gavindiaz/mql5
1
0
Fork 0
mirror of https://github.com/softwaredevelop/mql5.git synced 2026-07-27 20:47:44 +00:00
Code Issues Packages Projects Releases Wiki Activity

refactor(scripts): Re-added Dynamic Header logic

Browse Source
This commit is contained in:
Toh4iem9
2026-02-05 20:17:55 +01:00
parent 88b748ed8c
commit fb3423bfed
1 changed files with 108 additions and 77 deletions
Download Patch File Download Diff File Expand all files Collapse all files
Scripts/MyScripts/Market_Scanner_Pro.mq5
+108 -77
View File
@@ -1,15 +1,15 @@
//+------------------------------------------------------------------+
//| Market_Scanner_Pro.mq5 |
//| QuantScan 3.2 - Dynamic Headers |
//| QuantScan 4.1 - Header Fix |
//| Copyright 2026, xxxxxxxx |
//+------------------------------------------------------------------+
#property copyright "Copyright 2026, xxxxxxxx"
#property version "3.40" // Dynamic CSV Header (Timeframes)
#property description "Exports 'QuantScan 3.0' dataset for LLM Analysis."
#property description "Includes Relative Strength and Institutional Metrics."
#property version "4.10" // Re-added Dynamic Header logic
#property description "Exports 'QuantScan 4.0' for LLM Analysis."
#property description "Includes Trend, Volatility, Stats + Beta/Alpha metrics."
#property script_show_inputs
//--- Include ALL Custom Calculators
//--- Include Custom Calculators
#include <MyIncludes\DSMA_Calculator.mqh>
#include <MyIncludes\VWAP_Calculator.mqh>
#include <MyIncludes\Laguerre_RSI_Calculator.mqh>
@@ -18,7 +18,7 @@
#include <MyIncludes\ATR_Calculator.mqh>
#include <MyIncludes\Bollinger_Bands_Calculator.mqh>
#include <MyIncludes\KeltnerChannel_Calculator.mqh>
// NEW Integrations:
#include <MyIncludes\MathStatistics_Calculator.mqh>
#include <MyIncludes\ZScore_Calculator.mqh>
#include <MyIncludes\EfficiencyRatio_Calculator.mqh>
#include <MyIncludes\RelativeVolume_Calculator.mqh>
@@ -28,9 +28,13 @@ input group "Scanner Config"
input bool InpUseMarketWatch = false;
input string InpSymbolList = "EURUSD,USDJPY,GBPUSD,USDCHF,AUDUSD,XAUUSD,US500,DE40,XTIUSD,ETHUSD";
input string InpBenchmark = "US500";
input string InpForexBench = "DX";
input string InpBrokerTimeZone = "EET (UTC+2)";
input int InpScanHistory = 500;
input group "Benchmark Settings"
input int InpBetaLookback = 60;
input group "Timeframes"
input ENUM_TIMEFRAMES InpTFFast = PERIOD_M15;
input ENUM_TIMEFRAMES InpTFSlow = PERIOD_H1;
@@ -67,6 +71,8 @@ struct QuantData
double trend_qual;
string zone;
double rel_strength;
double beta;
double alpha;
// --- M15 ---
double momentum;
@@ -81,6 +87,31 @@ struct QuantData
string absorption;
};
//+------------------------------------------------------------------+
//| Helper: Detect Asset Class |
//+------------------------------------------------------------------+
bool IsForexPair(string sym)
{
if(StringFind(sym, "USD") != -1 || StringFind(sym, "EUR") != -1 ||
StringFind(sym, "GBP") != -1 || StringFind(sym, "JPY") != -1 ||
StringFind(sym, "CHF") != -1 || StringFind(sym, "AUD") != -1 ||
StringFind(sym, "CAD") != -1 || StringFind(sym, "NZD") != -1)
{
if(StringFind(sym, "XAU") != -1)
return false;
if(StringFind(sym, "XTI") != -1)
return false;
if(StringFind(sym, "WTI") != -1)
return false;
if(StringFind(sym, "BTC") != -1)
return false;
if(StringFind(sym, "ETH") != -1)
return false;
return true;
}
return false;
}
//+------------------------------------------------------------------+
