| //+------------------------------------------------------------------+
|
| //| ModalityPrice.mqh |
|
| //| AnimateDread |
|
| //| |
|
| //| PRICE SHAPE, REGIME AND VOLATILITY of the signal bar - the things |
|
| //| that need nothing but the bar cache. Every distance is in ATR so |
|
| //| one number means the same on an index at 5,000 and one at 40,000; |
|
| //| ratios of two prices in the same units, never a raw price. |
|
| //+------------------------------------------------------------------+
|
| #ifndef WARRIOR_MODALITYPRICE_MQH
|
| #define WARRIOR_MODALITYPRICE_MQH
|
|
|
| #include "Modality.mqh"
|
| #include "..\System\BarCache.mqh"
|
| #include "..\System\RegimeMath.mqh"
|
|
|
| class CModalityPrice : public CModality
|
| {
|
| protected:
|
| CBarCache *m_cache; // not owned
|
| int m_volWarm; // bars before the volatility percentile may answer
|
|
|
| public:
|
| CModalityPrice(CBarCache *cache, const int volWarm = 250)
|
| : m_cache(cache), m_volWarm(volWarm) {}
|
| virtual string Name(void) const override { return "price"; }
|
| virtual bool Read(const SBarRef &bar, SMarketContext &ctx) override;
|
| };
|
| //+------------------------------------------------------------------+
|
| bool CModalityPrice::Read(const SBarRef &bar, SMarketContext &ctx)
|
| {
|
| const int i = bar.idx;
|
| if(m_cache == NULL || i < 100 || i >= m_cache.Count())
|
| return false;
|
| const double atr = m_cache.Atr(i);
|
| if(atr <= 0.0)
|
| return false;
|
| const double c = m_cache.Close(i), h = m_cache.High(i), l = m_cache.Low(i);
|
| double mean = 0.0, sd = 0.0;
|
| if(m_cache.MeanStd(i, 20, mean, sd) && sd > 0.0)
|
| ctx.v[CTX_Z] = (c - mean) / sd;
|
| if(mean > 0.0)
|
| ctx.v[CTX_DIST_ATR] = (c - mean) / atr;
|
| ctx.v[CTX_RET1_ATR] = (c - m_cache.Close(i - 1)) / atr;
|
| ctx.v[CTX_DROP5_ATR] = (c - m_cache.Close(i - 5)) / atr;
|
| ctx.v[CTX_RANGE_ATR] = (h - l) / atr;
|
| ctx.v[CTX_CLOSE_LOC] = (h > l) ? (c - l) / (h - l) : 0.5;
|
|
|
| double x[];
|
| if(m_cache.ClosesBack(i, CRegimeMath::LabelBars(), x))
|
| {
|
| const double er = CRegimeMath::Efficiency(x, 20);
|
| const double vr = CRegimeMath::Variance(x, 60, 5);
|
| ctx.v[CTX_ER] = er;
|
| ctx.v[CTX_VR] = vr;
|
| ctx.v[CTX_REGIME] = CRegimeMath::Code(er, vr);
|
| }
|
| const double pct = m_cache.VolPercentile(i, m_volWarm);
|
| if(pct >= 0.0)
|
| ctx.v[CTX_VOL_PCT] = pct;
|
| double atrSum = 0.0;
|
| int atrN = 0;
|
| for(int k = i - 99; k <= i; k++)
|
| if(m_cache.Atr(k) > 0.0)
|
| {
|
| atrSum += m_cache.Atr(k);
|
| atrN++;
|
| }
|
| if(atrN > 50)
|
| ctx.v[CTX_ATR_RATIO] = atr / (atrSum / atrN);
|
| return true;
|
| }
|
| #endif // WARRIOR_MODALITYPRICE_MQH
|
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