122 linhas
3,6 KiB
MQL5
122 linhas
3,6 KiB
MQL5
//+------------------------------------------------------------------+
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//| Equity_vs_Forex_Asymmetry_Significance_Test.mq5 |
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//| Copyright 2025, MetaQuotes Ltd. |
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//| https://www.mql5.com |
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//+------------------------------------------------------------------+
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#property copyright "Copyright 2025, MetaQuotes Ltd."
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#property link "https://www.mql5.com"
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#property version "1.00"
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#resource "\\Files\\VolatilityModels\\sp500.csv" as string equity_data
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#property script_show_inputs
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#include<VolatilityModels\Arch\Univariate\mean.mqh>
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//--- input parameters
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input string Symbol_="AUDUSD";
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input ENUM_TIMEFRAMES TimeFrame=PERIOD_D1;
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input datetime StartDate=D'2025.01.01';
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input ENUM_VOLATILITY_MODEL VolatilityModel = VOL_GJR_GARCH;
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input double ScaleFactor=100.;
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input ENUM_MEAN_MODEL MeanModel = MEAN_CONSTANT;
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input bool MeanConstant = true;
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input ulong _P_ = 1;
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input ulong _O_ = 1;
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input ulong _Q_ = 1;
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//+------------------------------------------------------------------+
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//| Script program start function |
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//+------------------------------------------------------------------+
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void OnStart()
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{
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if(VolatilityModel != VOL_GJR_GARCH && VolatilityModel!=VOL_TARCH)
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{
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Print(" INVALID INPUT: choose either Tarch or Gjr-Garch");
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return;
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}
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//---
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matrix data = np::readcsv_from_string(equity_data,false,",",true,0);
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vector equity = data.Col(1);
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vector forex;
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if(!forex.CopyRates(Symbol_,TimeFrame,COPY_RATES_CLOSE,datetime(data[0,0]),datetime(data[data.Rows()-1,0])))
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{
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Print(" failed to get close prices for ", Symbol_,". Error ", GetLastError());
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return;
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}
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forex = log(forex);
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equity = log(equity);
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forex = np::diff(forex);
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equity = np::diff(equity);
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forex*=ScaleFactor;
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equity*=ScaleFactor;
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ArchParameters asym_vol_spec;
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asym_vol_spec.include_constant = MeanConstant;
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asym_vol_spec.mean_model_type = MeanModel;
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asym_vol_spec.vol_model_type = VolatilityModel;
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asym_vol_spec.garch_p = _P_;
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asym_vol_spec.garch_q = _Q_;
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asym_vol_spec.garch_o = _O_;
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asym_vol_spec.observations=equity;
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HARX* equity_model = NULL;
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HARX* forex_model = NULL;
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switch(MeanModel)
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{
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case MEAN_CONSTANT:
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equity_model = new ConstantMean();
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forex_model = new ConstantMean();
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break;
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case MEAN_ZERO:
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equity_model = new ZeroMean();
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forex_model = new ZeroMean();
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break;
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default:
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equity_model = new ConstantMean();
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forex_model = new ConstantMean();
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break;
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}
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if(!equity_model.initialize(asym_vol_spec))
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{
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delete equity_model;
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return;
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}
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ArchModelResult equity_result = equity_model.fit(ScaleFactor);
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Print("Results for ", EnumToString(VolatilityModel));
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if(!equity_result.params.Size())
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{
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Print(" Equity model fit failed ");
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delete equity_model;
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}
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else
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{
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Print(" Equity: Pvalue of gamma parameter is ", equity_result.pvalues()[3]);
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delete equity_model;
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}
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asym_vol_spec.observations = forex;
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if(!forex_model.initialize(asym_vol_spec))
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{
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delete forex_model;
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return;
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}
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ArchModelResult forex_result = forex_model.fit(ScaleFactor);
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if(!forex_result.params.Size())
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{
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Print(" Forex model fit failed ");
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delete forex_model;
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}
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else
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{
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Print(" Forex: Pvalue of gamma parameter is " , forex_result.pvalues()[3]);
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delete forex_model;
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}
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}
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//+------------------------------------------------------------------+
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