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mql5/Scripts/MyScripts/Market_Scanner_Pro.mq5
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Toh4iem9 a4b57241ab refactor(scripts): ADVANCED ABSORPTION LOGIC v3
2026-02-17 22:40:14 +01:00

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//+------------------------------------------------------------------+
//| Market_Scanner_Pro.mq5 |
//| QuantScan 9.1 - Next Gen Statistics |
//| Copyright 2026, xxxxxxxx |
//+------------------------------------------------------------------+
#property copyright "Copyright 2026, xxxxxxxx"
#property version "9.10" // Squeeze Momentum Integration
#property description "Exports 'QuantScan 9.0' dataset for LLM Analysis."
#property description "Features Advanced Statistical Filters (VHF, R2, V-Score)."
#property script_show_inputs
//--- Includes
#include <MyIncludes\TSI_Calculator.mqh>
#include <MyIncludes\MurreyMath_Calculator.mqh>
#include <MyIncludes\ATR_Calculator.mqh>
#include <MyIncludes\MathStatistics_Calculator.mqh>
#include <MyIncludes\RelativeVolume_Calculator.mqh>
#include <MyIncludes\SessionLevels_Calculator.mqh>
#include <MyIncludes\Metrics_Tools.mqh>
#include <MyIncludes\DataSync_Tools.mqh>
#include <MyIncludes\Squeeze_Calculator.mqh>
// NEW Integrations:
#include <MyIncludes\VHF_Calculator.mqh>
#include <MyIncludes\LinearRegression_Calculator.mqh>
#include <MyIncludes\VScore_Calculator.mqh>
#include <MyIncludes\Autocorrelation_Calculator.mqh>
//--- Input Parameters
input group "Scanner Config"
input bool InpUseMarketWatch = false;
input string InpSymbolList = "EURUSD,USDJPY,GBPUSD,USDCHF,AUDUSD,XAUUSD,US500,DE40,XTIUSD,ETHUSD";
input string InpBenchmark = "US500";
input string InpForexBench = "DX";
input string InpBrokerTimeZone = "EET (UTC+2)";
input int InpScanHistory = 500;
input group "Benchmark Settings"
input int InpBetaLookback = 60;
input group "Timeframes"
input ENUM_TIMEFRAMES InpTFFast = PERIOD_M5; // Layer 3 (Trigger)
input ENUM_TIMEFRAMES InpTFMiddle= PERIOD_M15; // Layer 2 (Flow)
input ENUM_TIMEFRAMES InpTFSlow = PERIOD_H1; // Layer 1 (Context)
input group "Metric Settings"
input int InpVHFPeriod = 28; // VHF Lookback
input int InpR2Period = 20; // R-Squared Lookback
input int InpVScorePeriod = 20; // V-Score Period
input int InpAutoCorrPeriod = 20; // Autocorrelation Window
// Standard settings
input int InpMurreyPeriod = 64;
input int InpATRPeriod = 14;
input int InpRSBars = 24;
input int InpRVOLPeriod = 20;
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
input group "TSI Settings (For MTF Align)"
input int InpTSI_Slow = 25;
input int InpTSI_Fast = 13;
input int InpTSI_Signal = 13;
input group "Squeeze Settings"
input int InpSqueezeLength = 20;
input double InpBBMult = 2.0;
input double InpKCMult = 1.5;
input int InpSqueezeMom = 12; // NEW
//--- QuantData Struct (Updated Layout)
struct QuantData
{
string timestamp;
string symbol;
double price;
// H1 Context
string alpha_str; // Alpha
string beta_str; // Beta
double vhf; // VHF
double r2; // R-Squared
string zone; // Murrey Zone
// M15 Flow
double v_score; // VWAP Z-Score
double autocorr; // Lag-1 Correlation
double vol_regime; // ATR(5)/ATR(50)
string sqz; // Squeeze State
double sqz_mom; // New
double m15_vhf; // New
double m15_r2; // New
double dist_pdh;
double dist_pdl;
// M5 Trigger
double velocity;
double vol_thrust; // M5 RVOL / M15 RVOL
double cost_atr;
// Composites
string absorption;
string mtf_align;
// Internal TSI Hist for Breadth/Align
double h1_tsi_hist;
double m15_tsi_hist;
double m5_tsi_hist;
};
//--- Helper: Detect Asset Class
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, "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;
}
//+------------------------------------------------------------------+
//| Helper: Get Sentiment String for TF (Extended Format) |
//+------------------------------------------------------------------+
string GetSentimentForTF(ENUM_TIMEFRAMES tf)
{
if(!CDataSync::EnsureDataReady(InpBenchmark, tf, 2))
