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Toh4iem9
235 lines
8.4 KiB
Plaintext
235 lines
8.4 KiB
Plaintext
//+------------------------------------------------------------------+
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//| ZScore_Calculator.mqh |
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//| Engine for Statistical Z-Score Calculation. |
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//| Standard Deviation distance from any Moving Average Type. |
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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 "1.40" // Upgraded to support any ENUM_MA_TYPE and volume integration
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#ifndef ZSCORE_CALCULATOR_MQH
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#define ZSCORE_CALCULATOR_MQH
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#include <MyIncludes\MovingAverage_Engine.mqh>
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//+==================================================================+
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//| CLASS: CZScoreCalculator |
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//+==================================================================+
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class CZScoreCalculator
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{
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protected:
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int m_period;
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//--- Dynamic Engine for Mean (User selected MA Type)
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CMovingAverageCalculator *m_ma_calc;
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//--- Buffers
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double m_price[];
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double m_ma_buffer[];
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double m_volume[];
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virtual bool PreparePrice(int rates_total, int start_index, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[]);
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public:
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CZScoreCalculator();
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virtual ~CZScoreCalculator();
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//--- Updated Init signature to accept dynamic MA type
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bool Init(int period, ENUM_MA_TYPE ma_type);
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//--- Standard Calculate (Without volume data)
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void Calculate(int rates_total, int prev_calculated, ENUM_APPLIED_PRICE price_type,
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const double &open[], const double &high[],
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const double &low[], const double &close[],
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double &out_z[]);
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//--- Overloaded Calculate with Volume (Specifically for VWMA support)
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void Calculate(int rates_total, int prev_calculated, ENUM_APPLIED_PRICE price_type,
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const double &open[], const double &high[],
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const double &low[], const double &close[],
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const long &volume[],
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double &out_z[]);
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};
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//+------------------------------------------------------------------+
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//| Constructor |
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//+------------------------------------------------------------------+
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CZScoreCalculator::CZScoreCalculator() : m_ma_calc(NULL)
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{
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}
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//+------------------------------------------------------------------+
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//| Destructor |
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//+------------------------------------------------------------------+
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CZScoreCalculator::~CZScoreCalculator()
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{
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if(CheckPointer(m_ma_calc) != POINTER_INVALID)
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delete m_ma_calc;
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}
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//+------------------------------------------------------------------+
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//| Init |
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//+------------------------------------------------------------------+
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bool CZScoreCalculator::Init(int period, ENUM_MA_TYPE ma_type)
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{
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m_period = (period < 2) ? 2 : period;
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// Set up dynamic calculator engine based on selected MA type
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m_ma_calc = new CMovingAverageCalculator();
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if(CheckPointer(m_ma_calc) == POINTER_INVALID || !m_ma_calc.Init(m_period, ma_type))
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return false;
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return true;
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}
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//+------------------------------------------------------------------+
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//| Calculate (Standard - No Volume) |
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//+------------------------------------------------------------------+
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void CZScoreCalculator::Calculate(int rates_total, int prev_calculated, ENUM_APPLIED_PRICE price_type,
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const double &open[], const double &high[],
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const double &low[], const double &close[],
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double &out_z[])
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{
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if(rates_total < m_period)
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return;
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// 1. Resize Internal Prices
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if(ArraySize(m_price) != rates_total)
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{
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ArrayResize(m_price, rates_total);
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ArrayResize(m_ma_buffer, rates_total);
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}
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// 2. Prepare Price Array
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int start_prep = (prev_calculated > 0) ? prev_calculated - 1 : 0;
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if(!PreparePrice(rates_total, start_prep, price_type, open, high, low, close))
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return;
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// 3. Calculate Mean (Using standard array calculation)
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m_ma_calc.CalculateOnArray(rates_total, prev_calculated, m_price, m_ma_buffer, 0);
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// 4. Calculate Z-Score Distance
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int start_index = (prev_calculated > 0) ? prev_calculated - 1 : m_period - 1;
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if(start_index < m_period - 1)
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start_index = m_period - 1;
