forked from animatedread/Warrior_EA
e9c562b39f
- Introduced `FeatureScale.mqh` with `FeatSquash` function for stateless feature scaling. - Added `RegimeMath.mqh` class for regime arithmetic, including efficiency and variance calculations. - Documented the Mind trading logic in `MIND.md`, detailing the trading process and modes. - Created `VOLNORM_PLAN.md` and `VOLNORM_RESULTS.md` for tick-volume normalization testing. - Implemented `read_book.py` for analyzing trade book data and correlations. - Developed `volnorm.py` for testing tick-volume normalization with new and old methods.
99 lines
3.9 KiB
MQL5
99 lines
3.9 KiB
MQL5
//+------------------------------------------------------------------+
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//| ModalityBreadth.mqh |
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//| AnimateDread |
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//| |
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//| WHAT THE NEIGHBOURING MARKETS ARE DOING at the same bar. |
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//| |
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//| The dip-buy's losses are bear onsets, and bear onsets show up in |
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//| every index at once. A dip that only this index is having is a |
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//| local shake-out; a dip all four are having is a market-wide sell- |
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//| off, which is a different thing to buy. BREADTH is the fraction of |
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//| the peers (this symbol excluded) at z(20) <= -1 on the same bar. |
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//| |
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//| Peers are a comma list; ones the broker does not have are skipped. |
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//| A peer without history for this bar simply does not answer, and |
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//| BREADTH_N says how many did - so a reading from one peer is not |
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//| mistaken for one from three. |
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//+------------------------------------------------------------------+
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#ifndef WARRIOR_MODALITYBREADTH_MQH
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#define WARRIOR_MODALITYBREADTH_MQH
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#include "Modality.mqh"
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class CModalityBreadth : public CModality
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{
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protected:
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string m_self;
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ENUM_TIMEFRAMES m_tf;
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string m_peers[];
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int m_period; // z-score window
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double m_dipZ; // a peer at or below this z counts as dipping
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bool PeerZ(const string peer, const datetime when, double &z) const;
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public:
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CModalityBreadth(const string self, const ENUM_TIMEFRAMES tf,
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const string peerList, const int period = 20,
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const double dipZ = -1.0)
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: m_self(self), m_tf(tf), m_period(period), m_dipZ(dipZ)
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{
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string all[];
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const int n = StringSplit(peerList, ',', all);
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for(int i = 0; i < n; i++)
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{
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StringTrimLeft(all[i]);
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StringTrimRight(all[i]);
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if(all[i] == "" || all[i] == m_self)
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continue;
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if(!SymbolSelect(all[i], true))
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continue;
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const int k = ArraySize(m_peers);
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ArrayResize(m_peers, k + 1);
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m_peers[k] = all[i];
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}
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}
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int PeerCount(void) const { return ArraySize(m_peers); }
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virtual string Name(void) const override { return "breadth"; }
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virtual bool Read(const SBarRef &bar, SMarketContext &ctx) override;
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};
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//+------------------------------------------------------------------+
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bool CModalityBreadth::PeerZ(const string peer, const datetime when, double &z) const
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{
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const int shift = iBarShift(peer, m_tf, when, false);
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if(shift < 0)
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return false;
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double c[];
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if(CopyClose(peer, m_tf, shift, m_period, c) != m_period)
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return false;
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double s = 0.0, s2 = 0.0;
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for(int i = 0; i < m_period; i++)
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{
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s += c[i];
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s2 += c[i] * c[i];
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}
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const double mean = s / m_period, var = s2 / m_period - mean * mean;
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if(var <= 0.0)
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return false;
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z = (c[m_period - 1] - mean) / MathSqrt(var); // oldest first: the last element is `shift`
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return true;
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}
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//+------------------------------------------------------------------+
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bool CModalityBreadth::Read(const SBarRef &bar, SMarketContext &ctx)
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{
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int answered = 0, dipping = 0;
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for(int i = 0; i < ArraySize(m_peers); i++)
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{
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double z;
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if(!PeerZ(m_peers[i], bar.time, z))
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continue;
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answered++;
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if(z <= m_dipZ)
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dipping++;
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}
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ctx.v[CTX_BREADTH_N] = answered;
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if(answered == 0)
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return false;
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ctx.v[CTX_BREADTH] = (double)dipping / answered;
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return true;
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}
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#endif // WARRIOR_MODALITYBREADTH_MQH
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