return "N/A";
if(!CDataSync::EnsureDataReady(InpForexBench, tf, 2))
return "N/A";
double u_clos[2], d_clos[2];
if(CopyClose(InpBenchmark, tf, 1, 2, u_clos) != 2)
return "N/A";
if(CopyClose(InpForexBench, tf, 1, 2, d_clos) != 2)
return "N/A";
double u_chg = u_clos[1] - u_clos[0];
double d_chg = d_clos[1] - d_clos[0];
double u_pct = (u_clos[0]!=0) ? (u_chg / u_clos[0])*100.0 : 0;
double d_pct = (d_clos[0]!=0) ? (d_chg / d_clos[0])*100.0 : 0;
string state = "MIXED";
if(d_chg < 0 && u_chg > 0)
state = "RISK-ON";
else
if(d_chg > 0 && u_chg < 0)
state = "RISK-OFF";
else
if(d_chg > 0 && u_chg > 0)
state = "STRESS";
else
if(d_chg < 0 && u_chg < 0)
state = "DEFLATION";
string tf_name = EnumToString(tf);
StringReplace(tf_name, "PERIOD_", "");
// FIX: Return full format string
return StringFormat("%s: %s (US:%.2f%% DX:%.2f%%)", tf_name, state, u_pct, d_pct);
}
//--- Forward Declarations
// Updated list of wrappers
bool FetchData(string sym, ENUM_TIMEFRAMES tf, int count, datetime &t[], double &o[], double &h[], double &l[], double &c[], long &v[]);
double Calc_ATR(const double &o[], const double &h[], const double &l[], const double &c[], int p, int idx);
string Calc_Squeeze(string sym, ENUM_TIMEFRAMES tf, const double &o[], const double &h[], const double &l[], const double &c[], int idx);
string Calc_MurreyZone(string symbol, ENUM_TIMEFRAMES tf);
double Calc_Velocity(const double &close[], double atr, int period, int idx);
double Calc_RVOL(const long &vol[], int p, int idx);
void Calc_TSI_Values(const double &o[], const double &h[], const double &l[], const double &c[], int idx, double &val, double &hist);
// New Wrappers
double Calc_VHF(const double &o[], const double &h[], const double &l[], const double &c[], int p, int idx);
double Calc_R2(const double &o[], const double &h[], const double &l[], const double &c[], int p, int idx);
double Calc_VScore(string sym, const datetime &t[], const double &o[], const double &h[], const double &l[], const double &c[], const long &v[], int p, int idx);
double Calc_AutoCorr(const double &o[], const double &h[], const double &l[], const double &c[], int p, int idx);
//+------------------------------------------------------------------+
//| Script Start |
//+------------------------------------------------------------------+
void OnStart()
{
string symbols[];
int total_symbols = 0;
if(InpUseMarketWatch)
{
total_symbols = SymbolsTotal(true);
ArrayResize(symbols, total_symbols);
for(int i=0; i<total_symbols; i++)
symbols[i] = SymbolName(i, true);
}
else
{
string sep = ",";
ushort u_sep = StringGetCharacter(sep, 0);
total_symbols = StringSplit(InpSymbolList, u_sep, symbols);
}
// --- Global Sentiment ---
string sentiment_line = "### GLOBAL_SENTIMENT | ";
bool has_us500 = SymbolSelect(InpBenchmark, true);
bool has_dxy = SymbolSelect(InpForexBench, true);
if(has_us500 && has_dxy)
{
sentiment_line += GetSentimentForTF(InpTFSlow) + " | " + GetSentimentForTF(InpTFMiddle) + " | " + GetSentimentForTF(InpTFFast) + " ###";
}
else
sentiment_line += "Benchmarks Missing ###";
// Sync for RS
if(has_us500)
CDataSync::EnsureDataReady(InpBenchmark, InpTFSlow);
string filename = "QuantScan_" + TimeToString(TimeCurrent(), TIME_DATE|TIME_MINUTES) + ".csv";
StringReplace(filename, ":", "");
StringReplace(filename, " ", "_");
int file_handle = FileOpen(filename, FILE_CSV|FILE_WRITE|FILE_ANSI, ";");
if(file_handle == INVALID_HANDLE)
return;
// --- SCAN & STORE for Breadth ---
PrintFormat("Scanning %d symbols...", total_symbols);
QuantData results[];
int success_count = 0;
for(int i=0; i<total_symbols; i++)
{
string sym = symbols[i];
StringTrimLeft(sym);
StringTrimRight(sym);
QuantData temp_data;
ZeroMemory(temp_data);
if(RunQuantAnalysis(sym, temp_data))
{
ArrayResize(results, success_count + 1);
results[success_count] = temp_data;
success_count++;
}
else
Print("Scan Failed: ", sym);
}
// --- BREADTH SCORE ---
// Count TSI Bullishness across portfolio (H1 or M15?) usually Trend Context (H1) matters most for Breadth.