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for(int i = start_index; i < rates_total; i++)
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{
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double sum_sq = 0;
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for(int k = 0; k < m_period; k++)
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{
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double diff = m_price[i - k] - m_ma_buffer[i];
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sum_sq += diff * diff;
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}
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double std_dev = MathSqrt(sum_sq / m_period);
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if(std_dev > 1.0e-9) // Anti-division-by-zero guard
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out_z[i] = (m_price[i] - m_ma_buffer[i]) / std_dev;
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else
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out_z[i] = 0.0;
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}
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}
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//+------------------------------------------------------------------+
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//| Calculate (Overloaded - With Volume for VWMA) |
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//+------------------------------------------------------------------+
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void CZScoreCalculator::Calculate(int rates_total, int prev_calculated, ENUM_APPLIED_PRICE price_type,
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const double &open[], const double &high[],
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const double &low[], const double &close[],
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const long &volume[],
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double &out_z[])
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{
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if(rates_total < m_period)
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return;
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// 1. Resize Internal Buffers
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if(ArraySize(m_price) != rates_total)
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{
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ArrayResize(m_price, rates_total);
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ArrayResize(m_ma_buffer, rates_total);
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}
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if(ArraySize(m_volume) != rates_total)
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{
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ArrayResize(m_volume, rates_total);
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}
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// 2. Prepare Price Array
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int start_prep = (prev_calculated > 0) ? prev_calculated - 1 : 0;
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if(!PreparePrice(rates_total, start_prep, price_type, open, high, low, close))
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return;
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// 3. Prepare Volume Array
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for(int i = start_prep; i < rates_total; i++)
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{
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m_volume[i] = (double)volume[i];
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}
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// 4. Calculate Mean (Using volume-based array calculation)
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m_ma_calc.CalculateOnArray(rates_total, prev_calculated, m_price, m_volume, m_ma_buffer, 0);
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// 5. Calculate Z-Score Distance
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int start_index = (prev_calculated > 0) ? prev_calculated - 1 : m_period - 1;
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if(start_index < m_period - 1)
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start_index = m_period - 1;
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for(int i = start_index; i < rates_total; i++)
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{
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double sum_sq = 0;
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for(int k = 0; k < m_period; k++)
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{
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double diff = m_price[i - k] - m_ma_buffer[i];
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sum_sq += diff * diff;
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}
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double std_dev = MathSqrt(sum_sq / m_period);
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if(std_dev > 1.0e-9) // Anti-division-by-zero guard
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out_z[i] = (m_price[i] - m_ma_buffer[i]) / std_dev;
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else
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out_z[i] = 0.0;
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}
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}
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//+------------------------------------------------------------------+
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//| Prepare Value |
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//+------------------------------------------------------------------+
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bool CZScoreCalculator::PreparePrice(int rates_total, int start_index, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[])
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{
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for(int i = start_index; i < rates_total; i++)
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{
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switch(price_type)
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{
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case PRICE_CLOSE:
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m_price[i] = close[i];
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break;
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case PRICE_OPEN:
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m_price[i] = open[i];
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break;
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case PRICE_HIGH:
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m_price[i] = high[i];
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break;
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case PRICE_LOW:
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m_price[i] = low[i];
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break;
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case PRICE_MEDIAN:
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m_price[i] = (high[i]+low[i])*0.5;
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break;
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case PRICE_TYPICAL:
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m_price[i] = (high[i]+low[i]+close[i])/3.0;
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break;
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case PRICE_WEIGHTED:
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m_price[i] = (high[i]+low[i]+close[i]*2.0)*0.25;
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break;
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default:
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m_price[i] = close[i];
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break;
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}
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}
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return true;
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}
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#endif // ZSCORE_CALCULATOR_MQH
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//+------------------------------------------------------------------+ |