//| Script Start |
//+------------------------------------------------------------------+
@@ -103,56 +134,43 @@ void OnStart()
total_symbols = StringSplit(InpSymbolList, u_sep, symbols);
}
// Benchmark logic
double bench_change_pct = 0.0;
if(!SymbolSelect(InpBenchmark, true))
Print("Warning: Benchmark not found.");
else
{
double b_close[], b_open[];
if(CopyClose(InpBenchmark, InpTFSlow, 1, 1, b_close) > 0 &&
CopyOpen(InpBenchmark, InpTFSlow, InpRSBars, 1, b_open) > 0)
if(b_open[0] != 0)
bench_change_pct = ((b_close[0] - b_open[0]) / b_open[0]) * 100.0;
}
bool bench_global_ready = SymbolSelect(InpBenchmark, true);
bool bench_forex_ready = SymbolSelect(InpForexBench, true);
if(!bench_global_ready)
Print("Warning: Global Benchmark '", InpBenchmark, "' not found.");
if(!bench_forex_ready)
Print("Warning: Forex Benchmark '", InpForexBench, "' not found.");
// 3. Prepare CSV
string filename = "QuantScan_" + TimeToString(TimeCurrent(), TIME_DATE|TIME_MINUTES) + ".csv";
StringReplace(filename, ":", "");
StringReplace(filename, " ", "_");
int file_handle = FileOpen(filename, FILE_CSV|FILE_WRITE|FILE_ANSI, ";");
if(file_handle == INVALID_HANDLE)
{
Print("Error: Cannot write CSV.");
return;
}
// --- 4. Dynamic Header Generation (NEW) ---
// A. Get String representation of Timeframes (e.g., "PERIOD_H1")
// --- DYNAMIC HEADER GENERATION ---
string str_slow = EnumToString(InpTFSlow);
string str_fast = EnumToString(InpTFFast);
// B. Clean up (Remove "PERIOD_" prefix for shorter column names)
StringReplace(str_slow, "PERIOD_", "");
StringReplace(str_fast, "PERIOD_", "");
// C. Construct Header String
string header = "";
// Base Info
header += "TIME (" + InpBrokerTimeZone + ");";
header += "SYMBOL;";
header += "PRICE;";
// Context (Slow TF) Metrics
// Context (Slow)
header += StringFormat("TREND_SCORE_%s;", str_slow);
header += StringFormat("TREND_QUAL_%s;", str_slow);
header += StringFormat("ZONE_%s;", str_slow);
header += StringFormat("REL_STRENGTH_%s;", str_slow);
header += StringFormat("BETA_%s;", str_slow);
header += StringFormat("ALPHA_%s;", str_slow);
// Trigger (Fast TF) Metrics
// Trigger (Fast)
header += StringFormat("MOMENTUM_%s;", str_fast);
header += StringFormat("VOL_QUAL_%s;", str_fast);
header += StringFormat("SQUEEZE_%s;", str_fast);
@@ -160,11 +178,10 @@ void OnStart()
header += StringFormat("VOL_REGIME_%s;", str_fast);
header += StringFormat("TSI_DIR_%s;", str_fast);
// Composite Metrics (Calculated using both)
// Composites (Mixed logic, no suffix needed as discussed)
header += "REVERSION_PROB;";
header += "ABSORPTION";
// D. Write Header
FileWrite(file_handle, header);
PrintFormat("Scanning %d symbols...", total_symbols);
@@ -177,7 +194,7 @@ void OnStart()
QuantData data;
ZeroMemory(data);
if(RunQuantAnalysis(sym, bench_change_pct, data))
if(RunQuantAnalysis(sym, data))
{
FileWrite(file_handle,
data.timestamp,
@@ -187,6 +204,8 @@ void OnStart()
DoubleToString(data.trend_qual, 2),
data.zone,
DoubleToString(data.rel_strength, 2) + "%",
DoubleToString(data.beta, 2),
DoubleToString(data.alpha, 4),
DoubleToString(data.momentum, 2),
DoubleToString(data.vol_qual, 2),
data.squeeze,
@@ -203,9 +222,9 @@ void OnStart()
}
//+------------------------------------------------------------------+
//| Core Logic (Refactored) |
//| Core Logic |
//+------------------------------------------------------------------+