int bulls = 0;
for(int i=0; i<success_count; i++)
{
if(results[i].h1_tsi_hist > 0)
bulls++; // Using H1 Histogram direction
}
double breadth_pct = (success_count>0) ? ((double)bulls/success_count)*100.0 : 0;
sentiment_line += StringFormat(" BREADTH: %d/%d (%.0f%% Bullish)", bulls, success_count, breadth_pct);
// --- WRITE HEADERS ---
FileWrite(file_handle, sentiment_line);
string str_slow = EnumToString(InpTFSlow);
StringReplace(str_slow, "PERIOD_", "");
string str_mid = EnumToString(InpTFMiddle);
StringReplace(str_mid, "PERIOD_", "");
string str_fast = EnumToString(InpTFFast);
StringReplace(str_fast, "PERIOD_", "");
string header = "TIME (" + InpBrokerTimeZone + ");SYMBOL;PRICE;";
// Layer 1
header += StringFormat("ALPHA_%s;BETA_%s;VHF_%s;R2_%s;ZONE_%s;", str_slow, str_slow, str_slow, str_slow, str_slow);
// Layer 2
header += StringFormat("V_SCORE_%s;AUTOCORR_%s;VOL_REGIME_%s;SQZ_%s;SQZ_MOM_%s;VHF_%s;R2_%s;DIST_PDH;DIST_PDL;", str_mid, str_mid, str_mid, str_mid, str_mid, str_mid, str_mid);
// Layer 3
header += StringFormat("VEL_%s;VOL_THRUST;COST_ATR_%s;", str_fast, str_fast);
// Composites
header += "ABSORPTION;MTF_ALIGN";
FileWrite(file_handle, header);
// --- WRITE DATA ---
for(int i=0; i<success_count; i++)
{
FileWrite(file_handle,
results[i].timestamp,
results[i].symbol,
DoubleToString(results[i].price, (int)SymbolInfoInteger(results[i].symbol, SYMBOL_DIGITS)),
// L1
results[i].alpha_str,
results[i].beta_str,
DoubleToString(results[i].vhf, 2),
DoubleToString(results[i].r2, 2),
results[i].zone,
// L2
DoubleToString(results[i].v_score, 2),
DoubleToString(results[i].autocorr, 2),
DoubleToString(results[i].vol_regime, 2),
results[i].sqz,
DoubleToString(results[i].sqz_mom, 2),
DoubleToString(results[i].m15_vhf, 2),
DoubleToString(results[i].m15_r2, 2),
DoubleToString(results[i].dist_pdh, 2),
DoubleToString(results[i].dist_pdl, 2),
// L3
DoubleToString(results[i].velocity, 2),
DoubleToString(results[i].vol_thrust, 2),
DoubleToString(results[i].cost_atr, 2),
// Composite
results[i].absorption,
results[i].mtf_align
);
}
FileClose(file_handle);
Print("Done. File: ", filename);
}
//+------------------------------------------------------------------+
//| Core Logic |
//+------------------------------------------------------------------+
bool RunQuantAnalysis(string sym, QuantData &data)
{
data.timestamp = TimeToString(TimeCurrent(), TIME_DATE|TIME_MINUTES);
StringReplace(data.timestamp, ".", ".");
data.symbol = sym;
data.price = SymbolInfoDouble(sym, SYMBOL_BID);
// =================================================================
// LAYER 1: CONTEXT (H1) - LIVE
// =================================================================
double slow_o[], slow_h[], slow_l[], slow_c[];
long slow_v[];
datetime slow_t[];
if(!FetchData(sym, InpTFSlow, InpScanHistory, slow_t, slow_o, slow_h, slow_l, slow_c, slow_v))
return false;
int idx_l1 = ArraySize(slow_c) - 1;
// 1. Alpha / Beta (Live)
// --- BETA / ALPHA + REL STRENGTH (Time-Synced) ---
bool is_benchmark = (sym == InpBenchmark || sym == InpForexBench);
if(is_benchmark)
{
//data.rel_strength_str="BENCH";
data.beta_str="1.0";
data.alpha_str="0.0";
}
else
{
string bench_sym = InpBenchmark;
if(IsForexPair(sym) && SymbolSelect(InpForexBench, true))
bench_sym = InpForexBench;
// Fetch Benchmark Full History
