catch22/Scripts/Catch22/Catch22Validate.mq5

//+------------------------------------------------------------------+
//|                                              Catch22Validate.mq5 |
//|                                      MMQ — Muhammad Minhas Qamar |
//|                                   www.mql5.com/en/articles/23488 |
//+------------------------------------------------------------------+
#property copyright "MMQ — Muhammad Minhas Qamar"
#property link      "https://www.mql5.com/en/articles/23488"
#property version   "1.00"
#property strict
#property script_show_inputs

#include <Catch22\Catch22.mqh>

//--- pick what to feed the engine: a deterministic fixture (for
//--- cross-checking against pycatch22) or live symbol returns.
enum ENUM_C22_SOURCE
  {
   SRC_FIXTURE,   // reproducible sine+noise vector defined below
   SRC_RETURNS    // log returns of the current symbol/timeframe
  };

input ENUM_C22_SOURCE InpSource = SRC_FIXTURE;  // input data source
input int             InpLength = 200;          // window length
input int             InpSeed   = 12345;        // RNG seed for the fixture

//+------------------------------------------------------------------+
//| Deterministic fixture: x[i] = sin(2*pi*i/20) + 0.5*sin(i/7)      |
//| plus a seeded uniform noise term. Fully reproducible so the      |
//| printed feature vector can be compared to a pycatch22 run on the |
//| identical vector (which the script also dumps to a CSV).         |
//+------------------------------------------------------------------+
void BuildFixture(double &x[],int n,int seed)
  {
   ArrayResize(x,n);
   MathSrand(seed);
   for(int i=0;i<n;i++)
     {
      double noise=((double)MathRand()/32767.0-0.5)*0.6;
      x[i]=MathSin(2.0*M_PI*i/20.0)+0.5*MathSin(i/7.0)+noise;
     }
  }

//+------------------------------------------------------------------+
//| Fill x[] with log returns of the current symbol.                 |
//+------------------------------------------------------------------+
bool BuildReturns(double &x[],int n)
  {
   int need=n+1;
   double close[];
   if(CopyClose(_Symbol,_Period,1,need,close)<need)
      return false;
   ArraySetAsSeries(close,false);
   ArrayResize(x,n);
   for(int i=0;i<n;i++)
     {
      if(close[i]<=0.0 || close[i+1]<=0.0)
        {
         x[i]=0.0;
         continue;
        }
      x[i]=MathLog(close[i+1]/close[i]);
     }
   return true;
  }

//+------------------------------------------------------------------+
//| Dump the input vector to Files\ so it can be re-run through      |
//| pycatch22 for an external, side-by-side comparison.              |
//+------------------------------------------------------------------+
void DumpInput(const double &x[],int n,string tag)
  {
   string fname="Catch22\\input_"+tag+".csv";
   int h=FileOpen(fname,FILE_WRITE|FILE_CSV|FILE_ANSI,",");
   if(h==INVALID_HANDLE)
     {
      PrintFormat("Could not write %s (err %d)",fname,GetLastError());
      return;
     }
   for(int i=0;i<n;i++)
      FileWrite(h,DoubleToString(x[i],10));
   FileClose(h);
   PrintFormat("Wrote input vector to MQL5\\Files\\%s",fname);
  }

//+------------------------------------------------------------------+
//| Script entry: build the data, compute catch22, print the named   |
//| vector, and persist the input for external validation.           |
//+------------------------------------------------------------------+
void OnStart()
  {
   double x[];
   string tag;
   if(InpSource==SRC_FIXTURE)
     {
      BuildFixture(x,InpLength,InpSeed);
      tag="fixture";
     }
   else
     {
      if(!BuildReturns(x,InpLength))
        {
         Print("Not enough history to build returns.");
         return;
        }
      tag="returns";
     }

   CCatch22 c;
   double feats[];
   if(!c.Compute(x,InpLength,feats))
     {
      Print("Compute() failed: degenerate window (constant or too short).");
      return;
     }

   Print("=== catch22 feature vector (",tag,", n=",InpLength,") ===");
   for(int i=0;i<CATCH22_N;i++)
      PrintFormat("%2d  %-46s = % .8f",i,CCatch22::Name(i),feats[i]);

   DumpInput(x,InpLength,tag);
   Print("=== done ===");
  }
//+------------------------------------------------------------------+