Warrior_EA/Mind/ModalityBreadth.mqh

//+------------------------------------------------------------------+
//|                                                ModalityBreadth.mqh |
//|                                                     AnimateDread |
//|                                                                  |
//| WHAT THE NEIGHBOURING MARKETS ARE DOING at the same bar.         |
//|                                                                   |
//| The dip-buy's losses are bear onsets, and bear onsets show up in  |
//| every index at once. A dip that only this index is having is a     |
//| local shake-out; a dip all four are having is a market-wide sell-  |
//| off, which is a different thing to buy. BREADTH is the fraction of |
//| the peers (this symbol excluded) at z(20) <= -1 on the same bar.   |
//|                                                                   |
//| Peers are a comma list; ones the broker does not have are skipped. |
//| A peer without history for this bar simply does not answer, and    |
//| BREADTH_N says how many did - so a reading from one peer is not    |
//| mistaken for one from three.                                       |
//+------------------------------------------------------------------+
#ifndef WARRIOR_MODALITYBREADTH_MQH
#define WARRIOR_MODALITYBREADTH_MQH

#include "Modality.mqh"

class CModalityBreadth : public CModality
  {
protected:
   string            m_self;
   ENUM_TIMEFRAMES   m_tf;
   string            m_peers[];
   int               m_period;         // z-score window
   double            m_dipZ;           // a peer at or below this z counts as dipping

   bool              PeerZ(const string peer, const datetime when, double &z) const;

public:
                     CModalityBreadth(const string self, const ENUM_TIMEFRAMES tf,
                                      const string peerList, const int period = 20,
                                      const double dipZ = -1.0)
                       : m_self(self), m_tf(tf), m_period(period), m_dipZ(dipZ)
     {
      string all[];
      const int n = StringSplit(peerList, ',', all);
      for(int i = 0; i < n; i++)
        {
         StringTrimLeft(all[i]);
         StringTrimRight(all[i]);
         if(all[i] == "" || all[i] == m_self)
            continue;
         if(!SymbolSelect(all[i], true))
            continue;
         const int k = ArraySize(m_peers);
         ArrayResize(m_peers, k + 1);
         m_peers[k] = all[i];
        }
     }
   int               PeerCount(void) const { return ArraySize(m_peers); }
   virtual string    Name(void) const override { return "breadth"; }
   virtual bool      Read(const SBarRef &bar, SMarketContext &ctx) override;
  };
//+------------------------------------------------------------------+
bool CModalityBreadth::PeerZ(const string peer, const datetime when, double &z) const
  {
   const int shift = iBarShift(peer, m_tf, when, false);
   if(shift < 0)
      return false;
   double c[];
   if(CopyClose(peer, m_tf, shift, m_period, c) != m_period)
      return false;
   double s = 0.0, s2 = 0.0;
   for(int i = 0; i < m_period; i++)
     {
      s += c[i];
      s2 += c[i] * c[i];
     }
   const double mean = s / m_period, var = s2 / m_period - mean * mean;
   if(var <= 0.0)
      return false;
   z = (c[m_period - 1] - mean) / MathSqrt(var);     // oldest first: the last element is `shift`
   return true;
  }
//+------------------------------------------------------------------+
bool CModalityBreadth::Read(const SBarRef &bar, SMarketContext &ctx)
  {
   int answered = 0, dipping = 0;
   for(int i = 0; i < ArraySize(m_peers); i++)
     {
      double z;
      if(!PeerZ(m_peers[i], bar.time, z))
         continue;
      answered++;
      if(z <= m_dipZ)
         dipping++;
     }
   ctx.v[CTX_BREADTH_N] = answered;
   if(answered == 0)
      return false;
   ctx.v[CTX_BREADTH] = (double)dipping / answered;
   return true;
  }
#endif // WARRIOR_MODALITYBREADTH_MQH