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mql5/Indicators/MyIndicators/Quant/AlphaBeta_MTF_Pro.mq5
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//+------------------------------------------------------------------+
//| AlphaBeta_MTF_Pro.mq5 |
//| Copyright 2026, xxxxxxxx|
//+------------------------------------------------------------------+
#property copyright "Copyright 2026, xxxxxxxx"
#property version "1.30" // Live-updating forming bar with O(1) performance
#property description "Rolling Alpha & Beta (Multi-Timeframe) with real-time forming bar calculation."
#property indicator_separate_window
#property indicator_buffers 2
#property indicator_plots 1
// Dynamic Plot Styling (Default is Histogram for Alpha)
#property indicator_label1 "Value MTF"
#property indicator_type1 DRAW_COLOR_HISTOGRAM
#property indicator_color1 clrGray, clrLime, clrRed, clrGold
#property indicator_style1 STYLE_SOLID
#property indicator_width1 2
#include <MyIncludes\MathStatistics_Calculator.mqh>
enum ENUM_AB_MODE { MODE_ALPHA, MODE_BETA };
//--- Parameters
input ENUM_TIMEFRAMES InpTimeframe = PERIOD_H1; // Target Timeframe
input ENUM_AB_MODE InpMode = MODE_ALPHA; // Calculation Mode
input int InpLookback = 60; // Rolling Window (Bars)
input string InpBenchmark = "US500"; // Global Bench
input string InpForexBench = "DX"; // Forex Bench
//--- Buffers
double BufDisplay[];
double BufColors[];
//--- Internal HTF Data
double h_asset_c[];
double h_bench_c[];
datetime h_asset_t[];
// HTF Results
double h_res[];
//--- Global HTF State Tracking
datetime g_last_htf_time = 0;
int g_htf_count = 0;
bool g_data_ready = false;
CMathStatisticsCalculator *g_stats;
string g_bench_symbol;
//+------------------------------------------------------------------+
//| EnsureHTFDataReady (Robust MTF history loading helper) |
//+------------------------------------------------------------------+
bool EnsureHTFDataReady(const string symbol, const ENUM_TIMEFRAMES timeframe, const int required_bars)
{
ResetLastError();
if(!SymbolInfoInteger(symbol, SYMBOL_SELECT))
{
SymbolSelect(symbol, true);
}
datetime times[];
int copied = CopyTime(symbol, timeframe, 0, required_bars, times);
return (copied >= required_bars);
}
//+------------------------------------------------------------------+
//| Init |
//+------------------------------------------------------------------+
int OnInit()
{
g_last_htf_time = 0;
g_htf_count = 0;
g_data_ready = false;
if(InpTimeframe <= Period() && InpTimeframe != PERIOD_CURRENT)
{
Print("Warning: Target Timeframe should be > Current.");
}
SetIndexBuffer(0, BufDisplay, INDICATOR_DATA);
SetIndexBuffer(1, BufColors, INDICATOR_COLOR_INDEX);
// Configure Mode
string name;
string tf_name = StringSubstr(EnumToString(InpTimeframe), 7);
if(InpMode == MODE_ALPHA)
{
name = StringFormat("Alpha MTF %s", tf_name);
PlotIndexSetInteger(0, PLOT_DRAW_TYPE, DRAW_COLOR_HISTOGRAM);
PlotIndexSetString(0, PLOT_LABEL, "Alpha");
IndicatorSetInteger(INDICATOR_DIGITS, 4);
IndicatorSetDouble(INDICATOR_LEVELVALUE, 0, 0.0);
}
else
{
name = StringFormat("Beta MTF %s", tf_name);
PlotIndexSetInteger(0, PLOT_DRAW_TYPE, DRAW_COLOR_LINE);
PlotIndexSetString(0, PLOT_LABEL, "Beta");
IndicatorSetInteger(INDICATOR_DIGITS, 2);
IndicatorSetDouble(INDICATOR_LEVELVALUE, 0, 1.0);
}
IndicatorSetString(INDICATOR_SHORTNAME, name);
g_stats = new CMathStatisticsCalculator();
// Benchmark Logic
bool is_forex = IsForexPair(_Symbol);
g_bench_symbol = is_forex ? InpForexBench : InpBenchmark;
if(_Symbol == g_bench_symbol)
