forked from animatedread/Warrior_EA
203 lines
8 KiB
MQL5
203 lines
8 KiB
MQL5
 | //+------------------------------------------------------------------+
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//| JournalReviewer.mqh |
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//| AnimateDread |
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//| |
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//| THE WEEKLY REVIEW A DISCIPLINED TRADER DOES WITH THEIR JOURNAL. |
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//| |
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//| Every closed trade arrives with the context it was taken in and |
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//| what it paid (in R). The reviewer files it under a small number of |
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//| coarse conditions - how volatile, how much volume for the hour, |
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//| whether the Wyckoff structure agreed, whether the other indices |
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//| were selling off too - and, when a new setup appears, answers |
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//| "in the conditions this looks like, how have my trades done?" |
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//| |
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//| WHY IT IS BUILT TO BE TIMID. |
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//| * ADDITIVE, NOT A LOOK-UP OF THE FULL COMBINATION. Four bands of |
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//| three is 81 cells; the book makes ~650 trades in five years. |
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//| Each dimension is estimated on its own and the deviations are |
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//| AVERAGED - this ignores interactions (the memory of this repo |
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//| is that the edge lives in combinations) and pays for it in |
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//| honesty: it can be wrong about a joint effect, it cannot be |
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//| precise about one it lacks the data for. |
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//| * SHRUNK. A band's deviation from the book average counts for |
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//| n / (n + k) of its size: 30 trades at k = 20 is 60% believed. |
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//| * SILENT until MinTrades have closed, and CAUSAL by construction: |
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//| a trade is added only when it closes, so an estimate can never |
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//| include a trade that is still open or lies in the future. |
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//| * ONE RUN, NO MEMORY ACROSS RUNS in the tester (the book decides |
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//| that, not this class): a persisted verdict would leak one |
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//| backtest into the next. |
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//| |
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//| The output is a shrunk P(win) and its support (how many trades |
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//| stand behind it). CBetSizer turns that into a size. |
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//+------------------------------------------------------------------+
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#ifndef WARRIOR_JOURNALREVIEWER_MQH
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#define WARRIOR_JOURNALREVIEWER_MQH
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#include "MarketContext.mqh"
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#define REVIEW_DIMS 4
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#define REVIEW_BANDS 3
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//--- What the reviewer concluded for one prospective trade.
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struct SReview
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{
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bool valid; // false = too few trades to say anything
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double p; // shrunk P(win) for these conditions
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double p0; // the book's average P(win)
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int n; // trades in the book
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int support; // trades in the LEAST-populated band that contributed
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string bands; // "vol=hi volume=mid wyckoff=lo breadth=hi", for the log
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};
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class CJournalReviewer
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{
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protected:
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int m_k; // shrinkage strength
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int m_minTrades;
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int m_n, m_wins;
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double m_sumR;
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int m_cnt[REVIEW_DIMS][REVIEW_BANDS];
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int m_win[REVIEW_DIMS][REVIEW_BANDS];
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double m_r[]; // every R, for the edge statistics
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//--- The dimension table: which context field, and the two edges that cut it into low/mid/high.
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//--- Edges are fixed, not fitted - fitting them to the book would be one more free parameter
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//--- chosen on the very trades it then judges.
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static int FieldOf(const int d)
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{
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switch(d)
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{
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case 0: return CTX_VOL_PCT;
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case 1: return CTX_RVOL;
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case 2: return CTX_WYK_BIAS;
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default: return CTX_BREADTH;
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}
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}
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static void EdgesOf(const int d, double &lo, double &hi)
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{
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switch(d)
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{
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case 0: lo = 0.70; hi = 0.85; break; // the gate already demands >= 0.50
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case 1: lo = -0.15; hi = 0.15; break; // ln volume vs the hour's norm, detrended
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case 2: lo = -0.25; hi = 0.25; break; // the reader's verdict
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default: lo = 0.34; hi = 0.67; break; // share of peers dipping too
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}
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}
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static string DimName(const int d)
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{
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switch(d)
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{
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case 0: return "vol";
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case 1: return "volume";
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case 2: return "wyckoff";
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default: return "breadth";
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}
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}
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//--- 0 low, 1 mid, 2 high. A reading that is absent files under MID: unknown must not push
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//--- an estimate either way.
