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.
150 lines
7.1 KiB
MQL5
150 lines
7.1 KiB
MQL5
//+------------------------------------------------------------------+
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//| ModalityWyckoff.mqh |
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//| AnimateDread |
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//| |
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//| THE STRUCTURE READ - what phase the campaign is in, what event |
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//| spoke last, whether a spring or upthrust has just shaken the |
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//| range, whether the structure has failed. |
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//| |
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//| Two classes, two jobs: |
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//| CWyckoffReader the RULES a Wyckoff trader applies to that |
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//| reading, as a pure function of the context. |
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//| Changing a rule touches only this class. |
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//| CModalityWyckoff fetches the reading from the shared feed |
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//| (Signals\Wyckoff\WyckoffFeed.mqh) and stamps |
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//| the reader's verdict onto the context. |
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//| |
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//| WHAT THE VERDICT IS AND IS NOT. The weights below are AUTHORED |
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//| priors taken from the two Wyckoff books, not measurements. They |
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//| are never used to veto a trade on their own: the verdict is one |
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//| bucket dimension in the journal review, so the trades decide |
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//| whether "against the structure" is a worse place to buy a dip. |
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//| The seven-style scan found no bar-geometry edge beyond the dip |
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//| itself, so this is expected to be weak until the journal says |
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//| otherwise. |
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//| |
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//| THE FEED MAY BE ABSENT. The three indicators must be compiled in |
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//| MQL5\Indicators. If Create() fails the modality reports it once |
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//| and answers false forever; CTX_WYK_OK stays NA and the reviewer |
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//| treats the dimension as neutral. |
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//+------------------------------------------------------------------+
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#ifndef WARRIOR_MODALITYWYCKOFF_MQH
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#define WARRIOR_MODALITYWYCKOFF_MQH
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#include "Modality.mqh"
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#include "..\Signals\Wyckoff\WyckoffFeed.mqh"
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//+------------------------------------------------------------------+
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//| The rules. Long-side: +1 = the structure supports buying here, |
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//| -1 = it argues the dip is the start of markdown, not a shake-out. |
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//+------------------------------------------------------------------+
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class CWyckoffReader
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{
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public:
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static double Bias(const SMarketContext &c)
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{
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if(!c.Has(CTX_WYK_OK) || c.v[CTX_WYK_OK] < 0.5)
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return CTX_NA;
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double s = 0.0;
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//--- What the campaign IS: accumulation supports a buy, distribution argues against it.
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if(c.Has(CTX_WYK_CHAR))
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s += 0.35 * c.v[CTX_WYK_CHAR];
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//--- Where it is. Bull C/D/E (spring done, markup starting) is where dips get bought;
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//--- bear D/E is the markdown a "dip" belongs to.
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if(c.Has(CTX_WYK_PHASE))
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{
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const double p = c.v[CTX_WYK_PHASE];
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if(p >= 3.0) s += 0.20;
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else if(p <= -4.0) s -= 0.40;
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else if(p <= -3.0) s -= 0.20;
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}
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//--- The shake-out itself: a spring under support is the textbook long; an upthrust is not.
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if(c.Has(CTX_WYK_SPRING) && c.v[CTX_WYK_SPRING] != 0.0)
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s += 0.30 * MathMax(-1.0, MathMin(1.0, c.v[CTX_WYK_SPRING] / 3.0));
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//--- The most recent event, if it is fresh: SOS/LPS confirm, SOW/LPSY warn.
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if(c.Has(CTX_WYK_EVENT) && c.Has(CTX_WYK_AGE) && c.v[CTX_WYK_AGE] <= 10.0)
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{
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const int code = (int)MathAbs(c.v[CTX_WYK_EVENT]);
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const double dir = (c.v[CTX_WYK_EVENT] >= 0.0) ? 1.0 : -1.0;
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if(code == WYK_EV_SOS) s += 0.20 * dir;
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else if(code == WYK_EV_LPS) s += 0.10 * dir;
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else if(code == WYK_EV_SC || code == WYK_EV_ST)
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s += 0.05 * dir;
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}
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//--- A structure that has failed is the strongest thing a trader reads, either way.
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if(c.Has(CTX_WYK_FAIL))
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s += 0.15 * MathMax(-2.5, MathMin(2.5, c.v[CTX_WYK_FAIL]));
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return MathMax(-1.0, MathMin(1.0, s));
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}
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};
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//+------------------------------------------------------------------+
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class CModalityWyckoff : public CModality
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{
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protected:
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CIndicators m_owner; // refreshed here; the shared feed may have another owner too
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bool m_reported;
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string m_symbol;
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ENUM_TIMEFRAMES m_tf;
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int m_lookback; // bars scanned for the freshest event / spring
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public:
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CModalityWyckoff(const string symbol, const ENUM_TIMEFRAMES tf,
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const int lookback = 10)
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: m_reported(false), m_symbol(symbol), m_tf(tf),
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m_lookback(lookback)
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{
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//--- The handles are members of the global feed, not heap objects: a collection that frees
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//--- its elements on destruction would delete them.
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m_owner.FreeMode(false);
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//--- Created HERE, at init, not at the first read: a handle made mid-run has no calculated
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//--- buffers yet, so the first trade would be booked with a Wyckoff reading of zeros.
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if(!WyckoffFeedEnsure(GetPointer(m_owner), m_symbol, m_tf))
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{
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m_reported = true;
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PrintFormat("CModalityWyckoff: feed unavailable (%s) - the Wyckoff dimension will read"
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" as neutral.", g_wyckoffFeed.Why());
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}
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}
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virtual string Name(void) const override { return "wyckoff"; }
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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 CModalityWyckoff::Read(const SBarRef &bar, SMarketContext &ctx)
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{
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if(!g_wyckoffFeed.Ok())
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return false;
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m_owner.Refresh();
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const int s = bar.shift;
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ctx.v[CTX_WYK_OK] = 1.0;
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const double phase = g_wyckoffFeed.Phase(s);
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ctx.v[CTX_WYK_PHASE] = phase;
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ctx.v[CTX_WYK_CHAR] = g_wyckoffFeed.Character(s);
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ctx.v[CTX_WYK_FAIL] = g_wyckoffFeed.FailValue(s);
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//--- The freshest event and the strongest spring/upthrust inside the look-back window.
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double ev = 0.0, age = CTX_NA, spring = 0.0;
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for(int k = 0; k < m_lookback; k++)
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{
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const double e = g_wyckoffFeed.Event(s + k);
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if(ev == 0.0 && e != 0.0)
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{
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ev = e;
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age = k;
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}
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const double sg = g_wyckoffFeed.SpringGrade(s + k);
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if(MathAbs(sg) > MathAbs(spring))
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spring = sg;
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}
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ctx.v[CTX_WYK_EVENT] = ev;
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ctx.v[CTX_WYK_AGE] = age;
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ctx.v[CTX_WYK_SPRING] = spring;
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if(g_wyckoffFeed.RangeOpen(s))
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{
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const double top = g_wyckoffFeed.ZoneTop(s), bot = g_wyckoffFeed.ZoneBottom(s);
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const double c = iClose(m_symbol, m_tf, s);
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ctx.v[CTX_WYK_RANGEPOS] = MathMax(0.0, MathMin(1.0, (c - bot) / (top - bot)));
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}
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ctx.v[CTX_WYK_BIAS] = CWyckoffReader::Bias(ctx);
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return true;
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}
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#endif // WARRIOR_MODALITYWYCKOFF_MQH
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