE_%s;", str_fast);
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header += StringFormat("Z_SCORE_%s;", str_fast);
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header += StringFormat("VOL_REGIME_%s;", str_fast);
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header += StringFormat("TSI_DIR_%s;", str_fast);
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header += StringFormat("VELOCITY_%s;", str_fast);
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// Composites
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header += "REVERSION_PROB;";
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@@ -201,25 +275,32 @@ void OnStart()
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QuantData data;
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ZeroMemory(data);
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if(RunQuantAnalysis(sym, data))
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if(RunQuantAnalysis(sym, bench_change_pct, data))
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{
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// Note: Strings used for stats
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FileWrite(file_handle,
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data.timestamp,
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data.symbol,
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DoubleToString(data.price, (int)SymbolInfoInteger(sym, SYMBOL_DIGITS)),
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// Layer 1
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DoubleToString(data.trend_score, 2),
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DoubleToString(data.trend_qual, 2),
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data.zone,
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data.rel_strength_str,
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data.beta_str,
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data.alpha_str,
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DoubleToString(data.momentum, 2),
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DoubleToString(data.vol_qual, 2),
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data.squeeze,
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DoubleToString(data.z_score, 2),
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DoubleToString(data.vola_regime, 2),
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data.tsi_dir,
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// Layer 2
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DoubleToString(data.m15_momentum, 2),
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DoubleToString(data.m15_vol_qual, 2),
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data.m15_squeeze,
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DoubleToString(data.m15_z_score, 2),
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DoubleToString(data.m15_vola_regime, 2),
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data.m15_tsi_dir,
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// Layer 3
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DoubleToString(data.m5_momentum, 2),
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DoubleToString(data.m5_vol_qual, 2),
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data.m5_tsi_dir,
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DoubleToString(data.m5_velocity, 2),
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// Composites
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DoubleToString(data.rev_prob, 0) + "%",
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data.absorption
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);
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@@ -232,7 +313,7 @@ void OnStart()
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//+------------------------------------------------------------------+
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//| Core Logic |
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//+------------------------------------------------------------------+
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bool RunQuantAnalysis(string sym, QuantData &data)
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bool RunQuantAnalysis(string sym, double bench_change, QuantData &data)
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{
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data.timestamp = TimeToString(TimeCurrent(), TIME_DATE|TIME_MINUTES);
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StringReplace(data.timestamp, ".", ".");
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@@ -240,30 +321,29 @@ bool RunQuantAnalysis(string sym, QuantData &data)
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data.price = SymbolInfoDouble(sym, SYMBOL_BID);
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// =================================================================
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// PHASE 1: H1 CONTEXT
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// LAYER 1: CONTEXT (H1)
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// =================================================================
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double h1_o[], h1_h[], h1_l[], h1_c[];
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long h1_v[];
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datetime h1_t[];
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if(!FetchData(sym, InpTFSlow, InpScanHistory, h1_t, h1_o, h1_h, h1_l, h1_c, h1_v))
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double slow_o[], slow_h[], slow_l[], slow_c[];
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long slow_v[];
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datetime slow_t[];
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if(!FetchData(sym, InpTFSlow, InpScanHistory, slow_t, slow_o, slow_h, slow_l, slow_c, slow_v))
