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refactor(scripts): Logic update: Exclude Benchmarks from Stats

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This commit is contained in:
Toh4iem9
2026-02-06 00:28:17 +01:00
parent fb3423bfed
commit fed8424acf
1 changed files with 69 additions and 47 deletions
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Scripts/MyScripts/Market_Scanner_Pro.mq5
+69 -47
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@@ -1,10 +1,10 @@
//+------------------------------------------------------------------+
//| Market_Scanner_Pro.mq5 |
//| QuantScan 4.1 - Header Fix |
//| QuantScan 4.2 - Benchmark Exclusions |
//| Copyright 2026, xxxxxxxx |
//+------------------------------------------------------------------+
#property copyright "Copyright 2026, xxxxxxxx"
#property version "4.10" // Re-added Dynamic Header logic
#property version "4.20" // Logic update: Exclude Benchmarks from Stats
#property description "Exports 'QuantScan 4.0' for LLM Analysis."
#property description "Includes Trend, Volatility, Stats + Beta/Alpha metrics."
#property script_show_inputs
@@ -70,9 +70,11 @@ struct QuantData
double trend_score;
double trend_qual;
string zone;
double rel_strength;
double beta;
double alpha;
// Strings for Stats to allow "BENCHMARK" text
string rel_strength_str;
string beta_str;
string alpha_str;
// --- M15 ---
double momentum;
@@ -92,16 +94,21 @@ struct QuantData
//+------------------------------------------------------------------+
bool IsForexPair(string sym)
{
// Safety: If symbol IS one of the benchmarks, we don't classify it as generic forex pair here
if(sym == InpBenchmark || sym == InpForexBench)
return false;
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)
StringFind(sym, "CAD") != -1 || StringFind(sym, "NZD") != -1 ||
StringFind(sym, "XAU") != -1 || StringFind(sym, "XAG") != -1)
{
if(StringFind(sym, "XAU") != -1)
return false;
if(StringFind(sym, "XTI") != -1)
return false;
if(StringFind(sym, "WTI") != -1)
if(StringFind(sym, "UKO") != -1)
return false;
if(StringFind(sym, "USO") != -1)
return false;
if(StringFind(sym, "BTC") != -1)
return false;
@@ -178,7 +185,7 @@ void OnStart()
header += StringFormat("VOL_REGIME_%s;", str_fast);
header += StringFormat("TSI_DIR_%s;", str_fast);
// Composites (Mixed logic, no suffix needed as discussed)
// Composites
header += "REVERSION_PROB;";
header += "ABSORPTION";
@@ -196,6 +203,7 @@ void OnStart()
if(RunQuantAnalysis(sym, data))
{
// Note: Strings used for stats
FileWrite(file_handle,
data.timestamp,
data.symbol,
@@ -203,9 +211,9 @@ void OnStart()
DoubleToString(data.trend_score, 2),
DoubleToString(data.trend_qual, 2),
data.zone,
DoubleToString(data.rel_strength, 2) + "%",
DoubleToString(data.beta, 2),
DoubleToString(data.alpha, 4),
data.rel_strength_str,
data.beta_str,
data.alpha_str,
DoubleToString(data.momentum, 2),
DoubleToString(data.vol_qual, 2),
data.squeeze,
@@ -248,45 +256,59 @@ bool RunQuantAnalysis(string sym, QuantData &data)
data.trend_qual = Calc_ER(h1_o, h1_h, h1_l, h1_c, InpERPeriod);
data.zone = Calc_MurreyZone(sym, InpTFSlow);
// --- BETA / ALPHA Calculation ---
string bench_sym = InpBenchmark;
if(IsForexPair(sym) && SymbolSelect(InpForexBench, true))
bench_sym = InpForexBench;
// --- BETA / ALPHA Calculation (With Exclusion Logic) ---
bool is_benchmark = (sym == InpBenchmark || sym == InpForexBench);
double bench_c[];
if(CopyClose(bench_sym, InpTFSlow, 0, InpBetaLookback+2, bench_c) > InpBetaLookback)
if(is_benchmark)
{
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;
data.rel_strength_str = "BENCHMARK";
data.beta_str = "1.00";
data.alpha_str = "0.00";
}
else
{
data.beta = 0;
data.alpha = 0;
data.rel_strength = 0;
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)
{
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);
double beta_val = 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];
double alpha_val = stats.CalculateAlpha(a_tot, b_tot, beta_val);
double rel_val = (a_tot - b_tot) * 100.0;
data.rel_strength_str = DoubleToString(rel_val, 2) + "%";
data.beta_str = DoubleToString(beta_val, 2);
data.alpha_str = DoubleToString(alpha_val, 4);
}
else
{
data.rel_strength_str = "0%";
data.beta_str = "0";
data.alpha_str = "0";
}
}
// =================================================================