mql5/Include/MarkovAnalysis.mqh

//+------------------------------------------------------------------+
//|                                              MarkovAnalysis.mqh |
//|                                  Copyright 2024, Trading Agent   |
//|                                             https://www.mql5.com |
//+------------------------------------------------------------------+
#property copyright "Copyright 2024, Trading Agent"
#property link      "https://www.mql5.com"
#property strict

// Define States
enum ENUM_MARKOV_STATE
{
   STATE_STRONG_BEAR = 0, // Strong Bearish
   STATE_WEAK_BEAR   = 1, // Weak Bearish
   STATE_NEUTRAL     = 2, // Neutral/Doji
   STATE_WEAK_BULL   = 3, // Weak Bullish
   STATE_STRONG_BULL = 4, // Strong Bullish
   STATE_COUNT       = 5
};

//+------------------------------------------------------------------+
//| Class CMarkovChain                                               |
//+------------------------------------------------------------------+
class CMarkovChain
{
private:
   double            m_matrix[STATE_COUNT][STATE_COUNT]; // Transition Counts
   int               m_total_transitions[STATE_COUNT];    // Total exits from each state
   ENUM_MARKOV_STATE m_last_state;
   double            m_threshold_pct; // Percentage of ADR or similar to define "Strong"

public:
                     CMarkovChain(double threshold_pct = 0.5);
                    ~CMarkovChain() {}

   void              Reset();
   void              AddTransition(ENUM_MARKOV_STATE from, ENUM_MARKOV_STATE to);
   ENUM_MARKOV_STATE CalculateState(double open, double high, double low, double close, double point);
   
   double            GetProbability(ENUM_MARKOV_STATE from, ENUM_MARKOV_STATE to);
   void              GetProbabilities(ENUM_MARKOV_STATE from, double &probs[]);
   
   ENUM_MARKOV_STATE GetLastState() { return m_last_state; }
   void              SetLastState(ENUM_MARKOV_STATE state) { m_last_state = state; }
};

//+------------------------------------------------------------------+
//| Constructor                                                      |
//+------------------------------------------------------------------+
CMarkovChain::CMarkovChain(double threshold_pct)
{
   m_threshold_pct = threshold_pct;
   Reset();
}

//+------------------------------------------------------------------+
//| Reset Matrix                                                      |
//+------------------------------------------------------------------+
void CMarkovChain::Reset()
{
   ArrayFill(m_matrix, 0, STATE_COUNT * STATE_COUNT, 0);
   ArrayFill(m_total_transitions, 0, STATE_COUNT, 0);
   m_last_state = STATE_NEUTRAL;
}

//+------------------------------------------------------------------+
//| Add a transition to the matrix                                   |
//+------------------------------------------------------------------+
void CMarkovChain::AddTransition(ENUM_MARKOV_STATE from, ENUM_MARKOV_STATE to)
{
   if(from < 0 || from >= STATE_COUNT || to < 0 || to >= STATE_COUNT) return;
   
   m_matrix[from][to]++;
   m_total_transitions[from]++;
}

//+------------------------------------------------------------------+
//| Calculate state from OHLC                                        |
//+------------------------------------------------------------------+
ENUM_MARKOV_STATE CMarkovChain::CalculateState(double open, double high, double low, double close, double point)
{
   double body = close - open;
   double range = high - low;
   
   if(MathAbs(body) < 10 * point) return STATE_NEUTRAL; // Very small body
   
   // We'll use a simple fixed threshold for now, can be improved with volatility scaling
   double threshold = 50 * point; 
   
   if(body > 0)
   {
      return (body > threshold) ? STATE_STRONG_BULL : STATE_WEAK_BULL;
   }
   else
   {
      return (MathAbs(body) > threshold) ? STATE_STRONG_BEAR : STATE_WEAK_BEAR;
   }
}

//+------------------------------------------------------------------+
//| Get probability of transition                                    |
//+------------------------------------------------------------------+
double CMarkovChain::GetProbability(ENUM_MARKOV_STATE from, ENUM_MARKOV_STATE to)
{
   if(from < 0 || from >= STATE_COUNT || to < 0 || to >= STATE_COUNT) return 0;
   if(m_total_transitions[from] == 0) return 0;
   
   return m_matrix[from][to] / m_total_transitions[from];
}

//+------------------------------------------------------------------+
//| Get all probabilities from a specific state                      |
//+------------------------------------------------------------------+
void CMarkovChain::GetProbabilities(ENUM_MARKOV_STATE from, double &probs[])
{
   ArrayResize(probs, STATE_COUNT);
   for(int i = 0; i < STATE_COUNT; i++)
   {
      probs[i] = GetProbability(from, (ENUM_MARKOV_STATE)i);
   }
}