double b_c[], dum_o[], dum_h[], dum_l[];
long dum_v[];
datetime b_t[];
if(CDataSync::EnsureDataReady(bench_sym, InpTFSlow, InpScanHistory))
{
if(FetchData(bench_sym, InpTFSlow, InpScanHistory, b_t, dum_o, dum_h, dum_l, b_c, dum_v))
{
CMathStatisticsCalculator stats;
int h1_size = ArraySize(slow_c);
int bench_size = ArraySize(b_c);
// Allocate for Beta (Longer period usually)
int lookback_beta = InpBetaLookback;
double asset_subset[];
ArrayResize(asset_subset, lookback_beta);
double bench_subset[];
ArrayResize(bench_subset, lookback_beta);
int valid_points = 0;
// Variables for RS Calculation (Shorter period)
double rs_asset_start = 0, rs_bench_start = 0;
double rs_asset_end = 0, rs_bench_end = 0;
bool rs_start_found = false;
// Loop backwards from current LIVE bar
for(int k=0; k<lookback_beta; k++)
{
int a_idx = h1_size - 1 - k;
if(a_idx < 0)
break;
datetime a_time = slow_t[a_idx];
int b_idx_arr = ArrayBsearch(b_t, a_time); // Binary search for time match
// Value to store
double a_val = slow_c[a_idx];
double b_val = (b_idx_arr >= 0 && b_idx_arr < bench_size && b_t[b_idx_arr] == a_time) ?
b_c[b_idx_arr] : (k>0 ? bench_subset[lookback_beta - k] : 0);
if(b_idx_arr >= 0 && b_idx_arr < bench_size && b_t[b_idx_arr] == a_time)
{
b_val = b_c[b_idx_arr];
}
else
{
// Gap filling
if(k>0 && (lookback_beta-k) < lookback_beta)
b_val = bench_subset[lookback_beta-k]; // Next element in array (which is 'newer' since we fill from end)
else
b_val = b_c[MathMin(bench_size-1, b_idx_arr>0?b_idx_arr:0)]; // Fallback
}
int sub_idx = lookback_beta - 1 - k;
asset_subset[sub_idx] = a_val;
bench_subset[sub_idx] = b_val;
valid_points++;
// --- RS Logic Capture ---
// End Price (k=0)
if(k==0)
{
rs_asset_end = a_val;
rs_bench_end = b_val;
}
// Start Price (k = InpRSBars)
if(k == InpRSBars)
{
rs_asset_start = a_val;
rs_bench_start = b_val;
rs_start_found = true;
}
}
// 1. Calc Beta/Alpha (Long Term)
if(valid_points > lookback_beta / 2)
{
double asset_ret[], bench_ret[];
stats.ComputeReturns(asset_subset, asset_ret);
stats.ComputeReturns(bench_subset, bench_ret);
double beta_val = stats.CalculateBeta(asset_ret, bench_ret);
// Alpha on Beta Period
double a_tot_beta = (asset_subset[lookback_beta-1] - asset_subset[0]) / asset_subset[0];
double b_tot_beta = (bench_subset[lookback_beta-1] - bench_subset[0]) / bench_subset[0];
double alpha_val = stats.CalculateAlpha(a_tot_beta, b_tot_beta, beta_val);
data.beta_str = DoubleToString(beta_val, 2);
data.alpha_str = DoubleToString(alpha_val, 4);
}
else
{
data.beta_str = "0";
data.alpha_str = "0";
}
// 2. Calc Relative Strength (Short Term - InpRSBars)
//if(rs_start_found && rs_asset_start != 0 && rs_bench_start != 0)
// {
// double a_perf = (rs_asset_end - rs_asset_start) / rs_asset_start;
// double b_perf = (rs_bench_end - rs_bench_start) / rs_bench_start;
// double rel_val = (a_perf - b_perf) * 100.0;
//data.rel_strength_str = DoubleToString(rel_val, 2) + "%";
//}
//else
// {
// data.rel_strength_str = "-";
// }
}
}
}
// 2. VHF (Live)
data.vhf = Calc_VHF(slow_o, slow_h, slow_l, slow_c, InpVHFPeriod, idx_l1);
// 3. R-Squared (Live)
data.r2 = Calc_R2(slow_o, slow_h, slow_l, slow_c, InpR2Period, idx_l1);
// 4. Zone (Murrey)
data.zone = Calc_MurreyZone(sym, InpTFSlow);
// 5. Calc TSI H1 (Hidden from CSV but used for MTF Align Breadth)
