mql5/Scripts/MyScripts/Market_Scanner_Pro.md

Market Scanner Pro (Script)

1. Summary (Introduction)

The Market_Scanner_Pro is a high-performance quantitative analysis tool designed to bridge the gap between technical charting and AI-assisted trading. It performs a multi-timeframe, multi-indicator scan across a portfolio of assets and exports the "Market State" into a structured CSV format suitable for Large Language Models (LLMs) or statistical analysis tools (Python/Excel).

Instead of relying on basic price data, this script generates "QuantScan 2.0" metrics: it converts raw indicator values into normalized scores (e.g., Z-Score, Efficiency Ratio), providing a deep insight into Trend Quality, Momentum, and Statistical Extremes.

2. Methodology and Logic

The script employs a Hybrid Analysis Model, splitting metrics into two logical timeframes:

1. Context Layer (H1): Analyzes the "Big Picture". It determines the dominant trend direction, the structural quality of that trend, and key support/resistance zones.
2. Trigger Layer (M15): Analyzes the "Execution Timing". It looks for momentum shifts, volume anomalies, and statistical reversion signals.

Key Metrics Calculated

• Trend Score (Z-Score Proxy): Measures how far the price is from the mean (DSMA) in units of volatility (ATR). A score of +2.0 means the price is 2 standard deviations above the trend.
• Trend Quality (Efficiency Ratio): Differentiates between a smooth, tradeable trend (High ER) and a choppy, dangerous market (Low ER).
• Volatility Regime (Squeeze): Identifies periods of low volatility (Bollinger Bands inside Keltner Channels) that often precede explosive moves.
• Volume Quality (RVOL): Checks if the current move is supported by institutional volume (Relative Volume > 1.0).

3. MQL5 Implementation Details

The script is built upon the "Professional Indicator Suite" architecture, ensuring mathematical precision and performance.

• Calculation Engines (.mqh): Instead of using slow iCustom calls, the script directly instantiates the optimized Calculation Classes (e.g., CDSMACalculator, CVWAPCalculator) used by our indicators. This guarantees that the CSV data matches the chart visuals 100%.
• Defensive Programming: The implementation includes rigorous "Safety Checks" (e.g., array bounds checking in ATR, data availability validation) to prevent runtime crashes, even when scanning hundreds of symbols.
• Smart Data Fetching: It utilizes FetchData wrappers that efficiently retrieve OHLCV data and organize it into chronological arrays (ArraySetAsSeries(false)), optimized for our incremental calculation engines.

4. Parameters

• Scanner Config:
  • InpUseMarketWatch: If true, scans every active symbol in the Market Watch window.
  • InpSymbolList: A comma-separated list of symbols to scan if Market Watch is disabled (e.g., EURUSD, BTCUSD, US500).
• Timeframes:
  • InpTFFast: The timeframe for Trigger metrics (Default: M15).
  • InpTFSlow: The timeframe for Context metrics (Default: H1).
• Metric Settings:
  • Allows fine-tuning of indicators (e.g., InpDSMAPeriod, InpLaguerreGamma, InpRVOLPeriod).
• Squeeze Settings:
  • Controls the sensitivity of the volatility squeeze detection (BB Multiplier, KC Multiplier).

5. Output Data Structure (CSV)

The script generates a file named QuantScan_YYYY.MM.DD_HHMM.csv in the MQL5\Files folder.

Columns Explanation

Header	Description	Interpretation
TIME	Timestamp	YYYY.MM.DD HH:MM format.
SYMBOL	Asset Name	e.g. EURUSD.
PRICE	Current Bid	The snapshot price at scan time.
TREND_SCORE	H1 Trend Strength	Normalized deviation from trend. • > +1.0: Strong Bull • < -1.0: Strong Bear
TREND_QUAL	H1 Efficiency	Quality of the trend (Kaufman ER). • > 0.6: Clean Trend • < 0.3: Noise/Chop
ZONE	H1 Structure	Murrey Math Level. • Extreme: Reversal likely. • Range: Trading Zone.
MOMENTUM	M15 Laguerre	Fast momentum (0.0 - 1.0). • > 0.8: Bullish Pressure • < 0.2: Bearish Pressure
VOL_QUAL	M15 RVOL	Instant Institutional Interest. • > 1.5: High Activity • < 0.8: No interest
SQUEEZE	M15 Vola State	TTM Squeeze status. • ON: Energy building (Prepare for breakout).
TSI_DIR	M15 Cycle	True Strength Index direction (BULL / BEAR).

6. Usage Workflow

1. Run the Script: Drag Market_Scanner_Pro onto any chart.
2. Wait for Completion: Check the "Experts" tab for progress. It usually takes a few seconds to scan 20-30 symbols.
3. Locate File: Open "File -> Open Data Folder -> MQL5 -> Files".
4. Process with AI: Upload the QuantScan_....csv file to your LLM (GPT-4 / Claude 3) with a prompt like:

   "Analyze this market data. Identify high-quality trend setups where TREND_QUANT > 0.6 and SQUEEZE is ON. Also, warn me about mean reversion risks where Z_SCORE > 2.5."