mql5/Indicators/MyIndicators/MovingAverage_Anchored_Pro_Documentation.md

Universal Session-Anchored Moving Average Pro (v3.00)

Quantitative Multi-Algorithm Periodic & Custom Session-Anchored Baseline Suite

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1. Summary (Introduction)

Moving Average Anchored Pro is an institutional-grade trend and equilibrium overlay indicator that applies periodic and custom session anchoring across eight classical, zero-lag, and volume-weighted moving average algorithms.

Standard rolling moving averages carry historical price noise across session boundaries (such as low-volume overnight Asian drift polluting the London morning open). Moving Average Anchored Pro eliminates cross-session pollution by re-seeding its calculation baseline at defined calendar and trading session boundaries:

┌────────────────────────────────────────────────────────────────────────┐
│                   ANCHORED MOVING AVERAGE ARCHITECTURE                 │
├──────────────────────┬────────────────────────┬────────────────────────┤
│     Anchor Mode      │   Reset Frequency      │   Optimal Use-Case     │
├──────────────────────┼────────────────────────┼────────────────────────┤
│ ANCHOR_SESSION       │ Daily 00:00 / Server   │ Intraday Trend Anchor  │
│ ANCHOR_WEEK          │ Monday 00:00 Open      │ Weekly Fair-Value Base │
│ ANCHOR_MONTH         │ 1st Day of Month Open  │ Macro Trend Benchmark  │
│ ANCHOR_CUSTOM_SESSION│ User Hours (e.g. LSE)  │ London/NYSE Open Base  │
│ ANCHOR_NONE          │ Continuous Rolling     │ Classic Full Rolling MA│
└──────────────────────┴────────────────────────┴────────────────────────┘

Key Capabilities

• 8 Supported Anchored Smoothing Models: SMA, EMA, SMMA (Wilder RMA), LWMA, TMA, DEMA, TEMA, and Volume-Weighted VWMA.
• Dynamic Lookback Expansion (active\_p): At the anchor opening bar, lookback initializes at active\_p = 1 (matching opening price exactly), dynamically expanding as session candles accumulate up to the target period (P = \text{InpPeriod}).
• Gapped Odd/Even Line Architecture: Uses dual alternating buffers (BufferMA_Odd, BufferMA_Even) to guarantee seamless visual gaps between historical sessions without diagonal connecting lines.
• Unified 2026 MTF Framework: Higher-timeframe anchored moving averages (e.g., H1 or H4 Anchored EMA) map onto lower-timeframe execution charts (M1, M5, M15) with flat, non-warping steps via DataSync_Tools.mqh.
• Synthetic Heikin Ashi Support: Fully compatible with filtered Heikin Ashi price series via CMovingAverageAnchoredCalculator_HA composition.

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2. Mathematical Foundations & Dynamic Lookback Mechanics

          Anchor Bar (Session Open: t = 0)
          │
          ├───► Dynamic Period: active_p = min( P, elapsed_bars )
          │     (At t=0: active_p=1 -> MA = Opening Price)
          │     (At t=1: active_p=2 -> MA = 2-bar Average)
          │     (At t≥P: active_p=P -> MA = Full Target Smoothing)
          │
          └───► Recursive Dynamic Smoothing Engine (SMA / EMA / DEMA / VWMA)

2.1. Dynamic Lookback Window Scaling (active\_p)

For any bar t within an anchored session starting at t_{\text{anchor}}:

\text{elapsed\_bars} = t - t_{\text{anchor}} + 1 active\_p = \begin{cases} P, & \text{if } \text{InpAnchor} = \text{ANCHOR\_NONE} \\ \min(P, \text{elapsed\_bars}), & \text{otherwise} \end{cases}

where P = \text{InpPeriod} (target lookback period).

