Warrior_EA/Expert/Labeling/LabelOverlap.mqh

//+------------------------------------------------------------------+
//|                                                       Warrior_EA |
//|                                                     AnimateDread |
//|                                                                  |
//| Label-overlap correction for the swing label's effective sample.  |
//+------------------------------------------------------------------+
#ifndef WARRIOR_LABELING_LABELOVERLAP_MQH
#define WARRIOR_LABELING_LABELOVERLAP_MQH
//+------------------------------------------------------------------+
//| Lopez de Prado ch. 4: overlapping labels are not independent       |
//| observations. This is the running mean lifespan + the correction  |
//| it feeds, owned as ONE object instead of two members reset from    |
//| three separate sites - the "N loose members cleared in more than   |
//| one place" shape the candidate-geometry incident (7452bd1) found   |
//| a bug in.                                                          |
//+------------------------------------------------------------------+
class CLabelOverlap
  {
private:
   double            m_sum;      // bars-to-resolution, summed over every resolved label
   long              m_count;

public:
                     CLabelOverlap(void) { Reset(); }

   //--- Rebuilt with the label cache, not once per process: a window change makes every previous
   //--- measurement answer a different question, and carrying it forward would deflate the new
   //--- standard errors by the old overlap.
   void              Reset(void)
     {
      m_sum = 0.0;
      m_count = 0;
     }

   //--- lifespanBars <= 0 means "not measured for this bar" (an early return in the label walk) and is
   //--- silently skipped - the same guard the two hand-written call sites both applied.
   void              Accumulate(const int lifespanBars)
     {
      if(lifespanBars > 0)
        {
         m_sum += (double)lifespanBars;
         m_count++;
        }
     }

   long              Count(void) const { return m_count; }

   //--- Mean bars-to-resolution, capped at the label's structural bound and floored at one bar.
   //--- 1.0 until something has been measured - deliberate: an UNMEASURED overlap must not silently
   //--- shrink anyone's sample, so the correction switches itself on only once it has evidence.
   double            MeanLifespan(const int lifespanCap) const
     {
      if(m_count <= 0 || m_sum <= 0.0)
         return 1.0;
      double mean = m_sum / (double)m_count;
      double cap = (double)MathMax(lifespanCap, 1);
      return MathMax(1.0, MathMin(mean, cap));
     }

   //--- Independent observations behind `rawN` overlapping labels.
   double            EffectiveSampleSize(const double rawN, const int lifespanCap) const
     {
      if(rawN <= 0.0)
         return 0.0;
      double eff = rawN / MeanLifespan(lifespanCap);
      //--- Floor, so a caller dividing by it cannot hit zero...
      if(eff < 2.0)
         eff = 2.0;
      //--- ...then the cap, LAST, so the floor can never exceed the observations that actually exist.
      return MathMin(eff, rawN);
     }
  };
#endif // WARRIOR_LABELING_LABELOVERLAP_MQH