double tsi_main_h1=0;
Calc_TSI_Values(slow_o, slow_h, slow_l, slow_c, idx_l1, tsi_main_h1, data.h1_tsi_hist);
// =================================================================
// LAYER 2: FLOW (M15) - LIVE
// =================================================================
double mid_o[], mid_h[], mid_l[], mid_c[];
long mid_v[];
datetime mid_t[];
if(!FetchData(sym, InpTFMiddle, InpScanHistory, mid_t, mid_o, mid_h, mid_l, mid_c, mid_v))
return false;
int idx_l2 = ArraySize(mid_c) - 1;
double mid_atr = Calc_ATR(mid_o, mid_h, mid_l, mid_c, InpATRPeriod, idx_l2);
// 1. V-Score (Live)
data.v_score = Calc_VScore(sym, mid_t, mid_o, mid_h, mid_l, mid_c, mid_v, InpVScorePeriod, idx_l2);
// 2. Autocorrelation (Live)
data.autocorr = Calc_AutoCorr(mid_o, mid_h, mid_l, mid_c, InpAutoCorrPeriod, idx_l2);
// 3. Vol Regime (Live)
double atr_f = Calc_ATR(mid_o, mid_h, mid_l, mid_c, 5, idx_l2);
double atr_s = Calc_ATR(mid_o, mid_h, mid_l, mid_c, 50, idx_l2);
data.vol_regime = (atr_s!=0) ? atr_f/atr_s : 1.0;
// 4. Squeeze
Calc_Squeeze_Full(sym, InpTFMiddle, mid_o, mid_h, mid_l, mid_c, idx_l2, data.sqz, data.sqz_mom);
// 5. VHF & R2 (Live)
data.m15_vhf = Calc_VHF(mid_o, mid_h, mid_l, mid_c, InpVHFPeriod, idx_l2);
data.m15_r2 = Calc_R2(mid_o, mid_h, mid_l, mid_c, InpR2Period, idx_l2);
// 6. Dist PDH/PDL
CSessionLevelsCalculator sess_calc;
if(sess_calc.Init(PERIOD_D1))
{
SessionLevels sl;
if(sess_calc.GetLevels(sym, mid_t[idx_l2], sl))
{
data.dist_pdh = CMetricsTools::CalculateDistance(mid_c[idx_l2], sl.prev_high, mid_atr);
data.dist_pdl = CMetricsTools::CalculateDistance(mid_c[idx_l2], sl.prev_low, mid_atr);
}
}
// M15 TSI for Align
double tsi_main_m15=0;
Calc_TSI_Values(mid_o, mid_h, mid_l, mid_c, idx_l2, tsi_main_m15, data.m15_tsi_hist);
// RVOL M15 for Thrust
double rvol_m15 = Calc_RVOL(mid_v, InpRVOLPeriod, idx_l2);
// =================================================================
// LAYER 3: TRIGGER (M5) - LIVE
// =================================================================
double fast_o[], fast_h[], fast_l[], fast_c[];
long fast_v[];
datetime fast_t[];
if(!FetchData(sym, InpTFFast, 300, fast_t, fast_o, fast_h, fast_l, fast_c, fast_v))
return false;
int idx_l3 = ArraySize(fast_c) - 1;
double fast_atr = Calc_ATR(fast_o, fast_h, fast_l, fast_c, InpATRPeriod, idx_l3);
// 1. Velocity
data.velocity = Calc_Velocity(fast_c, fast_atr, 3, idx_l3);
// 2. Volume Thrust
double rvol_m5 = Calc_RVOL(fast_v, InpRVOLPeriod, idx_l3);
if(rvol_m15 > 0)
data.vol_thrust = rvol_m5 / rvol_m15;
else
data.vol_thrust = 0;
// 3. Cost
data.cost_atr = CMetricsTools::CalculateSpreadCost(sym, fast_atr);
double tsi_main_m5 = 0;
Calc_TSI_Values(fast_o, fast_h, fast_l, fast_c, idx_l3, tsi_main_m5, data.m5_tsi_hist);
// =================================================================
// COMPOSITES
// =================================================================
// =================================================================
// ADVANCED ABSORPTION LOGIC v3 (Wyckoff + Velocity Confirmation)
// =================================================================
// Using Last Closed M15 Bar for pattern validation
int idx_cl_mid = idx_l2 - 1;
if(idx_cl_mid >= 0 && mid_atr > 0)
{
double body = MathAbs(mid_c[idx_cl_mid] - mid_o[idx_cl_mid]);
