Market_State_Board/Include/MarketStateBoard_Weights.mqh

//+------------------------------------------------------------------+
//| MarketStateBoard_Weights.mqh                                     |
//| PATCH-11 - DYNAMIC WEIGHT ENGINE                                 |
//+------------------------------------------------------------------+
// PATCH-11 semantics (frozen by specification):
//  * Converts the direction-neutral PATCH-10 Context Quality components
//    (atrQuality, volumeQuality, bodyQuality, closeLocationQuality) into
//    deterministic, per-timeframe dynamic weights for the four fuzzy
//    oscillator channels: RSI, Stochastic, CCI, MACD.
//  * A dynamic weight is the contextual influence assigned to an evidence
//    channel under the current market context. It is NOT a confidence, a
//    probability, statistical importance proven by history, predictive
//    quality, expected return or trade-success probability.
//  * This layer consumes ONLY MSB_ContextQuality. It never reads barDir,
//    rsiState/stochState/cciState/macdState, oscillatorAgreement or
//    alignState, so the same context produces the same channel weights
//    regardless of whether the current market direction is bullish or
//    bearish (direction-neutrality invariant).
//  * No score, probability, confidence, trade-outcome feedback, optimizer,
//    temporal smoothing, recursive weight carry-over or cross-timeframe
//    input exists in this layer.
//  * Exactly one authoritative implementation: the indicator and the static
//    validation harness include this file verbatim.
//
// INCLUDE CONTRACT:
//  MSB_ContextQuality (PATCH-10) must be declared BEFORE including this file
//  (the indicator declares it in section 5; the validation harness declares
//  an identical fixture struct).
//
// CALIBRATION GOVERNANCE (spec section 36):
//  The base weights, WEIGHT_EPS and the channel profiles below are
//  provisional structural placeholders marked WEIGHT_CALIBRATION_PENDING.
//  None of them is an authorized calibration and none may be claimed
//  empirically validated or predictively superior. They must NOT be
//  optimized, backtested, swept or tuned to market observations;
//  replacement values require a separate authorization.

// WEIGHT_CALIBRATION_PENDING
// Base structural weights (spec section 8): equal structural baselines that
// express the absence of an empirically established preference before
// contextual modulation. Not probabilities. Not tuned from market outcomes.
const double BASE_RSI   = 1.0;
const double BASE_STOCH = 1.0;
const double BASE_CCI   = 1.0;
const double BASE_MACD  = 1.0;

// Weight-normalization tolerance (spec section 17). Must not be made large
// enough to hide numerical errors.
const double WEIGHT_EPS = 1.0e-12;
// </WEIGHT_CALIBRATION_PENDING>

//==============================================================
// 1. STRUCTURES
//==============================================================
struct MSB_DynamicWeights
{
   double rsi;    // normalized dynamic weight for the RSI channel        [0,1]
   double stoch;  // normalized dynamic weight for the Stochastic channel [0,1]
   double cci;    // normalized dynamic weight for the CCI channel        [0,1]
   double macd;   // normalized dynamic weight for the MACD channel       [0,1]

   bool valid;    // false when context is unusable; weight fields are storage only
};

// Fixed structural context profile of one oscillator channel (spec section 11).
// Contract per channel: every coefficient >= 0 and
// atr + volume + body + closeLocation == 1. The profile states how compatible
// the current market context is with the structural characteristics of that
// oscillator; it is not directional and not an accuracy statement.
struct MSB_ContextProfile
{
   double atr;
   double volume;
   double body;
   double closeLocation;
};

