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 is an "Institutional Market X-Ray" that performs a multi-timeframe, multi-indicator scan across a portfolio of assets and exports the market state into a structured CSV format.

This dataset ("QuantScan 3.0") is optimized for Large Language Models (LLMs) or statistical analysis tools. Instead of raw price data, it provides normalized scores (Z-Score, Efficiency Ratio, Relative Strength), offering deep insights into Trend Quality, Institutional Footprints, and Statistical Reversion risks.

2. Methodology and Logic

The script employs a Hybrid Analysis Model with three core layers:

1. Context Layer (H1): Determines the "Big Picture". It identifies the dominant trend direction, the structural quality of that trend, and correlation with the broader market (Relative Strength).
2. Trigger Layer (M15): Analyzes "Execution Timing". It monitors momentum shifts, volatility regimes, and statistical extremes.
3. Institutional Layer (New): Detects hidden market mechanics, specifically "Absorption" (high volume vs. low range) and extreme probability of mean reversion.

Key Metrics Defined

• Trend Score (Z-Score & Deviation): Measures how far the price is from the trend baseline in units of volatility (ATR).
• Relative Strength (RS): Compares the asset's performance against a Benchmark (e.g., US500) over the last 24 hours. A positive RS indicates the asset is outperforming the market.
• Institutional Absorption: A logical check based on Wyckoff principles. If Volume is extreme (RVOL > 2.0) but Price Movement is small, it indicates passive limit orders absorbing aggressive market orders—often a sign of a reversal.
• Reversion Probability: A composite score (0-100%) that combines Z-Score extremes, Murrey Levels, and Momentum Exhaustion to predict a potential pullback.

3. MQL5 Implementation Details

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

• Calculation Engines (.mqh): It directly instantiates optimized Calculation Classes (e.g., CDSMACalculator, CVWAPCalculator) rather than using slow iCustom calls.
• Defensive Programming: Includes rigorous safety checks (e.g., array bounds checking in ATR) to prevent runtime crashes during large-scale scanning.
• Smart Data Fetching: Utilizes efficient FetchData wrappers to retrieve and sync OHLCV data for multiple timeframes instantaneously.

4. Parameters

• Scanner Config:
  • InpUseMarketWatch: If true, scans all active symbols.
  • InpSymbolList: Custom symbol list (if using manual selection).
  • InpBenchmark: The symbol for Relative Strength comparison (Default: US500).
  • InpBrokerTimeZone: NEW! Your broker's timezone name (e.g. EET, UTC+3). This string is added to the CSV header so the AI knows the context of the timestamp (crucial for detecting Session Opens/Closes).
  • InpScanHistory: NEW! Number of bars to download for analysis (Default: 500). Increase this if using slow moving averages (200 SMA).
• Timeframes:
  • InpTFFast (Trigger): Default M15.
  • InpTFSlow (Context): Default H1.
  • Metric Settings:
  • InpRSBars: NEW! Lookback period for Relative Strength calculation.
    • 24 (Default on H1) = 24 Hours performance.
    • 120 = Weekly performance.
  • Indicators fine-tuning (DSMA, Gamma, etc).
• Squeeze Settings:
  • Allows fine-tuning of the Volatility Squeeze sensitivity (BB Multiplier, KC Multiplier).
• TSI Settings:
  • Customizable periods for the True Strength Index (Cycle).

5. Output Data Structure (CSV - QuantScan 3.0)

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

Header	Description	Interpretation / ranges
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. • > +1.0: Strong Bull • < -1.0: Strong Bear
TREND_QUAL	H1 Efficiency	Trend noise filter (Kaufman ER). • > 0.6: Clean Trend (Safe to trade)
ZONE	H1 Structure	Murrey Math Level. • Extreme: Reversal zone. • Range: Trading zone.
REL_STRENGTH	Relative Perf.	Performance vs Benchmark (24h). • > 0%: Leader (Stronger than market) • < 0%: Laggard (Weaker than market)
MOMENTUM	M15 Laguerre	Fast momentum (0.0 - 1.0). • > 0.85: Bullish Pressure (Gamma lag)
VOL_QUAL	M15 RVOL	Relative Volume. • > 1.5: High Activity • < 0.7: Low Low Interest
SQUEEZE	M15 Vola State	TTM Squeeze status. • ON: Energy building (Prepare for breakout).
Z_SCORE	M15 Statistics	Standard Deviations from mean. • > 2.5: Statistically Extreme.
VOL_REGIME	M15 Vola Trend	Ratio of Short/Long ATR. • > 1.0: Volatility is expanding.
TSI_DIR	M15 Cycle	Cycle direction (BULL / BEAR).
REVERSION_PROB	Reversion %	Composite probability of a pullback. • > 80%: High risk of reversal.
ABSORPTION	Inst. Volume	Wyckoff Absorption signal. • YES: High Vol + Small Body (Hidden activity).

6. Usage Workflow

1. Run the Script: Drag Market_Scanner_Pro onto any chart.

2. Wait for Completion: Check the "Experts" tab.

3. Locate File: Open "File -> Open Data Folder -> MQL5 -> Files".

4. Process with AI: Upload the QuantScan_....csv file to your LLM with a prompt like:

   "Analyze this market data. Look for two specific setups:

   1. *The Whale Utility: Strong Trend (TREND_SCORE > 0.5) + Strong Relative Strength (REL_STRENGTH > 0) + Squeeze is ON.
   2. *The Reversion Trap: High Reversion Probability (> 80%) AND Absorption is YES.

   List the top 3 candidates for each."