47a5ef338b
- Replaced standard library signal modules with custom implementations to allow for named patterns and improved voting. - Added new input parameters for module weights, allowing for optimization of individual signal contributions. - Enhanced the management of trades with new options for breakeven and management cut. - Introduced a mechanism for dynamic ranking of signal weights based on historical performance. - Improved initialization logic to ensure proper registration of filters and handling of trading conditions. - Added detailed logging for trading permissions and account status during initialization.
209 lines
9.7 KiB
MQL5
209 lines
9.7 KiB
MQL5
//+------------------------------------------------------------------+
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//| WarriorEnums.mqh |
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//| AnimateDread |
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//| |
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//| EVERY INPUT THIS EA TAKES IS AN ENUM, and each enum's VALUE IS |
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//| ITS PAYLOAD. SL_ATR_x2 is literally 2, RISK_PCT_3 is literally 3, |
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//| so a consumer writes `m_atr * SL_Mode` with no lookup table and |
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//| no switch that can fall out of step with the list. The MT5 |
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//| optimizer steps over members, so a sweep can only ever produce a |
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//| legal configuration - which is the real reason for the dropdowns. |
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//| |
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//| ORDINALS ARE PINNED AND NEVER REUSED. MT5 stores an input's VALUE |
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//| in the .set file and in each chart's .chr, and does not validate |
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//| it against the current enum. Renumbering a member therefore |
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//| silently re-points every saved configuration at a different |
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//| setting. Gaps in the sequence are deliberate headstones for |
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//| members that were removed; leave them. |
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//+------------------------------------------------------------------+
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#ifndef WARRIOR_SIMPLE_ENUMS_MQH
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#define WARRIOR_SIMPLE_ENUMS_MQH
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//--- Which way this chart is allowed to trade. LONG_ONLY exists because an index is not symmetric;
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//--- it is a legitimate setting, not a crutch. Value 1 was the default a stale tester preset once
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//--- supplied to every run, turning a two-sided EA long-only for days, so read the init echo.
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enum WARRIOR_DIRECTION
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{
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DIR_BOTH = 0, // Both directions
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DIR_LONG = 1, // Long only
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DIR_SHORT = 2, // Short only
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};
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//--- Position sizing. 1 is deliberately vacant: it was INTELLIGENT, which staked real money on an
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//--- uncalibrated confidence number (and in an earlier form increased size after a losing streak).
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//--- It is not coming back, and the hole stops a saved "1" from selecting something else.
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enum WARRIOR_MONEY_MODE
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{
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MONEY_FIXED_RISK = 0, // Risk a fixed % of balance
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MONEY_FIXED_LOT = 2, // Fixed lot size
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};
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//--- Risk per trade, as a whole percent of balance. The value IS the percent.
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enum WARRIOR_RISK_PCT
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{
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RISK_1 = 1, // 1%
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RISK_2 = 2, // 2%
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RISK_3 = 3, // 3%
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RISK_5 = 5, // 5%
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};
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//--- The stop, in ATR from entry. The value IS the multiple.
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enum WARRIOR_SL_MODE
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{
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SL_ATR_x1 = 1, // ATR x 1
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SL_ATR_x2 = 2, // ATR x 2
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SL_ATR_x3 = 3, // ATR x 3
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SL_ATR_x4 = 4, // ATR x 4
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};
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//--- The target, in ATR from entry. 0 = none, run it on the trail alone.
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enum WARRIOR_TP_MODE
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{
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TP_NONE = 0, // No target (trail only)
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TP_ATR_x1 = 1, // ATR x 1
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TP_ATR_x2 = 2, // ATR x 2
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TP_ATR_x3 = 3, // ATR x 3
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TP_ATR_x4 = 4, // ATR x 4
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TP_ATR_x6 = 6, // ATR x 6
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TP_ATR_x8 = 8, // ATR x 8
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TP_ATR_x10 = 10, // ATR x 10
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};
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//--- The trailing stop, in ATR behind price. The value IS the multiple; 0 disables it.
