212 行
8.4 KiB
MQL5
212 行
8.4 KiB
MQL5
|
//+------------------------------------------------------------------+
|
||
|
|
//| RegimeLabeler.mqh |
|
||
|
|
//| MMQ — Muhammad Minhas Qamar |
|
||
|
|
//| www.mql5.com/en/articles/23491 |
|
||
|
|
//+------------------------------------------------------------------+
|
||
|
|
#property copyright "MMQ — Muhammad Minhas Qamar"
|
||
|
|
#property link "https://www.mql5.com/en/articles/23491"
|
||
|
|
#property version "1.00"
|
||
|
|
#property strict
|
||
|
|
|
||
|
|
//--- regime a window is assigned to.
|
||
|
|
enum ENUM_REGIME
|
||
|
|
{
|
||
|
|
REGIME_TREND, // persistent directional drift
|
||
|
|
REGIME_RANGE, // mean-reverting oscillation
|
||
|
|
REGIME_VOLATILE, // large erratic moves, no clear direction
|
||
|
|
REGIME_UNDEFINED // not enough data / degenerate window
|
||
|
|
};
|
||
|
|
|
||
|
|
//+------------------------------------------------------------------+
|
||
|
|
//| CRegimeLabeler - rule-based ground truth for training. |
|
||
|
|
//| |
|
||
|
|
//| BOSS is a supervised classifier: it needs labelled example |
|
||
|
|
//| windows to learn from. Hand-labelling price history is |
|
||
|
|
//| impractical, so we derive labels mechanically from two classic |
|
||
|
|
//| statistics of the window's log returns: |
|
||
|
|
//| |
|
||
|
|
//| - lag-1 autocorrelation of returns. Positive autocorrelation |
|
||
|
|
//| means moves tend to continue (trending); near-zero or |
|
||
|
|
//| negative means they tend to reverse (ranging). |
|
||
|
|
//| - return volatility (standard deviation), compared against a |
|
||
|
|
//| rolling reference so "high" is relative to the instrument, |
|
||
|
|
//| not an absolute number. |
|
||
|
|
//| |
|
||
|
|
//| Decision order matches the usual regime hierarchy: unusually |
|
||
|
|
//| high volatility dominates and marks the window VOLATILE; among |
|
||
|
|
//| the rest, strong positive autocorrelation marks TREND, and the |
|
||
|
|
//| remainder is RANGE. |
|
||
|
|
//| |
|
||
|
|
//| This labeller is deliberately simple and transparent: it is the |
|
||
|
|
//| benchmark's source of truth, not the thing under test. BOSS |
|
||
|
|
//| must learn to reproduce these labels from window SHAPE alone, |
|
||
|
|
//| and then hold up under noise where this statistic-based rule |
|
||
|
|
//| starts to wobble. |
|
||
|
|
//+------------------------------------------------------------------+
|
||
|
|
class CRegimeLabeler
|
||
|
|
{
|
||
|
|
private:
|
||
|
|
double m_vol_hi_mult; // volatility above mult*reference -> volatile
|
||
|
|
double m_acf_trend; // autocorrelation above this -> trend
|
||
|
|
|
||
|
|
double m_ref_vol; // rolling reference volatility (set by caller)
|
||
|
|
|
||
|
|
double LogReturns(const double &price[],int len,double &ret[]) const;
|
||
|
|
double Autocorr1(const double &ret[],int n) const;
|
||
|
|
double StdDev(const double &ret[],int n) const;
|
||
|
|
|
||
|
|
public:
|
||
|
|
CRegimeLabeler(void);
|
||
|
|
|
||
|
|
//--- thresholds. Defaults are reasonable starting points; the
|
||
|
|
//--- volatility multiplier is relative to the reference vol.
|
||
|
|
void SetVolHighMult(double m) { if(m>0.0) m_vol_hi_mult=m; }
|
||
|
|
void SetTrendACF(double a) { if(a>-1.0 && a<1.0) m_acf_trend=a; }
|
||
|
|
|
||
|
|
//--- set the reference volatility that "high" is measured against.
|
||
|
|
//--- Typically the median/mean window volatility over the sample.
|
||
|
|
void SetReferenceVol(double v) { m_ref_vol=(v>0.0)?v:0.0; }
|
||
|
|
|
||
|
|
//--- label one price window (len closes, oldest first). Needs a
|
||
|
|
//--- reference vol to have been set for the VOLATILE test to be
|
||
|
|
//--- meaningful; with none set, volatility is judged against the
|
||
|
|
//--- window's own returns only (absolute).
|
||
|
|
ENUM_REGIME Label(const double &price[],int len) const;
|
||
|
|
|
||
|
|
//--- volatility (return stdev) of one price window, exposed so the
|
||
|
|
//--- caller can build the reference distribution in a first pass.
|
||
|
|
double WindowVolatility(const double &price[],int len) const;
|
||
|
|
|
||
|
|
//--- human-readable regime name.