//==============================================================
// 2. CHANNEL CONTEXT PROFILES
//==============================================================
// WEIGHT_CALIBRATION_PENDING
// Provisional channel-specific context profiles (spec section 12). These
// values are structural placeholders - an explicit, deterministic research
// starting specification. The coding agent must NOT change them because of
// observed runtime behavior; they are not statistically validated.
//   RSI  : 0.25 + 0.15 + 0.25 + 0.35 = 1.00
//   STOCH: 0.20 + 0.20 + 0.25 + 0.35 = 1.00
//   CCI  : 0.25 + 0.15 + 0.30 + 0.30 = 1.00
//   MACD : 0.40 + 0.15 + 0.35 + 0.10 = 1.00
const MSB_ContextProfile MSB_PROFILE_RSI   = {0.25, 0.15, 0.25, 0.35};
const MSB_ContextProfile MSB_PROFILE_STOCH = {0.20, 0.20, 0.25, 0.35};
const MSB_ContextProfile MSB_PROFILE_CCI   = {0.25, 0.15, 0.30, 0.30};
const MSB_ContextProfile MSB_PROFILE_MACD  = {0.40, 0.15, 0.35, 0.10};
// </WEIGHT_CALIBRATION_PENDING>

//==============================================================
// 3. HELPERS
//==============================================================
bool WeightFinite(double v)
{
   return (v == v) && (v < DBL_MAX) && (v > -DBL_MAX);
}

// Defensive domain clamp to [0,1]. The PATCH-10 contract already guarantees
// qualities in [0,1]; the clamp only guards floating-point edge cases.
double Clamp01(double v)
{
   return MathMin(1.0, MathMax(0.0, v));
}

// True when at least one context component is usable (valid flag AND finite
// quality). An all-unusable context can never produce weights (spec section
// 15: do not invent default weights from unavailable context).
bool HasUsableContext(const MSB_ContextQuality &ctx)
{
   return (ctx.atrValid           && WeightFinite(ctx.atrQuality))          ||
          (ctx.volumeValid        && WeightFinite(ctx.volumeQuality))       ||
          (ctx.bodyValid          && WeightFinite(ctx.bodyQuality))         ||
          (ctx.closeLocationValid && WeightFinite(ctx.closeLocationQuality));
}

//==============================================================
// 4. SUITABILITY
//==============================================================
// Contextual suitability of one channel (spec sections 13/14/19):
//   s_i = (sum over USABLE k of p_i,k * Q_k) / (sum over USABLE k of p_i,k)
// The denominator renormalizes the used profile coefficients so their sum
// equals 1. Missing context components are never substituted with NORMAL or
// 0.5 and never given a zero influence automatically: they are excluded and
// the remaining used coefficients are renormalized. A profile as a whole is
// never silently renormalized here - a malformed profile must be caught by
// the profile sanity verification, not hidden by this function.
// A non-finite quality inside a valid-flagged component makes only that
// component unusable; the remaining usable components still define the
// context.
// Returns 0.0 when no component is usable. ComputeDynamicWeights already
// rejects that case via HasUsableContext; this guards the public API only.
double ComputeChannelSuitability(const MSB_ContextQuality &ctx,
                                 const MSB_ContextProfile &profile)
{
   bool atrOk   = ctx.atrValid           && WeightFinite(ctx.atrQuality);
   bool volOk   = ctx.volumeValid        && WeightFinite(ctx.volumeQuality);
   bool bodyOk  = ctx.bodyValid          && WeightFinite(ctx.bodyQuality);
   bool closeOk = ctx.closeLocationValid && WeightFinite(ctx.closeLocationQuality);

   double num = 0.0;
   double den = 0.0;

   if(atrOk)
   {
      num += profile.atr * Clamp01(ctx.atrQuality);
      den += profile.atr;
   }

   if(volOk)
   {
      num += profile.volume * Clamp01(ctx.volumeQuality);
      den += profile.volume;
   }

   if(bodyOk)
   {
      num += profile.body * Clamp01(ctx.bodyQuality);
      den += profile.body;
   }

   if(closeOk)
   {
      num += profile.closeLocation * Clamp01(ctx.closeLocationQuality);
      den += profile.closeLocation;
   }

   if(den <= 0.0)
      return 0.0;   // no usable component -> no suitability evidence

   double s = num / den;

   // Defensive clamp (spec section 29): with qualities in [0,1] and
   // non-negative coefficients the weighted average is already inside
   // [0,1]; gross corruption is rejected by ComputeDynamicWeights, never
   // silently renormalized.
   return MathMin(1.0, MathMax(0.0, s));
}