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enum WARRIOR_TRAIL_MODE
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{
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TRAIL_NONE = 0, // No trailing stop
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TRAIL_ATR_x1 = 1, // Trail at ATR x 1
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TRAIL_ATR_x2 = 2, // Trail at ATR x 2
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TRAIL_ATR_x3 = 3, // Trail at ATR x 3
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};
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//--- THE VOTE THRESHOLD, as a percent of the ensemble's weight.
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//---
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//--- ⚠ WHAT THIS MEANS DEPENDS ON THE ROSTER, and that is the single easiest way to misread this EA.
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//--- CExpertSignal::Direction() divides the weighted sum by the NUMBER OF FILTERS THAT ANSWERED, so
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//--- one unopposed voter at full weight scores 100/N. With 19 filters registered that is 5.3%, and a
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//--- threshold of 15% therefore demands three agreeing voters, not one. Change the roster and every
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//--- rung on this list means something different. The EA prints the resolved ladder at init for
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//--- exactly this reason - read that, not this comment.
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//---
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//--- The sub-5% rungs exist because a large roster pushes the whole useful range down there.
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enum WARRIOR_THRESHOLD
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{
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THR_1 = 1, // 1%
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THR_2 = 2, // 2%
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THR_3 = 3, // 3%
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THR_4 = 4, // 4%
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THR_5 = 5, // 5%
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THR_10 = 10, // 10%
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THR_15 = 15, // 15%
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THR_20 = 20, // 20%
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THR_25 = 25, // 25%
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THR_30 = 30, // 30%
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THR_40 = 40, // 40%
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THR_50 = 50, // 50%
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};
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//--- THE PROBABILITY CUT for anything that outputs a calibrated probability - the neural module.
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//--- Stored as integer percent, read as value/100.0.
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//---
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//--- 50 IS "NO CUT" AND IS THE RIGHT DEFAULT until a trained model's calibration has been measured
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//--- on the instrument it will trade. A threshold chosen before a calibration curve exists is a
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//--- guess wearing a setting's clothes, and it will look like a decision in the .set file forever.
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//---
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//--- ⚠ FOR THE FRACTAL NET, EXPECT THE USEFUL CUT TO BE LOW, and to act as a floor rather than a
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//--- trigger: measured mean R by predicted-probability quintile was -0.230 / -0.089 / -0.026 /
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//--- +0.002 / +0.017 across 20 series. Nearly all of the separation is in refusing the bottom, not
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//--- in selecting the top - so raising this hunting for a "high conviction" band is chasing a part
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//--- of the curve that was measured flat.
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enum WARRIOR_CONFIDENCE
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{
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CONF_50 = 50, // 0.50 - no cut
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CONF_55 = 55, // 0.55
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CONF_60 = 60, // 0.60
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CONF_65 = 65, // 0.65
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CONF_70 = 70, // 0.70
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CONF_75 = 75, // 0.75
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CONF_80 = 80, // 0.80
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CONF_90 = 90, // 0.90
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};
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//--- A MODULE'S WEIGHT IN THE VOTE, as a percent. The value IS the percent, so WEIGHT_100 is 1.0.
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//---
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//--- These are SWEPT BY THE OPTIMISER, alongside the threshold and the ATR multiples, and that is
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//--- the deliberate division of labour with the database: the journal sets the 49 PATTERN weights
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//--- from measured expectancy (far too many to optimise), the optimiser sets the 12 MODULE weights
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//--- (few enough to be tractable, and coarse enough that a genetic pass can explore them).
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//---
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//--- WEIGHT_0 IS THE USEFUL ONE. A module at zero is switched off without being deleted, so the
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//--- optimiser can discover that an indicator contributes nothing - which is the question this EA
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//--- has never been able to ask, because every module has always voted at weight 1.0 by default.
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enum WARRIOR_WEIGHT
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{
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WEIGHT_0 = 0, // 0.0 - silent
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WEIGHT_25 = 25, // 0.25
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WEIGHT_50 = 50, // 0.50
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WEIGHT_75 = 75, // 0.75
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WEIGHT_100 = 100, // 1.00 - the default
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WEIGHT_150 = 150, // 1.50
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WEIGHT_200 = 200, // 2.00
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};
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//--- MOVE THE STOP TO ENTRY once the trade is this many TENTHS of R in front. The value IS the
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//--- tenths, so BE_AT_0R5 is 5 and the consumer divides by 10.