bool RunQuantAnalysis(string sym, double bench_change, QuantData &data)
bool RunQuantAnalysis(string sym, QuantData &data)
{
data.timestamp = TimeToString(TimeCurrent(), TIME_DATE|TIME_MINUTES);
StringReplace(data.timestamp, ".", ".");
@@ -226,23 +245,49 @@ bool RunQuantAnalysis(string sym, double bench_change, QuantData &data)
return false;
data.trend_score = Calc_DSMA_Score(h1_o, h1_h, h1_l, h1_c, h1_atr);
// REFACTORED: Use EfficiencyRatio Calculator
data.trend_qual = Calc_ER(h1_o, h1_h, h1_l, h1_c, InpERPeriod);
data.zone = Calc_MurreyZone(sym, InpTFSlow);
// Relative Strength (Inline is fine as logic is specific)
double sym_change = 0;
int total_h1 = ArraySize(h1_c);
if(total_h1 > InpRSBars + 1)
// --- BETA / ALPHA Calculation ---
string bench_sym = InpBenchmark;
if(IsForexPair(sym) && SymbolSelect(InpForexBench, true))
bench_sym = InpForexBench;
double bench_c[];
if(CopyClose(bench_sym, InpTFSlow, 0, InpBetaLookback+2, bench_c) > InpBetaLookback)
{
double c_now = h1_c[total_h1-2];
double o_old = h1_o[total_h1-2-(InpRSBars-1)];
if(o_old != 0)
sym_change = ((c_now - o_old) / o_old) * 100.0;
CMathStatisticsCalculator stats;
double asset_ret[], bench_ret[];
int h1_size = ArraySize(h1_c);
double asset_subset[];
ArrayResize(asset_subset, InpBetaLookback);
double bench_subset[];
ArrayResize(bench_subset, InpBetaLookback);
for(int k=0; k<InpBetaLookback; k++)
{
asset_subset[k] = h1_c[h1_size - InpBetaLookback + k];
bench_subset[k] = bench_c[ArraySize(bench_c) - InpBetaLookback + k];
}
stats.ComputeReturns(asset_subset, asset_ret);
stats.ComputeReturns(bench_subset, bench_ret);
data.beta = stats.CalculateBeta(asset_ret, bench_ret);
double a_tot = (asset_subset[InpBetaLookback-1] - asset_subset[0]) / asset_subset[0];
double b_tot = (bench_subset[InpBetaLookback-1] - bench_subset[0]) / bench_subset[0];
data.alpha = stats.CalculateAlpha(a_tot, b_tot, data.beta);
data.rel_strength = (a_tot - b_tot) * 100.0;
}
else
{
data.beta = 0;
data.alpha = 0;
data.rel_strength = 0;
}
data.rel_strength = sym_change - bench_change;
// =================================================================
// PHASE 2: M15 TRIGGER
@@ -256,16 +301,10 @@ bool RunQuantAnalysis(string sym, double bench_change, QuantData &data)
double m15_atr = Calc_ATR(m15_o, m15_h, m15_l, m15_c, InpATRPeriod);
data.momentum = Calc_LaguerreRSI(m15_o, m15_h, m15_l, m15_c);
// REFACTORED: Use RVOL Calculator
data.vol_qual = Calc_RVOL(m15_v, InpRVOLPeriod);
data.squeeze = Calc_Squeeze(sym, InpTFFast, m15_o, m15_h, m15_l, m15_c);
// REFACTORED: Use Z-Score Calculator
data.z_score = Calc_ZScore(m15_o, m15_h, m15_l, m15_c, InpZScorePeriod);
// Volatility Regime
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)
@@ -273,7 +312,6 @@ bool RunQuantAnalysis(string sym, double bench_change, QuantData &data)
else
data.vola_regime = 1.0;
// TSI
Calc_TSI_Dir(m15_o, m15_h, m15_l, m15_c, data.tsi_dir);
// =================================================================
@@ -291,17 +329,10 @@ bool RunQuantAnalysis(string sym, double bench_change, QuantData &data)
score += 30;
data.rev_prob = score;
// Absorption (Uses already calculated VolQual)
// Logic: Last completed bar (Index 2 in reverse-like logic, or Total-2)
// Note: Our FetchData returns non-series (0=oldest). Total-1 is partial?
// Usually index=0 in iOpen is current.
// FetchData via CopyOpen... defaults to 0=oldest.
