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Toh4iem9
542 lines
18 KiB
Plaintext
542 lines
18 KiB
Plaintext
//+------------------------------------------------------------------+
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//| Market_Scanner_Pro.mq5 |
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//| QuantScan 3.1 - Professional Market Export |
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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 "3.30" // Timezone input + RS Lookback + History Control
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#property description "Exports 'QuantScan 3.0' dataset for LLM Analysis."
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#property description "Includes Relative Strength and Institutional Metrics."
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#property script_show_inputs
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//--- Include Custom Calculators
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#include <MyIncludes\DSMA_Calculator.mqh>
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#include <MyIncludes\VWAP_Calculator.mqh>
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#include <MyIncludes\Laguerre_RSI_Calculator.mqh>
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#include <MyIncludes\TSI_Calculator.mqh>
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#include <MyIncludes\MurreyMath_Calculator.mqh>
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#include <MyIncludes\ATR_Calculator.mqh>
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#include <MyIncludes\Bollinger_Bands_Calculator.mqh>
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#include <MyIncludes\KeltnerChannel_Calculator.mqh>
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//--- Input Parameters ---
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input group "Scanner Config"
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input bool InpUseMarketWatch = false; // Scan Market Watch?
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input string InpSymbolList = "EURUSD,USDJPY,GBPUSD,USDCHF,AUDUSD,XAUUSD,US500,DE40,XTIUSD,ETHUSD";
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input string InpBenchmark = "US500"; // Benchmark for Relative Strength
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input string InpBrokerTimeZone = "EET (UTC+2)"; // Broker Timezone Name (for CSV Header)
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input int InpScanHistory = 500; // Max History Bars to fetch
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input group "Timeframes"
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input ENUM_TIMEFRAMES InpTFFast = PERIOD_M15; // Trigger / Execution
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input ENUM_TIMEFRAMES InpTFSlow = PERIOD_H1; // Context / Trend
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input group "Metric Settings"
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input int InpDSMAPeriod = 40;
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input double InpLaguerreGamma = 0.50;
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input int InpMurreyPeriod = 64;
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input int InpATRPeriod = 14;
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input int InpRSBars = 24; // Relative Strength Lookback (Bars on Slow TF)
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input int InpRVOLPeriod = 20; // Relative Volume Lookback
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input int InpERPeriod = 10; // Efficiency Ratio Lookback
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input int InpZScorePeriod = 20; // Z-Score Lookback
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input group "TSI Settings"
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input int InpTSI_Slow = 25;
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input int InpTSI_Fast = 13;
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input int InpTSI_Signal = 13;
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input group "Squeeze Settings"
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input int InpSqueezeLength = 20;
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input double InpBBMult = 2.0;
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input double InpKCMult = 1.5;
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//--- Struct for QuantScan 3.0 Data
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struct QuantData
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{
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string timestamp;
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string symbol;
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double price;
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// --- H1 Context ---
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double trend_score; // DSMA Normalized Score
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double trend_qual; // Efficiency Ratio (ER)
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string zone; // Murrey Math Zone
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double rel_strength; // Relative Strength vs Benchmark
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// --- M15 Execution ---
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double momentum; // Laguerre RSI
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double vol_qual; // Relative Volume (RVOL)
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string squeeze; // ON/OFF
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double z_score; // Statistical Deviation
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double vola_regime; // ATR(5)/ATR(50) Ratio
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string tsi_dir; // TSI Direction
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// --- Composite Metrics ---
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double rev_prob; // Mean Reversion Probability (0-100)
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string absorption; // Institutional Absorption (YES/NO)
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};
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//+------------------------------------------------------------------+
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//| Script Start |
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//+------------------------------------------------------------------+
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void OnStart()
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{
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string symbols[];
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int total_symbols = 0;
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// 1. Symbol List Compilation
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if(InpUseMarketWatch)
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{
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total_symbols = SymbolsTotal(true);
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ArrayResize(symbols, total_symbols);
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for(int i=0; i<total_symbols; i++)
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symbols[i] = SymbolName(i, true);
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}
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else