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//---
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//--- ⚠ THIS IS NOT A TRAILING STOP AND MUST NOT BE CONFUSED WITH ONE. Measured 2026-09-11: every
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//--- ATR-trail setting made results WORSE (+150.67 -> +90.56 at 1 ATR, worse as it widened),
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//--- because a trail keeps moving and exits the winner on its first pullback. Breakeven moves
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//--- ONCE and then stands still, so it scratches the loser without capping the winner. On 5,491
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//--- traded-side firings the counterfactual was mean R -0.132 -> +0.216 at +0.5R.
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enum WARRIOR_BREAKEVEN
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{
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BE_OFF = 0, // Never move the stop to entry
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BE_AT_0R5 = 5, // +0.5 R
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BE_AT_0R7 = 7, // +0.7 R
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BE_AT_1R0 = 10, // +1.0 R
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BE_AT_1R5 = 15, // +1.5 R
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};
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//--- MANAGEMENT MODEL CUT. At +0.5R the model is asked "does this continue?"; below this
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//--- probability the trade is closed at the crossing instead of being left to the stop. The value
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//--- IS the percent. MGMT_OFF disables both the model and its training walk.
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//---
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//--- ⚠ 46% of crossings continue and 54% retrace, so a cut of 50 acts on almost every trade while
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//--- a cut of 30 acts only where the model is confident. Which is right depends on the model's
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//--- calibration, which is why this is an input and not a constant - and why the net prints its
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//--- held-out AUC: a cut applied to a coin-flip model is just a random early exit.
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enum WARRIOR_MGMT_CUT
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{
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MGMT_OFF = 0, // No management model
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MGMT_CUT30 = 30, // exit when P(continue) < 0.30
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MGMT_CUT40 = 40, // < 0.40
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MGMT_CUT50 = 50, // < 0.50
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MGMT_CUT60 = 60, // < 0.60
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};
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//--- FADE THE CROWD. When at least this many filters vote the SAME way, take the OTHER side; when
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//--- fewer do, stand aside entirely. The value IS the voter count.
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//---
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//--- WHY THIS EXISTS. Measured on 32,409 traded bar-sides (4 majors, H4, 2015-2026) the ensemble's
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//--- conviction is monotonically ANTI-predictive: agree=12 -0.27R, agree=13 -0.61R, in both halves,
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//--- on every symbol. Priced exactly from the journal as a symmetric-1R fade (wins iff the traded
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//--- side touched -1R before +1R, read from mfeR, ties scored AGAINST the fade): agree>=12 gives
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//--- +0.294R in-sample and +0.323R out of sample, every symbol, every t >= 3.5. The mechanism is
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//--- plain: these are lagging indicators, the vote fires after the move, and when ALL of them agree
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//--- the move is mature. Unanimity is exhaustion.
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//--- USE WITH StopMode == TargetMode (1R/1R). The measurement was symmetric; an asymmetric fade is
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//--- a different trade that has not been priced.
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enum WARRIOR_FADE
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{
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FADE_OFF = 0, // Normal voting
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FADE_AGREE_11 = 11, // Fade when >= 11 filters agree (+0.15R measured)
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FADE_AGREE_12 = 12, // Fade when >= 12 agree (+0.29R measured)
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FADE_AGREE_13 = 13, // Fade only unanimity (+0.6R measured, rare)
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};
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//--- THE DIP-BUY'S TWO MEASURED FORMS (Signals\SignalDipBuy.mqh has the numbers): the daily RSI(2)
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//--- Connors form, and the z-score form that the seven-style scan found to be the deepest and the
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//--- only one with H4 cadence (~15 trades a month on SP500).
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enum WARRIOR_DIP_ENTRY
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{
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DIP_RSI2 = 0, // RSI(2) at or below RsiEntry (the daily Connors form)
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DIP_ZSCORE = 1, // close below the 20-bar mean by DipZ standard deviations
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};
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#endif // WARRIOR_SIMPLE_ENUMS_MQH
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