276 lines
9.4 KiB
MQL5
276 lines
9.4 KiB
MQL5
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//+------------------------------------------------------------------+
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//| JRQAMetrics.mqh |
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//| RQA Library for MQL5 |
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//| Joint-RQA quantification metrics from CJRQAMatrix |
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//| |
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//| Metrics computed on the NxN joint recurrence matrix: |
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//| JRR — Joint Recurrence Rate |
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//| JDET — Joint Determinism (diagonal lines) |
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//| JL — Average joint diagonal line length |
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//| JLmax — Longest joint diagonal line |
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//| JENTR — Shannon entropy of joint diagonal lines |
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//| JDIV — Joint Divergence = 1 / JLmax |
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//| JLAM — Joint Laminarity (vertical lines) |
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//| JTT — Joint Trapping Time (avg vertical line) |
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//| JVmax — Longest vertical line |
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//| JRATIO — JDET / JRR |
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//| JTREND — Trend of joint recurrence density |
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//| JCOMPLEXITY — JRR * JDET |
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//+------------------------------------------------------------------+
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#ifndef JRQAMETRICS_MQH
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#define JRQAMETRICS_MQH
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#include "JRQAMatrix.mqh"
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//+------------------------------------------------------------------+
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//| Struct — all JRQA results |
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//+------------------------------------------------------------------+
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struct SJRQAResult
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{
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double JRR; // Joint Recurrence Rate
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double JDET; // Joint Determinism
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double JLAM; // Joint Laminarity
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double JTT; // Joint Trapping Time
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double JL; // Average joint diagonal line length
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double JLmax; // Max joint diagonal line length
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double JVmax; // Max vertical line length
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double JENTR; // Shannon entropy of joint diagonal lines
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double JDIV; // Divergence = 1 / JLmax
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double JRATIO; // JDET / JRR
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double JTREND; // Trend of joint recurrence density
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double JCOMPLEXITY; // JRR * JDET
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void Reset()
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{
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JRR=0; JDET=0; JLAM=0; JTT=0; JL=0;
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JLmax=0; JVmax=0; JENTR=0; JDIV=0;
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JRATIO=0; JTREND=0; JCOMPLEXITY=0;
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}
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};
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//+------------------------------------------------------------------+
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//| CJRQAMetrics — computes all JRQA measures from CJRQAMatrix |
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//+------------------------------------------------------------------+
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class CJRQAMetrics
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{
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private:
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int m_minDiagLine;
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int m_minVertLine;
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void CountDiagonals(const CJRQAMatrix &mat,
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int &lineLengths[]) const;
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void CountVerticals(const CJRQAMatrix &mat,
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int &lineLengths[]) const;
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double ShannonEntropy(const int &lengths[], int total) const;
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double ComputeTrend(const CJRQAMatrix &mat) const;
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public:
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CJRQAMetrics(int minDiagLine = 2, int minVertLine = 2);
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bool Compute(const CJRQAMatrix &mat, SJRQAResult &result) const;
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void SetMinDiagLine(int v) { m_minDiagLine = v; }
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void SetMinVertLine(int v) { m_minVertLine = v; }
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int MinDiagLine() const { return m_minDiagLine; }
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int MinVertLine() const { return m_minVertLine; }
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};
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//+------------------------------------------------------------------+
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//| Constructor |
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//+------------------------------------------------------------------+
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CJRQAMetrics::CJRQAMetrics(int minDiagLine, int minVertLine)
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: m_minDiagLine(minDiagLine), m_minVertLine(minVertLine)
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{
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}
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//+------------------------------------------------------------------+
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//| Count diagonal line lengths (excluding main diagonal) |
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//+------------------------------------------------------------------+
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void CJRQAMetrics::CountDiagonals(const CJRQAMatrix &mat,
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int &lineLengths[]) const
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{
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int N = mat.Size();
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ArrayResize(lineLengths, N + 1);
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ArrayInitialize(lineLengths, 0);
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for(int diag = -(N - 1); diag <= (N - 1); diag++)
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{
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if(diag == 0)
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continue;
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int len = 0;
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int iStart = MathMax(0, -diag);
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int iEnd = MathMin(N - 1, N - 1 - diag);
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for(int i = iStart; i <= iEnd; i++)
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{
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int j = i + diag;
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if(mat.Get(i, j))
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len++;
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else
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{
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if(len >= m_minDiagLine && len < N)
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lineLengths[len]++;
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len = 0;
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}
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}
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if(len >= m_minDiagLine && len < N)
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lineLengths[len]++;
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}
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}
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//+------------------------------------------------------------------+
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//| Count vertical line lengths |
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//+------------------------------------------------------------------+
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void CJRQAMetrics::CountVerticals(const CJRQAMatrix &mat,
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int &lineLengths[]) const
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{
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int N = mat.Size();
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ArrayResize(lineLengths, N + 1);
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ArrayInitialize(lineLengths, 0);
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for(int j = 0; j < N; j++)