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{
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string sep = ",";
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ushort u_sep = StringGetCharacter(sep, 0);
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total_symbols = StringSplit(InpSymbolList, u_sep, symbols);
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}
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// 2. Pre-Calculate Benchmark Performance
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double bench_change_pct = 0.0;
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if(!SymbolSelect(InpBenchmark, true))
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{
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Print("Warning: Benchmark '", InpBenchmark, "' not found. RS will be 0.");
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}
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else
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{
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double b_close[], b_open[];
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// Lookback based on InpRSBars input
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if(CopyClose(InpBenchmark, InpTFSlow, 1, 1, b_close) > 0 &&
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CopyOpen(InpBenchmark, InpTFSlow, InpRSBars, 1, b_open) > 0) // Uses user defined lookback
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{
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if(b_open[0] != 0)
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bench_change_pct = ((b_close[0] - b_open[0]) / b_open[0]) * 100.0;
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PrintFormat("Benchmark (%s) %d-Bar Change: %.2f%%", InpBenchmark, InpRSBars, bench_change_pct);
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}
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}
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// 3. Prepare CSV
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string filename = "QuantScan_" + TimeToString(TimeCurrent(), TIME_DATE|TIME_MINUTES) + ".csv";
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StringReplace(filename, ":", "");
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StringReplace(filename, " ", "_");
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int file_handle = FileOpen(filename, FILE_CSV|FILE_WRITE|FILE_ANSI, ";");
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if(file_handle == INVALID_HANDLE)
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{
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Print("Error: Cannot write CSV.");
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return;
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}
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// 4. Header - Now includes Timezone info
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string time_header = "TIME (" + InpBrokerTimeZone + ")";
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FileWrite(file_handle,
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time_header, "SYMBOL", "PRICE",
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"TREND_SCORE", "TREND_QUAL", "ZONE", "REL_STRENGTH", // H1 Context
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"MOMENTUM", "VOL_QUAL", "SQUEEZE", "Z_SCORE", "VOL_REGIME", "TSI_DIR", // M15 Data
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"REVERSION_PROB", "ABSORPTION" // Composites
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);
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// 5. Main Loop
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PrintFormat("Scanning %d symbols...", total_symbols);
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for(int i=0; i<total_symbols; i++)
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{
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string sym = symbols[i];
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StringTrimLeft(sym);
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StringTrimRight(sym);
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QuantData data;
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ZeroMemory(data);
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// Compute
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if(RunQuantAnalysis(sym, bench_change_pct, data))
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{
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FileWrite(file_handle,
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data.timestamp,
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data.symbol,
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DoubleToString(data.price, (int)SymbolInfoInteger(sym, SYMBOL_DIGITS)),
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DoubleToString(data.trend_score, 2),
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DoubleToString(data.trend_qual, 2),
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data.zone,
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DoubleToString(data.rel_strength, 2) + "%",
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DoubleToString(data.momentum, 2),
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DoubleToString(data.vol_qual, 2),
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data.squeeze,
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DoubleToString(data.z_score, 2),
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DoubleToString(data.vola_regime, 2),
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data.tsi_dir,
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DoubleToString(data.rev_prob, 0) + "%",
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data.absorption
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);
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}
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else
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{
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Print("Failed: ", sym);
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}
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}
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FileClose(file_handle);
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Print("Success! Data exported to: ", filename);
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}
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//+------------------------------------------------------------------+
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//| Core Logic: Run Quant Analysis |
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//+------------------------------------------------------------------+
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bool RunQuantAnalysis(string sym, double bench_change, QuantData &data)
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{
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// --- Common Data ---
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data.timestamp = TimeToString(TimeCurrent(), TIME_DATE|TIME_MINUTES);
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StringReplace(data.timestamp, ".", ".");
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data.symbol = sym;
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data.price = SymbolInfoDouble(sym, SYMBOL_BID);
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// =================================================================