// double total_range = mid_h[idx_cl_mid] - mid_l[idx_cl_mid]; // Kept if needed later
// Calculate specific bar RVOL using helper
CRelativeVolumeCalculator rv_calc;
rv_calc.Init(InpRVOLPeriod);
double bar_rvol = rv_calc.CalculateSingle(ArraySize(mid_v), mid_v, idx_cl_mid);
bool high_effort = (bar_rvol > 2.0);
bool low_result = (body < (0.35 * mid_atr));
data.absorption = "NO"; // Default
if(high_effort && low_result)
{
// Logic Update: Use VELOCITY (Immediate Impulse) to determine direction
// Why? Because structural absorption (M15) confirmed by speed (M5) is a cleaner signal.
if(data.velocity > 0)
data.absorption = "BULL_ABS"; // Volume halted price, now moving UP
else
if(data.velocity < 0)
data.absorption = "BEAR_ABS"; // Volume halted price, now moving DOWN
else
data.absorption = "NEUT_ABS"; // Volume halted price, and it stalled (0 velocity)
}
else
if(bar_rvol > 3.5 && body < (0.6 * mid_atr))
{
// Volume Climax: Extreme volume override
data.absorption = "CLIMAX";
}
}
else
{
data.absorption = "-";
}
// MTF Align (Based on TSI Histogram Direction)
// + Hist = Bull pressure, - Hist = Bear pressure
bool h1_bull = (data.h1_tsi_hist > 0);
bool m15_bull = (data.m15_tsi_hist > 0);
bool m5_bull = (data.m5_tsi_hist > 0);
if(h1_bull == m15_bull && m15_bull == m5_bull)
data.mtf_align = "FULL_" + (h1_bull ? "BULL" : "BEAR");
else
if(h1_bull == m15_bull)
data.mtf_align = "MAJOR_" + (h1_bull ? "BULL" : "BEAR");
else
data.mtf_align = "MIXED";
return true;
}
//+------------------------------------------------------------------+
//| WRAPPERS (Helpers) - NEW ONES INCLUDED |
//+------------------------------------------------------------------+
bool FetchData(string sym, ENUM_TIMEFRAMES tf, int count, datetime &t[], double &o[], double &h[], double &l[], double &c[], long &v[])
{
if(!CDataSync::EnsureDataReady(sym, tf, count))
return false;
ArraySetAsSeries(t, false);
ArraySetAsSeries(o, false);
ArraySetAsSeries(h, false);
ArraySetAsSeries(l, false);
ArraySetAsSeries(c, false);
ArraySetAsSeries(v, false);
if(CopyTime(sym, tf, 0, count, t)!=count || CopyOpen(sym, tf, 0, count, o)!=count ||
CopyHigh(sym, tf, 0, count, h)!=count || CopyLow(sym, tf, 0, count, l)!=count ||
CopyClose(sym, tf, 0, count, c)!=count || CopyTickVolume(sym, tf, 0, count, v)!=count)
return false;
return true;
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
double Calc_ATR(const double &o[], const double &h[], const double &l[], const double &c[], int p, int idx)
{
CATRCalculator calc;
if(!calc.Init(p, ATR_POINTS))
return 0;
double buf[];
int total=ArraySize(c);
calc.Calculate(total, 0, o, h, l, c, buf);
return buf[idx];
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
double Calc_RVOL(const long &vol[], int p, int idx)
{
CRelativeVolumeCalculator calc;
calc.Init(p);
return calc.CalculateSingle(ArraySize(vol), vol, idx);
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
double Calc_Velocity(const double &close[], double atr, int period, int idx)
{
if(atr == 0)
return 0;
int total = ArraySize(close);
// We measure displacement from [idx - period] to [idx]
if(idx < period)
return 0;
return CMetricsTools::CalculateSlope(close[idx], close[idx-period], atr, period);
}
//+------------------------------------------------------------------+
