mql5/Indicators/MyIndicators/Quant/AlphaBeta_Pro.md

AlphaBeta Pro (Indicator)

1. Summary

AlphaBeta Pro is an institutional-grade analytical tool that measures an asset's performance relative to a Benchmark (Global Market). It separates the price movement into two distinct components: Market Risk (Beta) and Intrinsic Strength (Alpha).

This indicator helps traders filter out "Market Noise" and find assets that are moving due to their own specific catalysts, rather than just following the herd.

2. Methodology & Modes

The indicator operates in two selectable modes, visualizing different aspects of the Relative Strength concept.

Mode A: Alpha (Excess Return)

• Formula: Asset_Return - (Beta * Benchmark_Return).
• Visual: Colored Histogram.
• Interpretation:
  • Green (>0): The asset is outperforming the market expectation. It is showing true strength. Ideal for Long positions.
  • Red (<0): The asset is underperforming. Ideal for Short positions.
  • Note: Unlike simple Relative Strength (which just compares % change), Alpha adjusts for volatility.

Mode B: Beta (Sensitivity)

• Formula: Covariance(Asset, Bench) / Variance(Bench).
• Visual: Gold Line.
• Interpretation:
  • Beta = 1.0: The asset moves identically to the market.
  • Beta > 1.5: "High Beta". The asset is aggressive and amplifies market moves. Good for volatility scalping.
  • Beta < 0.5: "Low Beta". The asset is defensive or uncorrelated. Safe haven behavior.

3. MQL5 Implementation Details

• Engine: Powered by MathStatistics_Calculator.mqh.
• Smart Synchronization: The indicator automatically synchronizes the historical data of the current chart with the Benchmark symbol using precise time-matching (iBarShift).
• Auto-Detection: Automatically selects the correct Benchmark:
  • Indices/Crypto/Stocks: Compares against US500.
  • Forex Pairs: Compares against the Dollar Index (DX or USDX).

4. Parameters

• InpMode: Select between MODE_ALPHA (Histogram) or MODE_BETA (Line).
• InpLookback: The rolling window for the statistical calculation (Default: 60 bars).
• InpBenchmark / InpForexBench: Symbols used as the market baseline.

5. Relationship with QuantScan Script

• QuantScan Script: Displays a snapshot of REL_STR (Simple Relative Strength) for quick filtering.
• AlphaBeta Indicator: Displays the historical evolution of Alpha (Risk-Adjusted Strength) for deep analysis.
  • Pro Tip: Use the Script to find assets with high REL_STR, then use this Indicator to confirm if that strength is consistent (Green Alpha Histogram) or just a lucky spike.