123 lines
4.2 KiB
MQL5
123 lines
4.2 KiB
MQL5
//+------------------------------------------------------------------+
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//| Catch22Validate.mq5 |
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//| MMQ — Muhammad Minhas Qamar |
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//| www.mql5.com/en/articles/23488 |
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//+------------------------------------------------------------------+
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#property copyright "MMQ — Muhammad Minhas Qamar"
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#property link "https://www.mql5.com/en/articles/23488"
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#property version "1.00"
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#property strict
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#property script_show_inputs
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#include <Catch22\Catch22.mqh>
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//--- pick what to feed the engine: a deterministic fixture (for
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//--- cross-checking against pycatch22) or live symbol returns.
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enum ENUM_C22_SOURCE
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{
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SRC_FIXTURE, // reproducible sine+noise vector defined below
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SRC_RETURNS // log returns of the current symbol/timeframe
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};
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input ENUM_C22_SOURCE InpSource = SRC_FIXTURE; // input data source
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input int InpLength = 200; // window length
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input int InpSeed = 12345; // RNG seed for the fixture
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//+------------------------------------------------------------------+
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//| Deterministic fixture: x[i] = sin(2*pi*i/20) + 0.5*sin(i/7) |
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//| plus a seeded uniform noise term. Fully reproducible so the |
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//| printed feature vector can be compared to a pycatch22 run on the |
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//| identical vector (which the script also dumps to a CSV). |
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//+------------------------------------------------------------------+
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void BuildFixture(double &x[],int n,int seed)
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{
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ArrayResize(x,n);
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MathSrand(seed);
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for(int i=0;i<n;i++)
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{
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double noise=((double)MathRand()/32767.0-0.5)*0.6;
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x[i]=MathSin(2.0*M_PI*i/20.0)+0.5*MathSin(i/7.0)+noise;
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}
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}
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//+------------------------------------------------------------------+
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//| Fill x[] with log returns of the current symbol. |
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//+------------------------------------------------------------------+
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bool BuildReturns(double &x[],int n)
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{
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int need=n+1;
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double close[];
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if(CopyClose(_Symbol,_Period,1,need,close)<need)
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return false;
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ArraySetAsSeries(close,false);
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ArrayResize(x,n);
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for(int i=0;i<n;i++)
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{
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if(close[i]<=0.0 || close[i+1]<=0.0)
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{
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x[i]=0.0;
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continue;
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}
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x[i]=MathLog(close[i+1]/close[i]);
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}
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return true;
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}
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//+------------------------------------------------------------------+
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//| Dump the input vector to Files\ so it can be re-run through |
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//| pycatch22 for an external, side-by-side comparison. |
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//+------------------------------------------------------------------+
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void DumpInput(const double &x[],int n,string tag)
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{
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string fname="Catch22\\input_"+tag+".csv";
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int h=FileOpen(fname,FILE_WRITE|FILE_CSV|FILE_ANSI,",");
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if(h==INVALID_HANDLE)
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{
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PrintFormat("Could not write %s (err %d)",fname,GetLastError());
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return;
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}
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for(int i=0;i<n;i++)
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FileWrite(h,DoubleToString(x[i],10));
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FileClose(h);
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PrintFormat("Wrote input vector to MQL5\\Files\\%s",fname);
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}
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//+------------------------------------------------------------------+
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//| Script entry: build the data, compute catch22, print the named |
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//| vector, and persist the input for external validation. |
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//+------------------------------------------------------------------+
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void OnStart()
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{
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double x[];
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string tag;
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if(InpSource==SRC_FIXTURE)
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{
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BuildFixture(x,InpLength,InpSeed);
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tag="fixture";
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}
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else
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{
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if(!BuildReturns(x,InpLength))
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{
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Print("Not enough history to build returns.");
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return;
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}
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tag="returns";
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}
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CCatch22 c;
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double feats[];
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if(!c.Compute(x,InpLength,feats))
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{
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Print("Compute() failed: degenerate window (constant or too short).");
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return;
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}
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Print("=== catch22 feature vector (",tag,", n=",InpLength,") ===");
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for(int i=0;i<CATCH22_N;i++)
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PrintFormat("%2d %-46s = % .8f",i,CCatch22::Name(i),feats[i]);
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DumpInput(x,InpLength,tag);
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Print("=== done ===");
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}
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//+------------------------------------------------------------------+
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