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{
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int len = 0;
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for(int i = 0; i < N; i++)
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{
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if(mat.Get(i, j))
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len++;
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else
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{
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if(len >= m_minVertLine)
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lineLengths[len]++;
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len = 0;
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}
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}
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if(len >= m_minVertLine)
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lineLengths[len]++;
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}
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}
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//+------------------------------------------------------------------+
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//| Shannon entropy of line length distribution |
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//+------------------------------------------------------------------+
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double CJRQAMetrics::ShannonEntropy(const int &lengths[], int total) const
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{
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if(total == 0) return 0.0;
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double entr = 0.0;
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int sz = ArraySize(lengths);
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for(int l = 0; l < sz; l++)
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{
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if(lengths[l] > 0)
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{
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double p = (double)lengths[l] / total;
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entr -= p * MathLog(p);
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}
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}
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return entr;
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}
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//+------------------------------------------------------------------+
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//| TREND: linear regression slope of diagonal density per strip |
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//+------------------------------------------------------------------+
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double CJRQAMetrics::ComputeTrend(const CJRQAMatrix &mat) const
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{
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int N = mat.Size();
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if(N < 4)
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return 0.0;
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int numDiag = N - 1;
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double sumX = 0, sumY = 0, sumXY = 0, sumX2 = 0;
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for(int d = 1; d < N; d++)
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{
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int count = 0, total = N - d;
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for(int i = 0; i < total; i++)
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if(mat.Get(i, i + d))
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count++;
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double density = (total > 0) ? (double)count / total : 0.0;
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double x = (double)(d - numDiag / 2);
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sumX += x;
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sumY += density;
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sumXY += x * density;
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sumX2 += x * x;
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}
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double denom = (double)numDiag * sumX2 - sumX * sumX;
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if(MathAbs(denom) < 1e-12)
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return 0.0;
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return ((double)numDiag * sumXY - sumX * sumY) / denom;
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}
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//+------------------------------------------------------------------+
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//| Main computation — fills SJRQAResult |
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//+------------------------------------------------------------------+
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bool CJRQAMetrics::Compute(const CJRQAMatrix &mat, SJRQAResult &result) const
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{
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result.Reset();
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int N = mat.Size();
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if(N < 2)
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{
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Print("JRQAMetrics::Compute — matrix too small");
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return false;
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}
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long recCount = 0;
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long total = (long)N * N - N;
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for(int i = 0; i < N; i++)
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for(int j = 0; j < N; j++)
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if(i != j && mat.Get(i, j))
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recCount++;
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result.JRR = (total > 0) ? (double)recCount / total : 0.0;
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int diagLengths[];
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CountDiagonals(mat, diagLengths);
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long diagPoints = 0, totalDiagLines = 0;
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int lmax = 0;
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long diagInQual = 0;
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int sz = ArraySize(diagLengths);
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for(int l = m_minDiagLine; l < sz; l++)
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{
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if(diagLengths[l] > 0)
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{
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diagPoints += (long)l * diagLengths[l];
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totalDiagLines += diagLengths[l];
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if(l > lmax)
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lmax = l;
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}
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}
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diagInQual = diagPoints;
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result.JLmax = (double)lmax;
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result.JDIV = (lmax > 0) ? 1.0 / lmax : 0.0;
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result.JDET = (recCount > 0) ? (double)diagInQual / recCount : 0.0;
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result.JL = (totalDiagLines > 0) ? (double)diagPoints / totalDiagLines : 0.0;
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result.JENTR = ShannonEntropy(diagLengths, (int)totalDiagLines);
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int vertLengths[];
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CountVerticals(mat, vertLengths);
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long vertPoints = 0, totalVertLines = 0;
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int vmax = 0;
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int vsz = ArraySize(vertLengths);
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for(int l = m_minVertLine; l < vsz; l++)
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{
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if(vertLengths[l] > 0)
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{
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vertPoints += (long)l * vertLengths[l];
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totalVertLines += vertLengths[l];
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if(l > vmax)
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vmax = l;
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}
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}
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result.JVmax = (double)vmax;
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result.JLAM = (recCount > 0) ? (double)vertPoints / recCount : 0.0;
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result.JTT = (totalVertLines > 0) ? (double)vertPoints / totalVertLines : 0.0;
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result.JRATIO = (result.JRR > 1e-12) ? result.JDET / result.JRR : 0.0;
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result.JCOMPLEXITY = result.JRR * result.JDET;
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result.JTREND = ComputeTrend(mat);
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return true;
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}
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#endif // JRQAMETRICS_MQH
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