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2.2. Anchored Moving Average Algorithms

1. Anchored Simple Moving Average (SMA)

\text{SMA}_t = \frac{1}{active\_p} \sum_{j=0}^{active\_p - 1} P_{t-j}

2. Anchored Exponential Moving Average (EMA)

\alpha_t = \frac{2}{active\_p + 1} \text{EMA}_t = \begin{cases} P_t, & \text{if } t = t_{\text{anchor}} \\ \alpha_t P_t + (1 - \alpha_t) \text{EMA}_{t-1}, & \text{for } t > t_{\text{anchor}} \end{cases}

3. Anchored Smoothed Moving Average (SMMA / Wilder's RMA)

\text{SMMA}_t = \begin{cases} P_t, & \text{if } t = t_{\text{anchor}} \\ \frac{\text{SMMA}_{t-1} \cdot (active\_p - 1) + P_t}{active\_p}, & \text{for } t > t_{\text{anchor}} \end{cases}

4. Anchored Linear Weighted Moving Average (LWMA)

\text{LWMA}_t = \frac{\sum_{j=0}^{active\_p - 1} P_{t-j} \cdot (active\_p - j)}{\sum_{j=0}^{active\_p - 1} (active\_p - j)}

5. Anchored Double Exponential Moving Average (DEMA)

\text{EMA1}_t = \text{DynamicEMA}(P, active\_p), \quad\quad \text{EMA2}_t = \text{DynamicEMA}(\text{EMA1}, active\_p) \text{DEMA}_t = 2 \cdot \text{EMA1}_t - \text{EMA2}_t

6. Anchored Volume-Weighted Moving Average (VWMA)

\text{VWMA}_t = \frac{\sum_{j=0}^{active\_p - 1} P_{t-j} \cdot V_{t-j}}{\sum_{j=0}^{active\_p - 1} V_{t-j}}

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3. MQL5 Architecture & Engineering Standards

┌────────────────────────────────────────────────────────┐
│           MovingAverage_Anchored_Engine.mqh            │
│   (Core Math Engine: 8 Anchored Algorithms in O(1))    │
├──────────────────────────┬─────────────────────────────┤
│   Volume Routing Layer   │   Composition Engine        │
│   • Real Volume Support  │   • CMovAvgAnchoredCalc_HA  │
│   • Tick Volume Fallback │   • Dynamic Lookback Memory │
└──────────────────────────┴─────────────────────────────┘
                           │ Outputs Odd/Even Gapped Buffers
                           ▼
┌────────────────────────────────────────────────────────┐
│             MovingAverage_Anchored_Pro.mq5             │
│    (Unified Wrapper: Native Timeframe & MTF Engine)    │
├──────────────────────────┬─────────────────────────────┤
│   Direct Mode (O(1))     │   Synchronized MTF Pipeline │
│   • Current Timeframe    │   • DataSync_Tools Daemon   │
│   • 2 Output Plots       │   • Staircase Flat-Force    │
└──────────────────────────┴─────────────────────────────┘

1. Defensive Index Bounds Protection: All inner accumulation loops (SMA, LWMA, TMA, VWMA) enforce if(idx < 0) break;, guaranteeing that negative index memory violations (array out of range) are mathematically impossible.
2. Stateless Custom Session In-Time Check: IsTimeInSession() evaluates timestamps deterministically with timezone shift (InpTzShift), ensuring clean disconnection during non-session hours.
3. 2026 MTF Framework with Staircase Solution: Higher-timeframe anchored curves map onto lower-timeframe execution charts with flat, synchronized steps via first_bar_of_forming_htf dynamic anchoring and DataSync_Tools.mqh.

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4. Parameters Reference

Timeframe Settings

• InpTimeframe (default: PERIOD_CURRENT): Calculation timeframe. When set to PERIOD_CURRENT, it operates in native zero-lag mode. When set to a higher timeframe (e.g., PERIOD_H1, PERIOD_D1), it activates the synchronized MTF engine.

