//+------------------------------------------------------------------+
//| FFDValidation.mq5 — Export FFD values for Python cross-check     |
//| Copyright 2025, Patrick M. Njoroge                               |
//|                                                                  |
//| Run as a script. Exports close prices and FFD values to CSV.     |
//| Compare the CSV output against Python's frac_diff_ffd() to       |
//| verify numerical equivalence (see ffd_cross_validate.py).        |
//+------------------------------------------------------------------+
#property copyright   "Patrick M. Njoroge"
#property link        "https://www.mql5.com/en/users/patricknjoroge743"
#property version     "1.11"
#property description "Exports FFD values for cross-validation with Python"
#property script_show_inputs

//--- Inputs
input double             InpD         = 0.4;         // Differencing order d
input double             InpThreshold = 1e-5;        // Weight cutoff threshold
input bool   InpUseLog    = true;   // Log-transform prices
input int    InpBars      = 5000;   // Number of bars to export

//--- Include the computation engine from MQL5\Include\
#include "FFDEngine.mqh"


//+------------------------------------------------------------------+
//| Script program start function                                    |
//+------------------------------------------------------------------+
void OnStart()
  {
//--- Initialize engine
   CFFDEngine engine;
   if(!engine.Init(InpD, InpThreshold, InpUseLog))
     {
      Print("Validation: engine initialization failed");
      return;
     }

   PrintFormat("Validation: requesting %d bars, engine width=%d",
               InpBars, engine.GetWidth());

//--- Copy close prices
   double close[];
   int copied = CopyClose(_Symbol, _Period, 0, InpBars, close);
   if(copied < engine.GetMinBars())
     {
      PrintFormat("Not enough bars: got %d, need at least %d",
                  copied, engine.GetMinBars());
      return;
     }

//--- Ensure chronological order (oldest first).
//    CopyClose returns chronological by default, but if any other
//    code in the terminal has set ArraySetAsSeries on this buffer
//    globally, the order silently reverses and all FFD values are
//    wrong. This defensive call costs nothing and prevents that.
   ArraySetAsSeries(close, false);

   PrintFormat("Copied %d bars", copied);

//--- Copy timestamps for reference
   datetime time[];
   CopyTime(_Symbol, _Period, 0, InpBars, time);
   ArraySetAsSeries(time, false);

//--- Compute FFD for all bars
   double ffd_buffer[];
   ArrayResize(ffd_buffer, copied);
   engine.ComputeBuffer(close, ffd_buffer, copied, 0);

//--- Write to CSV
   string filename = StringFormat("ffd_validation_%s_%s_d%.2f.csv",
                                  _Symbol,
                                  EnumToString(_Period),
                                  InpD);

   int file = FileOpen(filename, FILE_WRITE | FILE_CSV, ",");
   if(file == INVALID_HANDLE)
     {
      Print("Cannot open file: ", filename);
      return;
     }

//--- Header
   FileWrite(file, "bar_index", "datetime", "close", "ffd");

//--- Data rows (skip EMPTY_VALUE bars)
   int written = 0;
   for(int i = 0; i < copied; i++)
     {
      if(ffd_buffer[i] != EMPTY_VALUE)
        {
         FileWrite(file,
                   IntegerToString(i),
                   TimeToString(time[i], TIME_DATE | TIME_SECONDS),
                   DoubleToString(close[i], 8),
                   DoubleToString(ffd_buffer[i], 12));
         written++;
        }
     }

   FileClose(file);
   PrintFormat("Validation file written: %s (%d data rows out of %d bars)",
               filename, written, copied);
   PrintFormat("Expected %d empty bars (width) + %d data bars = %d total",
               engine.GetWidth(), written, engine.GetWidth() + written);

//--- Self-check: verify the first data bar via Compute()
   if(written > 0)
     {
      int first_bar = engine.GetWidth();
      int window = engine.GetMinBars();

      // Extract the first valid price window and compute independently
      double check_prices[];
      ArrayResize(check_prices, window);
      for(int k = 0; k < window; k++)
         check_prices[k] = close[k];

      double check_val = engine.Compute(check_prices, window);
      double buffer_val = ffd_buffer[first_bar];
      double diff = MathAbs(check_val - buffer_val);

      PrintFormat("Self-check (bar %d): Compute=%.12f, Buffer=%.12f, diff=%.2e",
                  first_bar, check_val, buffer_val, diff);

      if(diff > 1e-12)
         Print("WARNING: Compute() and ComputeBuffer() disagree.");
      else
         Print("Self-check PASSED: Compute() and ComputeBuffer() agree.");
     }
  }
//+------------------------------------------------------------------+