// Size is 'count'. Last valid closed is size-2.
int idx_cl = ArraySize(m15_c) - 2;
if(idx_cl >= 0 && m15_atr > 0)
{
double body = MathAbs(m15_c[idx_cl] - m15_o[idx_cl]);
// Recalc Rvol for SPECIFIC bar using helper
CRelativeVolumeCalculator rv_calc;
rv_calc.Init(InpRVOLPeriod);
double bar_rvol = rv_calc.CalculateSingle(ArraySize(m15_v), m15_v, idx_cl);
@@ -335,7 +366,9 @@ bool FetchData(string sym, ENUM_TIMEFRAMES tf, int count, datetime &t[], double
return true;
}
// 1. REFACTORED: Efficiency Ratio Wrapper
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
double Calc_ER(const double &o[], const double &h[], const double &l[], const double &c[], int p)
{
CEfficiencyRatioCalculator calc;
@@ -345,10 +378,12 @@ double Calc_ER(const double &o[], const double &h[], const double &l[], const do
int total = ArraySize(c);
ArrayResize(buf, total);
calc.Calculate(total, 0, PRICE_CLOSE, o, h, l, c, buf);
return buf[total-1];
return buf[total-2];
}
// 2. REFACTORED: Z-Score Wrapper
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
double Calc_ZScore(const double &o[], const double &h[], const double &l[], const double &c[], int p)
{
CZScoreCalculator calc;
@@ -358,17 +393,16 @@ double Calc_ZScore(const double &o[], const double &h[], const double &l[], cons
int total = ArraySize(c);
ArrayResize(buf, total);
calc.Calculate(total, 0, PRICE_CLOSE, o, h, l, c, buf);
return buf[total-1];
return buf[total-2];
}
// 3. REFACTORED: RVOL Wrapper
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
double Calc_RVOL(const long &vol[], int p)
{
CRelativeVolumeCalculator calc;
calc.Init(p);
// Used CalculateSingle for last closed bar (Total-2) or current (Total-1)?
// Standard practice: RVOL of current forming bar is misleading.
// Let's use Last Closed Bar (Total-2) for analysis stability.
return calc.CalculateSingle(ArraySize(vol), vol, ArraySize(vol)-2);
}
@@ -383,7 +417,7 @@ double Calc_ATR(const double &o[], const double &h[], const double &l[], const d
double buf[];
int total=ArraySize(c);
calc.Calculate(total, 0, o, h, l, c, buf);
return buf[total-2]; // Using Closed Bar
return buf[total-2];
}
//+------------------------------------------------------------------+
@@ -400,7 +434,7 @@ double Calc_DSMA_Score(const double &o[], const double &h[], const double &l[],
calc.Calculate(total, 0, PRICE_CLOSE, o, h, l, c, buf);
if(atr==0)
return 0;
return (c[total-2] - buf[total-2]) / atr; // Using Closed Bar
return (c[total-2] - buf[total-2]) / atr;
}
//+------------------------------------------------------------------+
@@ -413,7 +447,6 @@ string Calc_Squeeze(string sym, ENUM_TIMEFRAMES tf, const double &o[], const dou
bb.Init(InpSqueezeLength, InpBBMult, SMA);
CKeltnerChannelCalculator kc;
kc.Init(InpSqueezeLength, SMA, InpSqueezeLength, InpKCMult, ATR_SOURCE_STANDARD);
double b_ma[], b_up[], b_lo[];
ArrayResize(b_ma, total);
ArrayResize(b_up, total);
@@ -422,11 +455,9 @@ string Calc_Squeeze(string sym, ENUM_TIMEFRAMES tf, const double &o[], const dou
ArrayResize(k_ma, total);
ArrayResize(k_up, total);
ArrayResize(k_lo, total);
bb.Calculate(total, 0, PRICE_CLOSE, o, h, l, c, b_ma, b_up, b_lo);
kc.Calculate(total, 0, o, h, l, c, PRICE_CLOSE, k_ma, k_up, k_lo);
int idx = total - 2; // Last Closed Bar
int idx = total - 2;
return ((b_up[idx] < k_up[idx]) && (b_lo[idx] > k_lo[idx])) ? "ON" : "OFF";
}
@@ -474,7 +505,7 @@ string Calc_MurreyZone(string symbol, ENUM_TIMEFRAMES tf)
double levels[];
if(!calc.Calculate(levels))
return "N/A";
double price = iClose(symbol, tf, 1); // Last Closed
double price = iClose(symbol, tf, 1);
if(price < levels[2])
return "Extreme Low";
if(price > levels[10])