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return false;
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double h1_atr = Calc_ATR(h1_o, h1_h, h1_l, h1_c, InpATRPeriod);
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if(h1_atr == 0)
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double slow_atr = Calc_ATR(slow_o, slow_h, slow_l, slow_c, InpATRPeriod);
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if(slow_atr == 0)
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return false;
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data.trend_score = Calc_DSMA_Score(h1_o, h1_h, h1_l, h1_c, h1_atr);
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data.trend_qual = Calc_ER(h1_o, h1_h, h1_l, h1_c, InpERPeriod);
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data.trend_score = Calc_DSMA_Score(slow_o, slow_h, slow_l, slow_c, slow_atr);
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data.trend_qual = Calc_ER(slow_o, slow_h, slow_l, slow_c, InpERPeriod);
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data.zone = Calc_MurreyZone(sym, InpTFSlow);
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// --- BETA / ALPHA Calculation (With Exclusion Logic) ---
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// Benchmark Stats (Beta/Alpha)
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bool is_benchmark = (sym == InpBenchmark || sym == InpForexBench);
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if(is_benchmark)
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{
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data.rel_strength_str = "BENCHMARK";
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data.beta_str = "1.00";
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data.alpha_str = "0.00";
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data.rel_strength_str="BENCH";
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data.beta_str="1.0";
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data.alpha_str="0.0";
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}
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else
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{
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@@ -276,26 +356,23 @@ bool RunQuantAnalysis(string sym, QuantData &data)
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{
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CMathStatisticsCalculator stats;
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double asset_ret[], bench_ret[];
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int h1_size = ArraySize(h1_c);
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double asset_subset[];
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ArrayResize(asset_subset, InpBetaLookback);
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double bench_subset[];
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ArrayResize(bench_subset, InpBetaLookback);
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int size = ArraySize(slow_c);
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double asset_sub[], bench_sub[];
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ArrayResize(asset_sub, InpBetaLookback);
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ArrayResize(bench_sub, InpBetaLookback);
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for(int k=0; k<InpBetaLookback; k++)
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{
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asset_subset[k] = h1_c[h1_size - InpBetaLookback + k];
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bench_subset[k] = bench_c[ArraySize(bench_c) - InpBetaLookback + k];
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asset_sub[k] = slow_c[size - InpBetaLookback + k];
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bench_sub[k] = bench_c[ArraySize(bench_c) - InpBetaLookback + k];
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}
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stats.ComputeReturns(asset_subset, asset_ret);
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stats.ComputeReturns(bench_subset, bench_ret);
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stats.ComputeReturns(asset_sub, asset_ret);
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stats.ComputeReturns(bench_sub, bench_ret);
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double beta_val = stats.CalculateBeta(asset_ret, bench_ret);
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double a_tot = (asset_subset[InpBetaLookback-1] - asset_subset[0]) / asset_subset[0];
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double b_tot = (bench_subset[InpBetaLookback-1] - bench_subset[0]) / bench_subset[0];
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double a_tot = (asset_sub[InpBetaLookback-1] - asset_sub[0]) / asset_sub[0];
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double b_tot = (bench_sub[InpBetaLookback-1] - bench_sub[0]) / bench_sub[0];
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double alpha_val = stats.CalculateAlpha(a_tot, b_tot, beta_val);
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double rel_val = (a_tot - b_tot) * 100.0;
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@@ -312,54 +389,69 @@ bool RunQuantAnalysis(string sym, QuantData &data)
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}
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// =================================================================
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// PHASE 2: M15 TRIGGER
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// LAYER 2: FLOW (M15 - Renamed from Trigger)
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// =================================================================
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double m15_o[], m15_h[], m15_l[], m15_c[];