Moving Average Core Settings

• InpPeriod (default: 20): Target smoothing period (P).
• InpMAType (default: SMA): Algorithm model (SMA, EMA, SMMA, LWMA, TMA, DEMA, TEMA, VWMA).
• InpSourcePrice (default: PRICE_CLOSE_STD): Price series source (Supports all 7 Standard and 7 Heikin Ashi modes).

Anchor Settings

• InpAnchor (default: ANCHOR_SESSION): Anchor mode (ANCHOR_NONE, ANCHOR_SESSION, ANCHOR_WEEK, ANCHOR_MONTH, ANCHOR_CUSTOM_SESSION).
• InpTzShift (default: 0): Timezone offset in hours vs broker server time.
• InpCustomStart (default: "09:00"): Session start time (HH:MM, e.g., European Open).
• InpCustomEnd (default: "18:00"): Session end time (HH:MM, e.g., European Close).

Visual Settings

• InpColorMA (default: clrDodgerBlue): Line color (Width: 2, Solid).
• InpStyleMA (default: STYLE_SOLID): Line style.
• InpWidthMA (default: 2): Line thickness.

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5. Institutional Trading Playbooks

┌────────────────────────────────────────────────────────────────────────┐
│               ANCHORED MOVING AVERAGE TRADING PLAYBOOKS                │
├────────────────────────────────────────────────────────────────────────┤
│ 1. London Session Baseline:  Anchor 20 EMA to 08:00 London open to     │
│                              trade pure intraday European order flow.  │
│ 2. Weekly Fair-Value Anchor: Anchor 50 VWMA to Monday 00:00 to track   │
│                              macro weekly volume-weighted equilibrium. │
│ 3. S/R Dynamic Retest:       In strong trends, pullbacks to the rising │
│                              Anchored MA provide tight-stop entries.   │
└────────────────────────────────────────────────────────────────────────┘

5.1. The London Opening Session Baseline (LSE Open)

• Configuration: InpAnchor = ANCHOR_CUSTOM_SESSION, InpCustomStart = "08:00", InpCustomEnd = "16:30", InpMAType = EMA, InpPeriod = 20.
• Execution: At the 08:00 London bell, the moving average initializes at the opening price and expands its weighting:
  • Bullish Momentum: Price holds above the rising Anchored EMA \rightarrow Focus exclusively on long intraday pullbacks.
  • Bearish Momentum: Price holds below the falling Anchored EMA \rightarrow Focus exclusively on short intraday pullbacks.

5.2. Weekly Volume-Weighted Fair-Value Anchor (Monday Open)

• Configuration: InpAnchor = ANCHOR_WEEK, InpMAType = VWMA, InpPeriod = 50.
• Strategic Context: Serves as the institutional volume-weighted benchmark for the entire trading week.
• Execution: Pullbacks from extreme weekly extensions back to test the Weekly Anchored VWMA offer high-probability structural bounces or mean-reversion exit targets.

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6. Indicator Buffer Map (For Developers & EA Integration)

Buffer Index	Name	Type	Description
0	BufferMA_Odd	INDICATOR_DATA	Anchored Moving Average Values (Odd Session Periods)
1	BufferMA_Even	INDICATOR_DATA	Anchored Moving Average Values (Even Session Periods - Gapped)

MQL5 Reading Example (iCustom Helper)

double GetAnchoredMAValue(const int handle, const int bar_shift)
{
   double odd[1], even[1];
   if(CopyBuffer(handle, 0, bar_shift, 1, odd) <= 0)  return EMPTY_VALUE;
   if(CopyBuffer(handle, 1, bar_shift, 1, even) <= 0) return EMPTY_VALUE;

   if(odd[0] != EMPTY_VALUE && odd[0] > 0.0)
      return odd[0];
   if(even[0] != EMPTY_VALUE && even[0] > 0.0)
      return even[0];

   return EMPTY_VALUE; // Outside session hours
}

All buffers strictly maintain non-series chronological order (ArraySetAsSeries = false), ensuring instant compatibility with Expert Advisors and scanner dashboards via iCustom().