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Toh4iem9
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//+------------------------------------------------------------------+
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//| Correlation_ZScore_Pro.mq5 |
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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 "1.00"
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#property description "Correlation Breakdown Z-Score."
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#property description "Measures statistical deviation of current correlation vs history."
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#property indicator_separate_window
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#property indicator_buffers 3
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#property indicator_plots 1
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// Levels
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#property indicator_level2 2.0
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#property indicator_level3 -2.0
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#property indicator_levelcolor clrSilver
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#property indicator_levelstyle STYLE_DOT
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// Plot: Z-Score Histogram
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#property indicator_label1 "Correl Z"
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#property indicator_type1 DRAW_COLOR_HISTOGRAM
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// Colors: Normal(Gray), Warning(Orange), Breakdown(Red)
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#property indicator_color1 clrGray, clrOrange, clrRed
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#property indicator_style1 STYLE_SOLID
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#property indicator_width1 2
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#include <MyIncludes\MathStatistics_Calculator.mqh>
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//--- Parameters
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input int InpCorrPeriod = 20; // Short Correlation Window
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input int InpZScorePeriod = 100; // Baseline Window (Mean/StdDev)
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input string InpBenchmark = "US500"; // Global Bench
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input string InpForexBench = "DX"; // Forex Bench
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//--- Buffers
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double BufZ[];
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double BufColors[];
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double BufRho[]; // Internal: Raw Correlation
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CMathStatisticsCalculator *g_stats;
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string g_bench_symbol;
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//+------------------------------------------------------------------+
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//| Init |
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//+------------------------------------------------------------------+
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int OnInit()
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{
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SetIndexBuffer(0, BufZ, INDICATOR_DATA);
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SetIndexBuffer(1, BufColors, INDICATOR_COLOR_INDEX);
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SetIndexBuffer(2, BufRho, INDICATOR_CALCULATIONS);
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g_stats = new CMathStatisticsCalculator();
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// Auto-Detect Bench
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bool is_forex = IsForexPair(_Symbol);
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g_bench_symbol = is_forex ? InpForexBench : InpBenchmark;
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if(_Symbol == g_bench_symbol || !SymbolSelect(g_bench_symbol, true))
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{
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Print("CorrelZ Error: Benchmark invalid.");
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return INIT_FAILED;
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}
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string name = StringFormat("CorrelZ(%d/%d) vs %s", InpCorrPeriod, InpZScorePeriod, g_bench_symbol);
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IndicatorSetString(INDICATOR_SHORTNAME, name);
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IndicatorSetInteger(INDICATOR_DIGITS, 2);
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return(INIT_SUCCEEDED);
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}
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void OnDeinit(const int r) { if(CheckPointer(g_stats)==POINTER_DYNAMIC) delete g_stats; }
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//+------------------------------------------------------------------+
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//| Calculate |
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//+------------------------------------------------------------------+
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int OnCalculate(const int rates_total,
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const int prev_calculated,
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const datetime &time[],
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const double &open[],
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const double &high[],
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const double &low[],
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const double &close[],
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const long &tick_volume[],
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const long &volume[],
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const int &spread[])
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{
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int lookback = InpCorrPeriod;
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if(rates_total < lookback + InpZScorePeriod + 5)
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return 0;
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// 1. Calculate Raw Moving Correlation (Rho)
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// Optimization: Start from specific point
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int start = (prev_calculated > lookback) ? prev_calculated - 1 : lookback;
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// Calculate Rho
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for(int i = start; i < rates_total; i++)
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{
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double asset_sub[], bench_sub[];
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ArrayResize(asset_sub, lookback);
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ArrayResize(bench_sub, lookback);
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bool data_ok = true;
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for(int k=0; k<lookback; k++)
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{
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int idx = i - lookback + 1 + k;
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asset_sub[k] = close[idx]; // Asset Price
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datetime t = time[idx];
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int b_idx = iBarShift(g_bench_symbol, Period(), t, false);
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if(b_idx < 0)
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{
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data_ok=false;
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break;
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}
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double vals[1];
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if(CopyClose(g_bench_symbol, Period(), b_idx, 1, vals)<=0)
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{
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data_ok=false;
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break;
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}
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bench_sub[k] = vals[0]; // Bench Price
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}
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if(data_ok)
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{
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double a_ret[], b_ret[];
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g_stats.ComputeReturns(asset_sub, a_ret);
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g_stats.ComputeReturns(bench_sub, b_ret);
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BufRho[i] = g_stats.CalculateCorrelation(a_ret, b_ret);
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}
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else
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{
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BufRho[i] = 0; // Or previous
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}
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}
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// 2. Calculate Z-Score of Rho
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// We need N periods of Rho history
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int z_start = MathMax(start, lookback + InpZScorePeriod);
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for(int i = z_start; i < rates_total; i++)
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{
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// Calculate Mean and StdDev of BufRho over InpZScorePeriod ending at i
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double sum=0, sum_sq=0;
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for(int k=0; k<InpZScorePeriod; k++)
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{
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double val = BufRho[i-k];
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sum += val;
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sum_sq += val*val;
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}
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double mean = sum / InpZScorePeriod;
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double var = (sum_sq - (sum*sum)/InpZScorePeriod) / InpZScorePeriod; // Pop var approx
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double std = MathSqrt(var);
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if(std > 1.0e-9)
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BufZ[i] = (BufRho[i] - mean) / std;
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else
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BufZ[i] = 0.0;
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// Coloring
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double z = BufZ[i];
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if(z > 2.0 || z < -2.0)
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BufColors[i] = 2.0; // Red (Breakdown/Anomaly)
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else
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if(z > 1.5 || z < -1.5)
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BufColors[i] = 1.0; // Orange (Warning)
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else
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BufColors[i] = 0.0; // Gray (Normal)
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}
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return(rates_total);
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}
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//+------------------------------------------------------------------+
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//| |
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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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{
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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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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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//+------------------------------------------------------------------+
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