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// PHASE 1: H1 CONTEXT
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// =================================================================
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// Fetch H1 Data
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double h1_o[], h1_h[], h1_l[], h1_c[];
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long h1_v[];
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datetime h1_t[];
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// Use InpScanHistory instead of hardcoded 300
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if(!FetchData(sym, InpTFSlow, InpScanHistory, h1_t, h1_o, h1_h, h1_l, h1_c, h1_v))
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return false;
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// 1. H1 ATR
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double h1_atr = Calc_ATR(h1_o, h1_h, h1_l, h1_c, InpATRPeriod);
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if(h1_atr == 0)
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return false;
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// 2. Trend Score
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data.trend_score = Calc_DSMA_Score(h1_o, h1_h, h1_l, h1_c, h1_atr);
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// 3. Trend Quality
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data.trend_qual = Calc_EfficiencyRatio(h1_c, InpERPeriod);
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// 4. Zone
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data.zone = Calc_MurreyZone(sym, InpTFSlow);
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// 5. Relative Strength
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double sym_change = 0;
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int total_h1 = ArraySize(h1_c);
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// Uses InpRSBars input for lookback
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if(total_h1 > InpRSBars + 1)
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{
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double c_now = h1_c[total_h1-2]; // Close[1]
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double o_old = h1_o[total_h1-2-(InpRSBars-1)]; // Match Benchmark logic
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if(o_old != 0)
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sym_change = ((c_now - o_old) / o_old) * 100.0;
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}
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data.rel_strength = sym_change - bench_change;
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// =================================================================
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// PHASE 2: M15 TRIGGER
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// =================================================================
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// Fetch M15 Data
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double m15_o[], m15_h[], m15_l[], m15_c[];
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long m15_v[];
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datetime m15_t[];
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if(!FetchData(sym, InpTFFast, InpScanHistory, m15_t, m15_o, m15_h, m15_l, m15_c, m15_v))
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return false;
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double m15_atr = Calc_ATR(m15_o, m15_h, m15_l, m15_c, InpATRPeriod);
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// 1. Momentum
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data.momentum = Calc_LaguerreRSI(m15_o, m15_h, m15_l, m15_c);
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// 2. Volume Quality
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data.vol_qual = Calc_RVOL(m15_v, InpRVOLPeriod);
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// 3. Squeeze
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data.squeeze = Calc_Squeeze(sym, InpTFFast, m15_o, m15_h, m15_l, m15_c);
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// 4. Z-Score
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data.z_score = Calc_ZScore(m15_c, InpZScorePeriod);
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// 5. Volatility Regime
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double atr_fast = Calc_ATR(m15_o, m15_h, m15_l, m15_c, 5);
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double atr_slow = Calc_ATR(m15_o, m15_h, m15_l, m15_c, 50);
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if(atr_slow != 0)
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data.vola_regime = atr_fast / atr_slow;
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else
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data.vola_regime = 1.0;
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// 6. TSI Direction
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Calc_TSI_Dir(m15_o, m15_h, m15_l, m15_c, data.tsi_dir);
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// =================================================================
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// PHASE 3: COMPOSITE METRICS
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// =================================================================
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// A. Mean Reversion Probability
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double score = 0;
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double abs_z = MathAbs(data.z_score);
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if(abs_z > 3.0)
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score += 40;
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else
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if(abs_z > 2.0)
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score += 20;
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if(StringFind(data.zone, "Extreme") >= 0 || StringFind(data.zone, "8/8") >= 0 || StringFind(data.zone, "0/8") >= 0)
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score += 30;
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if(data.momentum > 0.90 || data.momentum < 0.10)
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score += 30;
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data.rev_prob = score;
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// B. Institutional Absorption
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int last_idx = ArraySize(m15_c) - 2; // Index of last completed bar
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if(last_idx >= 0 && m15_atr > 0)
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{
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double body = MathAbs(m15_c[last_idx] - m15_o[last_idx]);
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double bar_rvol = Calc_RVOL_Single(m15_v, InpRVOLPeriod, last_idx);
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if(bar_rvol > 2.0 && body < (0.4 * m15_atr))
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data.absorption = "YES";
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else
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data.absorption = "NO";
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}
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else
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{