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long m15_v[];
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datetime m15_t[];
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if(!FetchData(sym, InpTFFast, InpScanHistory, m15_t, m15_o, m15_h, m15_l, m15_c, m15_v))
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double mid_o[], mid_h[], mid_l[], mid_c[];
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long mid_v[];
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datetime mid_t[];
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if(!FetchData(sym, InpTFMiddle, InpScanHistory, mid_t, mid_o, mid_h, mid_l, mid_c, mid_v))
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return false;
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double m15_atr = Calc_ATR(m15_o, m15_h, m15_l, m15_c, InpATRPeriod);
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double mid_atr = Calc_ATR(mid_o, mid_h, mid_l, mid_c, InpATRPeriod);
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||||
|
||||
data.momentum = Calc_LaguerreRSI(m15_o, m15_h, m15_l, m15_c);
|
||||
data.vol_qual = Calc_RVOL(m15_v, InpRVOLPeriod);
|
||||
data.squeeze = Calc_Squeeze(sym, InpTFFast, m15_o, m15_h, m15_l, m15_c);
|
||||
data.z_score = Calc_ZScore(m15_o, m15_h, m15_l, m15_c, InpZScorePeriod);
|
||||
data.m15_momentum = Calc_LaguerreRSI(mid_o, mid_h, mid_l, mid_c);
|
||||
data.m15_vol_qual = Calc_RVOL(mid_v, InpRVOLPeriod);
|
||||
data.m15_squeeze = Calc_Squeeze(sym, InpTFMiddle, mid_o, mid_h, mid_l, mid_c);
|
||||
data.m15_z_score = Calc_ZScore(mid_o, mid_h, mid_l, mid_c, InpZScorePeriod);
|
||||
|
||||
double atr_fast = Calc_ATR(m15_o, m15_h, m15_l, m15_c, 5);
|
||||
double atr_slow = Calc_ATR(m15_o, m15_h, m15_l, m15_c, 50);
|
||||
if(atr_slow != 0)
|
||||
data.vola_regime = atr_fast / atr_slow;
|
||||
else
|
||||
data.vola_regime = 1.0;
|
||||
double mid_atr_f = Calc_ATR(mid_o, mid_h, mid_l, mid_c, 5);
|
||||
double mid_atr_s = Calc_ATR(mid_o, mid_h, mid_l, mid_c, 50);
|
||||
data.m15_vola_regime = (mid_atr_s!=0) ? mid_atr_f/mid_atr_s : 1.0;
|
||||
|
||||
Calc_TSI_Dir(m15_o, m15_h, m15_l, m15_c, data.tsi_dir);
|
||||
Calc_TSI_Dir(mid_o, mid_h, mid_l, mid_c, data.m15_tsi_dir);
|
||||
|
||||
// =================================================================
|
||||
// PHASE 3: COMPOSITE METRICS
|
||||
// LAYER 3: TRIGGER (M5 - NEW)
|
||||
// =================================================================
|
||||
double fast_o[], fast_h[], fast_l[], fast_c[];
|
||||
long fast_v[];
|
||||
datetime fast_t[];
|
||||
if(!FetchData(sym, InpTFFast, 300, fast_t, fast_o, fast_h, fast_l, fast_c, fast_v))
|
||||
return false;
|
||||
|
||||
double fast_atr = Calc_ATR(fast_o, fast_h, fast_l, fast_c, InpATRPeriod);
|
||||
|
||||
data.m5_momentum = Calc_LaguerreRSI(fast_o, fast_h, fast_l, fast_c);
|
||||
data.m5_vol_qual = Calc_RVOL(fast_v, InpRVOLPeriod);
|
||||
Calc_TSI_Dir(fast_o, fast_h, fast_l, fast_c, data.m5_tsi_dir);
|
||||
data.m5_velocity = Calc_Velocity(fast_c, fast_atr, 3);
|
||||
|
||||
// =================================================================
|
||||
// COMPOSITES
|
||||
// =================================================================
|
||||
// Rev Prob based on Flow (M15)
|
||||
double score = 0;
|
||||
if(MathAbs(data.z_score) > 3.0)
|
||||
if(MathAbs(data.m15_z_score) > 3.0)
|
||||
score += 40;
|
||||
else
|
||||
if(MathAbs(data.z_score) > 2.0)
|
||||
if(MathAbs(data.m15_z_score) > 2.0)
|
||||
score += 20;
|
||||
if(StringFind(data.zone, "Extreme") >= 0)
|
||||
score += 30;
|
||||
if(data.momentum > 0.90 || data.momentum < 0.10)
|
||||
if(data.m15_momentum > 0.90 || data.m15_momentum < 0.10)
|
||||
score += 30;
|
||||
data.rev_prob = score;
|
||||
|
||||
int idx_cl = ArraySize(m15_c) - 2;
|
||||
if(idx_cl >= 0 && m15_atr > 0)
|
||||
// Absorption based on Flow (M15) or Trig (M5)? Standard is Flow due to volume significance.
|
||||
// Let's stick to M15 for Absorption to filter M5 noise.
|
||||
int idx_cl = ArraySize(mid_c) - 2;
|
||||
if(idx_cl >= 0 && mid_atr > 0)
|
||||
{
|
||||
double body = MathAbs(m15_c[idx_cl] - m15_o[idx_cl]);
|
||||
CRelativeVolumeCalculator rv_calc;
|
||||
rv_calc.Init(InpRVOLPeriod);
|
||||
double bar_rvol = rv_calc.CalculateSingle(ArraySize(m15_v), m15_v, idx_cl);
|
||||
|
||||
if(bar_rvol > 2.0 && body < (0.4 * m15_atr))
|
||||
double body = MathAbs(mid_c[idx_cl] - mid_o[idx_cl]);
|
||||
CRelativeVolumeCalculator rv;
|
||||
rv.Init(InpRVOLPeriod);
|
||||
double bar_rvol = rv.CalculateSingle(ArraySize(mid_v), mid_v, idx_cl);
|
||||
if(bar_rvol > 2.0 && body < (0.4 * mid_atr))
|
||||
data.absorption = "YES";
|
||||
else
|
||||
data.absorption = "NO";
|
||||
@@ -370,6 +462,28 @@ bool RunQuantAnalysis(string sym, QuantData &data)
|
||||
return true;
|
||||
}
|
||||
|
||||
//+------------------------------------------------------------------+
|
||||
//| Velocity Calculation |
|
||||
//+------------------------------------------------------------------+
|
||||
double Calc_Velocity(const double &close[], double atr, int period)
|
||||
{
|
||||
if(atr == 0)
|
||||
return 0;
|
||||
int total = ArraySize(close);
|
||||
if(total <= period+2)
|
||||
return 0;
|
||||
|
||||
double sum_move = 0;
|
||||
for(int i=0; i<period; i++)
|
||||
{
|
||||
// [Total-2] is last closed.
|
||||
sum_move += MathAbs(close[total-2-i] - close[total-3-i]);
|
||||
}
|
||||
double avg_move = sum_move / period;
|
||||
|
||||
return avg_move / atr;
|
||||
}
|
||||
|
||||
//+------------------------------------------------------------------+
|
||||
//| HELPERS / WRAPPERS |
|
||||
//+------------------------------------------------------------------+
|
||||
@@ -545,4 +659,3 @@ string Calc_MurreyZone(string symbol, ENUM_TIMEFRAMES tf)
|
||||
return "7/8-8/8 (Top)";
|
||||
}
|
||||
//+------------------------------------------------------------------+
|
||||
//+------------------------------------------------------------------+
|
||||
|
||||
Reference in New Issue
Block a user