{
return INIT_SUCCEEDED; // Self-reference: Flat line
}
if(!SymbolSelect(g_bench_symbol, true))
return INIT_FAILED;
return(INIT_SUCCEEDED);
}
//+------------------------------------------------------------------+
//| Deinit |
//+------------------------------------------------------------------+
void OnDeinit(const int r)
{
if(CheckPointer(g_stats) == POINTER_DYNAMIC)
delete g_stats;
}
//+------------------------------------------------------------------+
//| Calculate |
//+------------------------------------------------------------------+
int OnCalculate(const int rates_total,
const int prev_calculated,
const datetime &time[],
const double &open[],
const double &high[],
const double &low[],
const double &close[],
const long &tick_volume[],
const long &volume[],
const int &spread[])
{
if(_Symbol == g_bench_symbol)
return rates_total; // Skip if self
//--- Ensure HTF history is ready
int required_bars = InpLookback + 10;
if(!EnsureHTFDataReady(_Symbol, InpTimeframe, required_bars) ||
!EnsureHTFDataReady(g_bench_symbol, InpTimeframe, required_bars))
{
g_data_ready = false;
return 0; // Wait for next tick to let history load
}
//--- 1. Check if a new HTF bar has formed
datetime htf_time_current = iTime(_Symbol, InpTimeframe, 0);
bool htf_updated = (htf_time_current != g_last_htf_time);
if(htf_updated || prev_calculated == 0)
{
g_last_htf_time = htf_time_current;
int htf_bars = iBars(_Symbol, InpTimeframe);
if(htf_bars < InpLookback + 5)
{
g_data_ready = false;
return 0;
}
g_htf_count = MathMin(htf_bars, 3000);
ArrayResize(h_asset_t, g_htf_count);
ArrayResize(h_asset_c, g_htf_count);
if(CopyTime(_Symbol, InpTimeframe, 0, g_htf_count, h_asset_t) != g_htf_count ||
CopyClose(_Symbol, InpTimeframe, 0, g_htf_count, h_asset_c) != g_htf_count)
{
g_data_ready = false;
return 0;
}
//--- 2. High-Performance Linear Price Alignment for HTF Benchmark
ArrayResize(h_bench_c, g_htf_count);
for(int i = 0; i < g_htf_count; i++)
{
int b_idx = iBarShift(g_bench_symbol, InpTimeframe, h_asset_t[i], false);
if(b_idx >= 0)
{
h_bench_c[i] = iClose(g_bench_symbol, InpTimeframe, b_idx);
}
else
{
h_bench_c[i] = (i > 0) ? h_bench_c[i-1] : h_asset_c[i];
}
}
//--- 3. Calculate Alpha & Beta Statistics on HTF (Closed bars only!)
//--- Notice the limit is 'g_htf_count - 1' (excluding the live forming bar)
if(ArraySize(h_res) != g_htf_count)
ArrayResize(h_res, g_htf_count);
for(int i = InpLookback; i < g_htf_count - 1; i++)
{
// Extract Asset Subset via fast memory copy
double asset_sub[];
ArrayResize(asset_sub, InpLookback);
if(ArrayCopy(asset_sub, h_asset_c, 0, i - InpLookback + 1, InpLookback) < InpLookback)
{
h_res[i] = 0.0;
continue;
}
// Extract Benchmark Subset via fast memory copy
double bench_sub[];
ArrayResize(bench_sub, InpLookback);
if(ArrayCopy(bench_sub, h_bench_c, 0, i - InpLookback + 1, InpLookback) < InpLookback)
{
h_res[i] = 0.0;
continue;
}
// Compute Returns
double asset_ret[], bench_ret[];
g_stats.ComputeReturns(asset_sub, asset_ret);
g_stats.ComputeReturns(bench_sub, bench_ret);
double beta = g_stats.CalculateBeta(asset_ret, bench_ret);
double val = 0.0;
if(InpMode == MODE_BETA)
{
val = beta;
}
else
{
double a_tot = (asset_sub[InpLookback-1] - asset_sub[0]) / asset_sub[0];
double b_tot = (bench_sub[InpLookback-1] - bench_sub[0]) / bench_sub[0];
val = g_stats.CalculateAlpha(a_tot, b_tot, beta);
}
h_res[i] = val;
}
g_data_ready = true;
}
if(!g_data_ready)
return 0;
//--- 4. Live Update for the Current Forming HTF Bar (Index: g_htf_count - 1) on every tick!