//==============================================================
// 5. DYNAMIC WEIGHTS
//==============================================================
// Deterministic invalid storage (spec section 7): zeroed weights, valid=false.
MSB_DynamicWeights InvalidDynamicWeights()
{
   MSB_DynamicWeights w;
   w.rsi   = 0.0;
   w.stoch = 0.0;
   w.cci   = 0.0;
   w.macd  = 0.0;
   w.valid = false;
   return w;
}

// Per-timeframe dynamic weight vector (spec sections 16/17/18/29):
//   r_i = BASE_i * s_i                        (raw weights, explicit baseline)
//   w_i = r_i / sum(r_j)  when sum(r_j) > WEIGHT_EPS
// Invariants enforced before returning valid=true:
//   * every suitability finite and inside [0,1]
//   * sum(raw) > WEIGHT_EPS                    (never divide by zero)
//   * every weight inside [0,1] and sum(w) == 1 within WEIGHT_EPS
// Any unexpected violation yields valid=false - never silent renormalization.
// Stateless by design (spec section 27): current context -> current weights.
MSB_DynamicWeights ComputeDynamicWeights(const MSB_ContextQuality &ctx)
{
   MSB_DynamicWeights out = InvalidDynamicWeights();

   // All context invalid: weights are unavailable, no invented defaults
   // (spec section 15).
   if(!HasUsableContext(ctx))
      return out;

   double sRsi   = ComputeChannelSuitability(ctx, MSB_PROFILE_RSI);
   double sStoch = ComputeChannelSuitability(ctx, MSB_PROFILE_STOCH);
   double sCci   = ComputeChannelSuitability(ctx, MSB_PROFILE_CCI);
   double sMacd  = ComputeChannelSuitability(ctx, MSB_PROFILE_MACD);

   // Numerical safety (spec section 29): suitability finite and in [0,1].
   if(!WeightFinite(sRsi)   || sRsi   < 0.0 || sRsi   > 1.0 ||
      !WeightFinite(sStoch) || sStoch < 0.0 || sStoch > 1.0 ||
      !WeightFinite(sCci)   || sCci   < 0.0 || sCci   > 1.0 ||
      !WeightFinite(sMacd)  || sMacd  < 0.0 || sMacd  > 1.0)
      return out;

   // Raw structural weights (spec section 16): the baseline expression is
   // kept explicit so future research can distinguish the baseline from the
   // contextual modulation.
   double rRsi   = BASE_RSI   * sRsi;
   double rStoch = BASE_STOCH * sStoch;
   double rCci   = BASE_CCI   * sCci;
   double rMacd  = BASE_MACD  * sMacd;

   double sumRaw = rRsi + rStoch + rCci + rMacd;

   // Zero raw-weight condition (spec section 18): valid=false; no division
   // by zero, no equal fallback weights.
   if(sumRaw <= WEIGHT_EPS)
      return out;

   // Normalization (spec section 17): w_i = r_i / sum(r_j).
   double wRsi   = rRsi   / sumRaw;
   double wStoch = rStoch / sumRaw;
   double wCci   = rCci   / sumRaw;
   double wMacd  = rMacd  / sumRaw;

   // Numerical safety (spec section 29): defensive clamp after the division.
   wRsi   = MathMin(1.0, MathMax(0.0, wRsi));
   wStoch = MathMin(1.0, MathMax(0.0, wStoch));
   wCci   = MathMin(1.0, MathMax(0.0, wCci));
   wMacd  = MathMin(1.0, MathMax(0.0, wMacd));

   // Weight invariant: sum(w) == 1 within WEIGHT_EPS or the state is invalid.
   double sumW = wRsi + wStoch + wCci + wMacd;
   if(MathAbs(sumW - 1.0) > WEIGHT_EPS)
      return InvalidDynamicWeights();

   out.rsi   = wRsi;
   out.stoch = wStoch;
   out.cci   = wCci;
   out.macd  = wMacd;
   out.valid = true;
   return out;
}