|
||
|
|
static string RegimeName(ENUM_REGIME r);
|
||
|
|
};
|
||
|
|
|
||
|
|
//+------------------------------------------------------------------+
|
||
|
|
//| Construct with default thresholds. |
|
||
|
|
//+------------------------------------------------------------------+
|
||
|
|
CRegimeLabeler::CRegimeLabeler(void)
|
||
|
|
{
|
||
|
|
m_vol_hi_mult=1.6; // 1.6x the reference volatility reads as "volatile"
|
||
|
|
m_acf_trend =0.15; // lag-1 ACF above 0.15 reads as "trending"
|
||
|
|
m_ref_vol =0.0;
|
||
|
|
}
|
||
|
|
|
||
|
|
//+------------------------------------------------------------------+
|
||
|
|
//| Fill ret[0..len-2] with log returns of price[0..len-1]. |
|
||
|
|
//| Returns the number of returns produced. |
|
||
|
|
//+------------------------------------------------------------------+
|
||
|
|
double CRegimeLabeler::LogReturns(const double &price[],int len,double &ret[]) const
|
||
|
|
{
|
||
|
|
int k=0;
|
||
|
|
ArrayResize(ret,MathMax(0,len-1));
|
||
|
|
for(int i=1;i<len;i++)
|
||
|
|
{
|
||
|
|
if(price[i-1]>0.0 && price[i]>0.0)
|
||
|
|
ret[k++]=MathLog(price[i]/price[i-1]);
|
||
|
|
}
|
||
|
|
ArrayResize(ret,k);
|
||
|
|
return k;
|
||
|
|
}
|
||
|
|
|
||
|
|
//+------------------------------------------------------------------+
|
||
|
|
//| Lag-1 autocorrelation of a return series. |
|
||
|
|
//| corr = sum((r[i]-mean)(r[i-1]-mean)) / sum((r[i]-mean)^2). |
|
||
|
|
//+------------------------------------------------------------------+
|
||
|
|
double CRegimeLabeler::Autocorr1(const double &ret[],int n) const
|
||
|
|
{
|
||
|
|
if(n<3)
|
||
|
|
return 0.0;
|
||
|
|
double mean=0.0;
|
||
|
|
for(int i=0;i<n;i++)
|
||
|
|
mean+=ret[i];
|
||
|
|
mean/=n;
|
||
|
|
|
||
|
|
double num=0.0, den=0.0;
|
||
|
|
for(int i=0;i<n;i++)
|
||
|
|
{
|
||
|
|
double d=ret[i]-mean;
|
||
|
|
den+=d*d;
|
||
|
|
if(i>0)
|
||
|
|
num+=d*(ret[i-1]-mean);
|
||
|
|
}
|
||
|
|
if(den<=0.0)
|
||
|
|
return 0.0;
|
||
|
|
return num/den;
|
||
|
|
}
|
||
|
|
|
||
|
|
//+------------------------------------------------------------------+
|
||
|
|
//| Standard deviation of a return series (population). |
|
||
|
|
//+------------------------------------------------------------------+
|
||
|
|
double CRegimeLabeler::StdDev(const double &ret[],int n) const
|
||
|
|
{
|
||
|
|
if(n<=0)
|
||
|
|
return 0.0;
|
||
|
|
double mean=0.0;
|
||
|
|
for(int i=0;i<n;i++)
|
||
|
|
mean+=ret[i];
|
||
|
|
mean/=n;
|
||
|
|
double var=0.0;
|
||
|
|
for(int i=0;i<n;i++)
|
||
|
|
{
|
||
|
|
double d=ret[i]-mean;
|
||
|
|
var+=d*d;
|
||
|
|
}
|
||
|
|
var/=n;
|
||
|
|
return MathSqrt(var);
|
||
|
|
}
|
||
|
|
|
||
|
|
//+------------------------------------------------------------------+
|
||
|
|
//| Volatility (return stdev) of one price window. |
|
||
|
|
//+------------------------------------------------------------------+
|
||
|
|
double CRegimeLabeler::WindowVolatility(const double &price[],int len) const
|
||
|
|
{
|
||
|
|
double ret[];
|
||
|
|
int n=(int)LogReturns(price,len,ret);
|
||
|
|
return StdDev(ret,n);
|
||
|
|
}
|
||
|
|
|
||
|
|
//+------------------------------------------------------------------+
|
||
|
|
//| Label one price window as trend / range / volatile. |
|
||
|
|
//+------------------------------------------------------------------+
|
||
|
|
ENUM_REGIME CRegimeLabeler::Label(const double &price[],int len) const
|
||
|
|
{
|
||
|
|
double ret[];
|
||
|
|
int n=(int)LogReturns(price,len,ret);
|
||
|
|
if(n<3)
|
||
|
|
return REGIME_UNDEFINED;
|
||
|
|
|
||
|
|
double vol=StdDev(ret,n);
|
||
|
|
double acf=Autocorr1(ret,n);
|
||
|
|
|
||
|
|
//--- volatility first: an unusually wild window is VOLATILE whatever
|
||
|
|
//--- its autocorrelation says.
|
||
|
|
double vol_ref=(m_ref_vol>0.0)?m_ref_vol:vol;
|
||
|
|
if(vol>m_vol_hi_mult*vol_ref)
|
||
|
|
return REGIME_VOLATILE;
|
||
|
|
|
||
|
|
//--- among calmer windows, strong persistence marks a trend.
|
||
|
|
if(acf>m_acf_trend)
|
||
|
|
return REGIME_TREND;
|
||
|
|
|
||
|
|
return REGIME_RANGE;
|
||
|
|
}
|
||
|
|
|
||
|
|
//+------------------------------------------------------------------+
|
||
|
|
//| Human-readable regime name. |
|
||
|
|
//+------------------------------------------------------------------+
|
||
|
|
string CRegimeLabeler::RegimeName(ENUM_REGIME r)
|
||
|
|
{
|
||
|
|
switch(r)
|
||
|
|
{
|
||
|
|
case REGIME_TREND:
|
||
|
|
return "trend";
|
||
|
|
case REGIME_RANGE:
|
||
|
|
return "range";
|
||
|
|
case REGIME_VOLATILE:
|
||
|
|
return "volatile";
|
||
|
|
case REGIME_UNDEFINED:
|
||
|
|
return "undefined";
|
||
|
|
}
|
||
|
|
return "unknown";
|
||
|
|
}
|
||
|
|
//+------------------------------------------------------------------+
|