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int BandOf(const int d, const SMarketContext &c) const
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{
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const double x = c.v[FieldOf(d)];
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if(x == CTX_NA)
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return 1;
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double lo, hi;
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EdgesOf(d, lo, hi);
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return (x < lo) ? 0 : ((x > hi) ? 2 : 1);
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}
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public:
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CJournalReviewer(void) : m_k(20), m_minTrades(40), m_n(0), m_wins(0), m_sumR(0.0)
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{
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ArrayInitialize(m_cnt, 0);
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ArrayInitialize(m_win, 0);
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}
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void Configure(const int minTrades, const int shrink)
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{
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m_minTrades = MathMax(minTrades, 10);
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m_k = MathMax(shrink, 1);
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}
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int Trades(void) const { return m_n; }
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double MeanR(void) const { return (m_n > 0) ? m_sumR / m_n : 0.0; }
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double WinRate(void) const { return (m_n > 0) ? (double)m_wins / m_n : 0.0; }
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void Returns(double &out[]) const { ArrayCopy(out, m_r); }
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//--- File one closed trade.
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void Add(const SMarketContext &c, const double r)
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{
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const bool win = (r > 0.0);
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m_n++;
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m_sumR += r;
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if(win)
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m_wins++;
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for(int d = 0; d < REVIEW_DIMS; d++)
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{
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const int b = BandOf(d, c);
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m_cnt[d][b]++;
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if(win)
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m_win[d][b]++;
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}
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const int k = ArraySize(m_r);
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ArrayResize(m_r, k + 1, 256);
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m_r[k] = r;
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}
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SReview Review(const SMarketContext &c) const
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{
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SReview v;
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v.valid = false;
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v.n = m_n;
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v.p0 = WinRate();
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v.p = v.p0;
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v.support = 0;
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v.bands = "";
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if(m_n < m_minTrades)
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return v;
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double dev = 0.0;
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int used = 0, minSupport = m_n;
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for(int d = 0; d < REVIEW_DIMS; d++)
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{
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const int b = BandOf(d, c);
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const int nb = m_cnt[d][b];
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const string tag = (b == 0 ? "lo" : (b == 1 ? "mid" : "hi"));
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v.bands += (d > 0 ? " " : "") + DimName(d) + "=" + tag;
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if(nb == 0)
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continue;
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const double w = (double)nb / (nb + m_k);
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dev += w * ((double)m_win[d][b] / nb - v.p0);
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used++;
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minSupport = MathMin(minSupport, nb);
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}
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if(used == 0)
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return v;
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v.valid = true;
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v.p = MathMax(0.05, MathMin(0.95, v.p0 + dev / used));
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v.support = minSupport;
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return v;
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}
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//--- The review, as a table a person can read at the end of a run.
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void Print(void) const
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{
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if(m_n == 0)
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{
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::Print("CJournalReviewer: no closed trades.");
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return;
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}
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PrintFormat("CJournalReviewer: %d trade(s), win rate %.1f%%, mean R %+.3f.", m_n,
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100.0 * WinRate(), MeanR());
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for(int d = 0; d < REVIEW_DIMS; d++)
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{
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double lo, hi;
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EdgesOf(d, lo, hi);
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string line = " " + DimName(d) + " (" + CtxName(FieldOf(d)) + "; cuts " +
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DoubleToString(lo, 2) + " / " + DoubleToString(hi, 2) + "):";
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for(int b = 0; b < REVIEW_BANDS; b++)
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{
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const int nb = m_cnt[d][b];
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line += StringFormat(" %s n=%d win=%s", (b == 0 ? "lo" : (b == 1 ? "mid" : "hi")), nb,
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(nb > 0 ? DoubleToString(100.0 * m_win[d][b] / nb, 0) + "%" : "-"));
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}
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::Print(line);
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}
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}
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};
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#endif // WARRIOR_JOURNALREVIEWER_MQH
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