Warrior_EA/Signals/Wyckoff/SignalWyckoffStructure.mqh

//+------------------------------------------------------------------+
//|                                        SignalWyckoffStructure.mqh |
//|                                                     AnimateDread |
//|                                                                  |
//| ADWyckoffFailedStructure + ADWyckoffSignificantBarInversion as    |
//| one classic vote module.                                          |
//|                                                                   |
//| Both indicators publish a SIGNED QUALITY on buffer 0, and this     |
//| module reads that rather than re-deriving a direction from the     |
//| flag buffers. That is a deliberate choice, because the flag names  |
//| are a trap:                                                       |
//|                                                                   |
//|   BullishStructuralFailure  -> signedValue += quality  -> BULLISH  |
//|       "higher low, no weakness" - it is the DOWN leg that failed.  |
//|       Read as "a bullish structure failed" it inverts the signal.  |
//|   FailedDistribution        -> signedValue += quality  -> BULLISH  |
//|       "breakdown failed"                                          |
//|   FailedAccumulation        -> signedValue -= quality  -> BEARISH  |
//|       "breakout failed"                                           |
//|                                                                   |
//| (ADWyckoffFailedStructure.mq5:332-338.) The indicator also makes   |
//| its two structural flags mutually exclusive precisely so the       |
//| signed value cannot net to zero - a defect it fixed in v2.0. Using |
//| buffer 0 inherits that arbitration instead of re-implementing it   |
//| here and getting a different answer.                               |
//|                                                                   |
//| The magnitudes are the indicators' own confidence and are carried  |
//| through: FailedStructure clamps to +-2.5, SignificantBarInversion  |
//| to +-2.0. Both are scaled to the pattern weight rather than        |
//| flattened to a flag.                                               |
//+------------------------------------------------------------------+
#ifndef WARRIOR_SIGNALWYCKOFFSTRUCTURE_MQH
#define WARRIOR_SIGNALWYCKOFFSTRUCTURE_MQH

#include "..\..\Expert\WarriorSignal.mqh"
#include "WyckoffFeed.mqh"

//--- The clamps the two indicators apply to their signed quality. Named because they are the
//--- denominators that turn a quality into a fraction of a pattern weight; a wrong one here silently
//--- rescales the vote rather than breaking it.
#define WYK_FAIL_QUALITY_MAX 2.5
#define WYK_SBI_QUALITY_MAX  2.0

class CSignalWyckoffStructure : public CWarriorSignal
  {
protected:
   int               m_lookback;
   int               m_zigzag;
   //--- pattern weights (0-100)
   int               m_pattern_0;   // structural failure / failed breakout, scaled by its quality
   int               m_pattern_1;   // significant bar with a control flip - the strongest SBI case
   int               m_pattern_2;   // significant bar alone, scaled by its quality

public:
                     CSignalWyckoffStructure(void);
                    ~CSignalWyckoffStructure(void) {}
   void              Lookback(const int v) { m_lookback = v; }
   void              ZigZag(const int v)   { m_zigzag = v;   }
   void              Pattern_0(const int v) { m_pattern_0 = v; }
   void              Pattern_1(const int v) { m_pattern_1 = v; }
   void              Pattern_2(const int v) { m_pattern_2 = v; }
   virtual void      ApplyPatternWeight(int patternNumber, int weight);
   virtual bool      InitIndicators(CIndicators *indicators);
   virtual int       LongCondition(void)  { return Condition(+1); }
   virtual int       ShortCondition(void) { return Condition(-1); }

protected:
   int               Condition(const int dir);
   //--- Names the pattern for the journal; see the note in SignalWyckoffEvent.mqh.
   void              Note(const int pattern, const int dir)
     {
      m_active_pattern   = "Pattern_" + IntegerToString(pattern);
      m_active_direction = (dir > 0) ? "Buy" : "Sell";
     }
   //--- quality -> 0..weight, saturating at the indicator's own clamp
   int               Scaled(const double quality, const double clamp, const int weight)
     {
      const double f = MathMin(MathAbs(quality) / clamp, 1.0);
      return (int)MathRound(weight * f);
     }
  };
//+------------------------------------------------------------------+
CSignalWyckoffStructure::CSignalWyckoffStructure(void) :
   m_lookback(50), m_zigzag(3),
   m_pattern_0(55), m_pattern_1(40), m_pattern_2(25)
  {
   m_id = "WYKST";
   m_pattern_count = 3;
   m_used_series = USE_SERIES_OPEN + USE_SERIES_HIGH + USE_SERIES_LOW + USE_SERIES_CLOSE
                   + USE_SERIES_TICK_VOLUME;
  }
//+------------------------------------------------------------------+
void CSignalWyckoffStructure::ApplyPatternWeight(int patternNumber, int weight)
  {
   switch(patternNumber)
     {
      case 0: Pattern_0(weight); break;
      case 1: Pattern_1(weight); break;
      case 2: Pattern_2(weight); break;
      default: break;
     }
  }
//+------------------------------------------------------------------+
bool CSignalWyckoffStructure::InitIndicators(CIndicators *indicators)
  {
   if(indicators == NULL)
      return(false);
   if(!CWarriorSignal::InitIndicators(indicators))
      return(false);
   if(!WyckoffFeedEnsure(indicators, m_symbol.Name(), m_period, m_lookback, m_zigzag))
     {
      PrintFormat("%s: WYCKOFF FEED FAILED - %s. Refusing init rather than voting zeros, which are"
                  " indistinguishable from 'no structure here'.", __FUNCTION__, g_wyckoffFeed.Why());
      return(false);
     }
   return(true);
  }
//+------------------------------------------------------------------+
int CSignalWyckoffStructure::Condition(const int dir)
  {
   if(!g_wyckoffFeed.Ok())
      return 0;

   //--- 0: FAILED STRUCTURE. One signed number covering all four of the indicator's cases, already
   //--- arbitrated by it. Sign is the direction the failure hands control to.
   const double fail = g_wyckoffFeed.FailValue();
   if(fail != 0.0 && ((dir > 0) ? (fail > 0.0) : (fail < 0.0)))
     {
      Note(0, dir);
      return Scaled(fail, WYK_FAIL_QUALITY_MAX, m_pattern_0);
     }

   //--- 1 and 2: THE SIGNIFICANT BAR. A control FLIP is the book's stronger statement - the bar did
   //--- not merely show intent, it took control - so it is tested first and weighted above the bar
   //--- on its own. Quality is signed the same way (+ bull / - bear).
   const double q = g_wyckoffFeed.BarQuality();
   if(q != 0.0 && ((dir > 0) ? (q > 0.0) : (q < 0.0)))
     {
      const bool flip = (dir > 0) ? (g_wyckoffFeed.BullFlip() != 0.0)
                                  : (g_wyckoffFeed.BearFlip() != 0.0);
      if(flip)
        {
         Note(1, dir);
         return Scaled(q, WYK_SBI_QUALITY_MAX, m_pattern_1);
        }
      const bool sig = (dir > 0) ? (g_wyckoffFeed.BullBar() != 0.0)
                                 : (g_wyckoffFeed.BearBar() != 0.0);
      if(sig)
        {
         Note(2, dir);
         return Scaled(q, WYK_SBI_QUALITY_MAX, m_pattern_2);
        }
     }

   return 0;
  }
#endif // WARRIOR_SIGNALWYCKOFFSTRUCTURE_MQH