int live_idx = g_htf_count - 1;
if(live_idx >= InpLookback)
{
// Dynamic update of current bid prices for the forming HTF bar
h_asset_c[live_idx] = iClose(_Symbol, InpTimeframe, 0);
int b_idx = iBarShift(g_bench_symbol, InpTimeframe, h_asset_t[live_idx], false);
if(b_idx >= 0)
{
h_bench_c[live_idx] = iClose(g_bench_symbol, InpTimeframe, b_idx);
}
else
{
h_bench_c[live_idx] = h_asset_c[live_idx];
}
// Perform single-bar calculation in O(1)
double asset_sub[];
ArrayResize(asset_sub, InpLookback);
if(ArrayCopy(asset_sub, h_asset_c, 0, live_idx - InpLookback + 1, InpLookback) == InpLookback)
{
double bench_sub[];
ArrayResize(bench_sub, InpLookback);
if(ArrayCopy(bench_sub, h_bench_c, 0, live_idx - InpLookback + 1, InpLookback) == InpLookback)
{
double asset_ret[], bench_ret[];
g_stats.ComputeReturns(asset_sub, asset_ret);
g_stats.ComputeReturns(bench_sub, bench_ret);
double beta = g_stats.CalculateBeta(asset_ret, bench_ret);
double val = 0.0;
if(InpMode == MODE_BETA)
{
val = beta;
}
else
{
double a_tot = (asset_sub[InpLookback-1] - asset_sub[0]) / asset_sub[0];
double b_tot = (bench_sub[InpLookback-1] - bench_sub[0]) / bench_sub[0];
val = g_stats.CalculateAlpha(a_tot, b_tot, beta);
}
h_res[live_idx] = val; // Store live-updated value
}
}
}
//--- 5. Incremental Mapping of HTF results to Current Chart Timeframe (O(1) per tick)
int start = (prev_calculated > 0) ? prev_calculated - 1 : 0;
for(int i = start; i < rates_total; i++)
{
datetime t = time[i];
int shift_htf = iBarShift(_Symbol, InpTimeframe, t, false);
if(shift_htf >= 0)
{
int idx_htf = g_htf_count - 1 - shift_htf;
if(idx_htf >= 0 && idx_htf < g_htf_count)
{
double val = h_res[idx_htf];
BufDisplay[i] = val;
// Color Logic
if(InpMode == MODE_BETA)
BufColors[i] = 3.0; // Gold
else
{
if(val > 0)
BufColors[i] = 1.0; // Lime
else
if(val < 0)
BufColors[i] = 2.0; // Red
else
BufColors[i] = 0.0; // Gray
}
}
else
{
BufDisplay[i] = EMPTY_VALUE;
}
}
else
{
BufDisplay[i] = EMPTY_VALUE;
}
}
return(rates_total);
}
//+------------------------------------------------------------------+
//| IsForexPair |
//+------------------------------------------------------------------+
bool IsForexPair(string sym)
{
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, "XAU") != -1 || StringFind(sym, "XAG") != -1)
{
if(StringFind(sym, "XTI") != -1)
return false;
if(StringFind(sym, "UKO") != -1)
return false;
if(StringFind(sym, "USO") != -1)
return false;
if(StringFind(sym, "BTC") != -1)
return false;
if(StringFind(sym, "ETH") != -1)
return false;
return true;
}
return false;
}
//+------------------------------------------------------------------+
//+------------------------------------------------------------------+
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