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data.absorption = "-";
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}
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return true;
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}
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//+------------------------------------------------------------------+
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//| WRAPPER: Fetch Data |
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//+------------------------------------------------------------------+
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bool FetchData(string sym, ENUM_TIMEFRAMES tf, int count, datetime &t[], double &o[], double &h[], double &l[], double &c[], long &v[])
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{
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ArraySetAsSeries(t, false);
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ArraySetAsSeries(o, false);
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ArraySetAsSeries(h, false);
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ArraySetAsSeries(l, false);
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ArraySetAsSeries(c, false);
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ArraySetAsSeries(v, false);
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if(CopyTime(sym, tf, 0, count, t) != count)
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return false;
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if(CopyOpen(sym, tf, 0, count, o) != count)
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return false;
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if(CopyHigh(sym, tf, 0, count, h) != count)
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return false;
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if(CopyLow(sym, tf, 0, count, l) != count)
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return false;
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if(CopyClose(sym, tf, 0, count, c) != count)
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return false;
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if(CopyTickVolume(sym, tf, 0, count, v) != count)
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return false;
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return true;
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}
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//+------------------------------------------------------------------+
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//| WRAPPER: ATR |
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//+------------------------------------------------------------------+
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double Calc_ATR(const double &o[], const double &h[], const double &l[], const double &c[], int p)
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{
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CATRCalculator calc;
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if(!calc.Init(p, ATR_POINTS))
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return 0;
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double buf[];
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int total = ArraySize(c);
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calc.Calculate(total, 0, o, h, l, c, buf);
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return buf[total-1];
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}
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//+------------------------------------------------------------------+
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//| WRAPPER: DSMA Score |
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//+------------------------------------------------------------------+
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double Calc_DSMA_Score(const double &o[], const double &h[], const double &l[], const double &c[], double atr)
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{
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CDSMACalculator calc;
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if(!calc.Init(InpDSMAPeriod))
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return 0;
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double buf[];
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int total = ArraySize(c);
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ArrayResize(buf, total);
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calc.Calculate(total, 0, PRICE_CLOSE, o, h, l, c, buf);
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if(atr == 0)
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return 0;
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return (c[total-1] - buf[total-1]) / atr;
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}
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//+------------------------------------------------------------------+
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//| WRAPPER: RVOL (Average) |
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//+------------------------------------------------------------------+
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double Calc_RVOL(const long &vol[], int period)
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{
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return Calc_RVOL_Single(vol, period, ArraySize(vol)-1);
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}
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//+------------------------------------------------------------------+
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//| WRAPPER: RVOL (Specific Index) |
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//+------------------------------------------------------------------+
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double Calc_RVOL_Single(const long &vol[], int period, int index)
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{
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if(index < period)
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return 1.0;
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double sum = 0;
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for(int i=1; i<=period; i++)
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sum += (double)vol[index - i];
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double avg = sum / period;
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if(avg == 0)
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return 0;
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return (double)vol[index] / avg;
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}
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//+------------------------------------------------------------------+
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//| WRAPPER: Z-Score |
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//+------------------------------------------------------------------+
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double Calc_ZScore(const double &price[], int period)
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{
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int total = ArraySize(price);
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if(total <= period)
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return 0;
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double sum = 0;
