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.
52 lines
2.3 KiB
MQL5
52 lines
2.3 KiB
MQL5
//+------------------------------------------------------------------+
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//| ModalityVolume.mqh |
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//| AnimateDread |
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//| |
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//| PARTICIPATION AND EFFORT-VERSUS-RESULT, from tick volume with the |
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//| hour-of-day removed (Mind\VolumeProfile.mqh). |
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//| |
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//| Wyckoff's third law asks whether the result matches the effort. |
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//| ABSORB is that comparison in log units: volume well above normal |
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//| for the hour on a bar that made little progress (a small range in |
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//| ATR) reads high - somebody is taking the other side. Volume that |
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//| is normal for the hour with a wide bar reads low - the move had no |
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//| one to fight. Tick volume is a proxy for participation on a CFD, |
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//| not the real thing; the book records what it turned out to be. |
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//+------------------------------------------------------------------+
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#ifndef WARRIOR_MODALITYVOLUME_MQH
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#define WARRIOR_MODALITYVOLUME_MQH
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#include "Modality.mqh"
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#include "VolumeProfile.mqh"
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class CModalityVolume : public CModality
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{
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protected:
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CBarCache *m_cache; // not owned
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CVolumeProfile *m_profile; // not owned
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public:
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CModalityVolume(CBarCache *cache, CVolumeProfile *profile)
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: m_cache(cache), m_profile(profile) {}
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virtual string Name(void) const override { return "volume"; }
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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 CModalityVolume::Read(const SBarRef &bar, SMarketContext &ctx)
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{
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if(m_cache == NULL || m_profile == NULL)
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return false;
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m_profile.Update();
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const double raw = m_profile.Raw(bar.idx);
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const double det = m_profile.Detrended(bar.idx);
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if(raw == VOLPROF_NA)
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return false;
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ctx.v[CTX_RVOL_RAW] = raw;
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if(det != VOLPROF_NA)
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ctx.v[CTX_RVOL] = det;
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const double range = ctx.Has(CTX_RANGE_ATR) ? ctx.v[CTX_RANGE_ATR] : CTX_NA;
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if(det != VOLPROF_NA && range != CTX_NA)
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ctx.v[CTX_ABSORB] = det - MathLog(MathMax(range, 0.1));
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return true;
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}
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#endif // WARRIOR_MODALITYVOLUME_MQH
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