//| WRAPPER: Squeeze |
//+------------------------------------------------------------------+
void Calc_Squeeze_Full(string sym, ENUM_TIMEFRAMES tf, const double &o[], const double &h[], const double &l[], const double &c[], int idx, string &state, double &mom_val)
{
int total = ArraySize(c);
CSqueezeCalculator sqz;
if(!sqz.Init(InpSqueezeLength, InpBBMult, InpKCMult, 12))
{
state="ERR";
mom_val=0;
return;
}
double mom[], val[], col[];
ArrayResize(mom, total);
ArrayResize(val, total);
ArrayResize(col, total);
sqz.Calculate(total, 0, PRICE_CLOSE, o, h, l, c, mom, val, col);
if(idx < total)
{
state = (col[idx] == 1.0) ? "ON" : "OFF";
mom_val = mom[idx];
}
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
string Calc_MurreyZone(string symbol, ENUM_TIMEFRAMES tf)
{
CMurreyMathCalculator calc;
calc.Init(symbol, tf, InpMurreyPeriod, 0);
double levels[];
if(!calc.Calculate(levels))
return "N/A";
double price = iClose(symbol, tf, 0); // Always Live Price
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)";
return "7/8-8/8 (Top)";
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
void Calc_TSI_Values(const double &o[], const double &h[], const double &l[], const double &c[], int idx, double &val, double &hist)
{
CTSICalculator calc;
calc.Init(InpTSI_Slow, EMA, InpTSI_Fast, EMA, InpTSI_Signal, EMA);
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(idx < total)
{
val = tsi[idx];
hist = tsi[idx] - sig[idx];
}
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
double Calc_VHF(const double &o[], const double &h[], const double &l[], const double &c[], int p, int idx)
{
CVHFCalculator calc;
calc.Init(p, VHF_MODE_HIGH_LOW); // Using High-Low mode for Pro
double buf[];
int total = ArraySize(c);
ArrayResize(buf, total);
// VHF Calc expects OHLC if using HighLow mode
calc.Calculate(total, 0, PRICE_CLOSE, o, h, l, c, buf);
return buf[idx];
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
double Calc_R2(const double &o[], const double &h[], const double &l[], const double &c[], int p, int idx)
{
CLinearRegressionCalculator calc;
calc.Init(p);
double s[], r2[], f[];
int total = ArraySize(c);
ArrayResize(s, total);
ArrayResize(r2, total);
ArrayResize(f, total);
// FIX: Pass explicit arrays for all OHLC positions
calc.CalculateState(total, 0, o, h, l, c, PRICE_CLOSE, s, r2, f);
return r2[idx];
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
double Calc_VScore(string sym, const datetime &t[], const double &o[], const double &h[], const double &l[], const double &c[], const long &v[], int p, int idx)
{
CVScoreCalculator calc;
calc.Init(p, PERIOD_SESSION);
double buf[];
int total = ArraySize(c);
ArrayResize(buf, total);
calc.Calculate(total, 0, t, o, h, l, c, v, v, buf);
return buf[idx];
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
double Calc_AutoCorr(const double &o[], const double &h[], const double &l[], const double &c[], int p, int idx)
{
CAutocorrelationCalculator calc;
calc.Init(p);
double buf[];
int total = ArraySize(c);
ArrayResize(buf, total);
calc.Calculate(total, 0, PRICE_CLOSE, o, h, l, c, buf);
return buf[idx];
}
//+------------------------------------------------------------------+
//+------------------------------------------------------------------+
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