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for(int i=0; i<period; i++)
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sum += price[total-1-i];
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double sma = sum / period;
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double sum_sq = 0;
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for(int i=0; i<period; i++)
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sum_sq += MathPow(price[total-1-i] - sma, 2);
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double std_dev = MathSqrt(sum_sq / period);
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if(std_dev == 0)
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return 0;
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return (price[total-1] - sma) / std_dev;
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}
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//+------------------------------------------------------------------+
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//| WRAPPER: Efficiency Ratio (ER) |
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//+------------------------------------------------------------------+
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double Calc_EfficiencyRatio(const double &price[], int period)
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{
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int total = ArraySize(price);
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if(total <= period)
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return 0;
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double net_change = MathAbs(price[total-1] - price[total-1-period]);
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double sum_change = 0;
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for(int i=0; i<period; i++)
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sum_change += MathAbs(price[total-1-i] - price[total-1-i-1]);
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if(sum_change == 0)
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return 0;
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return net_change / sum_change;
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}
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//+------------------------------------------------------------------+
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//| WRAPPER: Squeeze |
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//+------------------------------------------------------------------+
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string Calc_Squeeze(string sym, ENUM_TIMEFRAMES tf, const double &o[], const double &h[], const double &l[], const double &c[])
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{
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int total = ArraySize(c);
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CBollingerBandsCalculator bb;
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if(!bb.Init(InpSqueezeLength, InpBBMult, SMA))
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return "ERR";
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double b_ma[], b_up[], b_lo[];
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ArrayResize(b_ma, total);
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ArrayResize(b_up, total);
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ArrayResize(b_lo, total);
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bb.Calculate(total, 0, PRICE_CLOSE, o, h, l, c, b_ma, b_up, b_lo);
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CKeltnerChannelCalculator kc;
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if(!kc.Init(InpSqueezeLength, SMA, InpSqueezeLength, InpKCMult, ATR_SOURCE_STANDARD))
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return "ERR";
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double k_ma[], k_up[], k_lo[];
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ArrayResize(k_ma, total);
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ArrayResize(k_up, total);
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ArrayResize(k_lo, total);
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kc.Calculate(total, 0, o, h, l, c, PRICE_CLOSE, k_ma, k_up, k_lo);
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int idx = total - 1;
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bool squeeze_on = (b_up[idx] < k_up[idx]) && (b_lo[idx] > k_lo[idx]);
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return squeeze_on ? "ON" : "OFF";
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}
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//+------------------------------------------------------------------+
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//| WRAPPER: Laguerre RSI |
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//+------------------------------------------------------------------+
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double Calc_LaguerreRSI(const double &o[], const double &h[], const double &l[], const double &c[])
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{
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CLaguerreRSICalculator calc;
|
|
if(!calc.Init(InpLaguerreGamma, 3, SMA))
|
|
return 0;
|
|
double lrsi[], sig[];
|
|
int total = ArraySize(c);
|
|
ArrayResize(lrsi, total);
|
|
ArrayResize(sig, total);
|
|
calc.Calculate(total, 0, PRICE_CLOSE, o, h, l, c, lrsi, sig);
|
|
return lrsi[total-1] / 100.0;
|
|
}
|
|
|
|
//+------------------------------------------------------------------+
|
|
//| WRAPPER: TSI Direction |
|
|
//+------------------------------------------------------------------+
|
|
void Calc_TSI_Dir(const double &o[], const double &h[], const double &l[], const double &c[], string &dir)
|
|
{
|
|
CTSICalculator calc;
|
|
if(!calc.Init(InpTSI_Slow, EMA, InpTSI_Fast, EMA, InpTSI_Signal, EMA))
|
|
{
|
|
dir="ERR";
|
|
return;
|
|
}
|
|
double tsi[], sig[], osc[];
|
|
int total = ArraySize(c);
|
|
ArrayResize(tsi, total);
|
|
ArrayResize(sig, total);
|
|
ArrayResize(osc, total);
|
|
calc.Calculate(total, 0, PRICE_CLOSE, o, h, l, c, tsi, sig, osc);
|
|
if(tsi[total-1] > sig[total-1])
|
|
dir = "BULL";
|
|
else
|
|
dir = "BEAR";
|
|
}
|
|
|
|
//+------------------------------------------------------------------+
|
|
//| WRAPPER: Murrey Math |
|
|
//+------------------------------------------------------------------+
|
|
string Calc_MurreyZone(string symbol, ENUM_TIMEFRAMES tf)
|
|
{
|
|
CMurreyMathCalculator calc;
|
|
if(!calc.Init(symbol, tf, InpMurreyPeriod, 0))
|
|
return "N/A";
|
|
double levels[];
|
|
if(!calc.Calculate(levels))
|
|
return "N/A";
|
|
|
|
double price = SymbolInfoDouble(symbol, SYMBOL_BID);
|
|
if(price < levels[2])
|
|
return "Extreme Low";
|
|
if(price > levels[10])
|
|
return "Extreme High";
|
|
|
|
if(price >= levels[2] && price < levels[3])
|
|
return "0/8-1/8 (Bottom)";
|
|
if(price >= levels[3] && price < levels[4])
|
|
return "1/8-2/8 (Weak)";
|
|
if(price >= levels[4] && price < levels[6])
|
|
return "2/8-4/8 (Lower)";
|
|
if(price >= levels[6] && price < levels[8])
|
|
return "4/8-6/8 (Upper)";
|
|
if(price >= levels[8] && price < levels[9])
|
|
return "6/8-7/8 (Weak)";
|
|
if(price >= levels[9] && price <= levels[10])
|
|
return "7/8-8/8 (Top)";
|
|
|
|
return "Middle";
|
|
}
|
|
//+------------------------------------------------------------------+
|
|
//+------------------------------------------------------------------+
|