//+------------------------------------------------------------------+ //| Ind_TrendRangeRegime_v100.mq5 | //| トレンド／レンジ・レジーム判定（P0 MVP） | //| 仕様概要: 本サイトコラム【検証#06】連載を参照 | //+------------------------------------------------------------------+ #property copyright "FX Omoshiro Lab" #property link "https://fx-omoshiro-lab.com" #property version "1.00" #property strict #property description "Regime: ADX + 回帰R2 + DI 融合。バッファ0〜5固定（iCustom用）。" #property indicator_separate_window #property indicator_buffers 6 #property indicator_plots 3 //--- Plot0: REGIME (0=UNKNOWN,1=RANGE,2=CHOP,3=TREND_UP,4=TREND_DOWN) ヒストグラム #property indicator_label1 "REGIME" #property indicator_type1 DRAW_HISTOGRAM #property indicator_color1 clrSilver #property indicator_style1 STYLE_SOLID #property indicator_width1 3 //--- Plot1: TREND_SCORE 0〜1 #property indicator_label2 "TREND_SCORE" #property indicator_type2 DRAW_LINE #property indicator_color2 clrDodgerBlue #property indicator_style2 STYLE_SOLID #property indicator_width2 2 //--- Plot2: CONFIDENCE 0〜1 #property indicator_label3 "CONFIDENCE" #property indicator_type3 DRAW_LINE #property indicator_color3 clrOrange #property indicator_style3 STYLE_SOLID #property indicator_width3 1 /* iCustom バッファ契約（固定） 0 = REGIME (0..4) 1 = TREND_SCORE (0..1) 2 = CONFIDENCE (0..1) 3 = DIRECTION (-1,0,+1) 4 = CONTEXT_SCORE (0..1) 5 = MURPHY_SCORE (0..1) */ input group "===== 構造パラメータ =====" input int InpMicroPeriod = 20; // 回帰窓（本数） input int InpADXPeriod = 14; // ADX 期間 input group "===== 閾値 =====" input double InpTrendScoreHigh = 0.55; // これ以上でトレンド系 input double InpTrendScoreLow = 0.38; // これ以下でレンジ寄り input double InpConfMin = 0.32; // これ未満は UNKNOWN input double InpSlopeEps = 0.0; // 方向ゼロ判定（価格/バー、0=ATR比で自動） input group "===== 融合ウェイト =====" input double InpWADX = 0.40; input double InpWR2 = 0.35; input double InpWDI = 0.25; // |+DI−−DI| 正規化 input group "===== マーフィー・コンテキスト =====" input int InpMurphyLookback = 4; // 短期リターン本数（騙し検出） input int InpSpreadAvgBars = 20; // スプレッド平均本数 input double InpSpreadSpikeMul = 1.6; // 平均×これ以上で CONTEXT 低下 input group "===== 表示・挙動 =====" input bool InpUseClosedBarOnly = true; // 未確定足は EMPTY_VALUE double g_buf_regime[]; double g_buf_trend[]; double g_buf_conf[]; double g_buf_dir[]; double g_buf_ctx[]; double g_buf_murphy[]; int g_hADX = INVALID_HANDLE; //+------------------------------------------------------------------+ double Clamp01(const double x) { if(x < 0.0) return 0.0; if(x > 1.0) return 1.0; return x; } //+------------------------------------------------------------------+ //| 線形回帰（時系列 x=0..n-1, y=価格）傾き・決定係数 R2 | //+------------------------------------------------------------------+ bool LinRegSlopeR2(const double &y[], const int n, double &slope, double &r2) { if(n < 3) return false; double sumx = 0.0, sumy = 0.0, sumxx = 0.0, sumyy = 0.0, sumxy = 0.0; for(int k = 0; k < n; k++) { double x = (double)k; double yi = y[k]; sumx += x; sumy += yi; sumxx += x * x; sumyy += yi * yi; sumxy += x * yi; } double denom = (double)n * sumxx - sumx * sumx; if(MathAbs(denom) < 1e-20) return false; slope = ((double)n * sumxy - sumx * sumy) / denom; double mean_y = sumy / (double)n; double ss_tot = 0.0; for(int k = 0; k < n; k++) { double d = y[k] - mean_y; ss_tot += d * d; } if(ss_tot < 1e-20) { r2 = 0.0; return true; } double intercept = (sumy - slope * sumx) / (double)n; double ss_res = 0.0; for(int k = 0; k < n; k++) { double pred = slope * (double)k + intercept; double e = y[k] - pred; ss_res += e * e; } r2 = 1.0 - ss_res / ss_tot; if(r2 < 0.0) r2 = 0.0; if(r2 > 1.0) r2 = 1.0; return true; } //+------------------------------------------------------------------+ int OnInit() { SetIndexBuffer(0, g_buf_regime, INDICATOR_DATA); SetIndexBuffer(1, g_buf_trend, INDICATOR_DATA); SetIndexBuffer(2, g_buf_conf, INDICATOR_DATA); SetIndexBuffer(3, g_buf_dir, INDICATOR_DATA); SetIndexBuffer(4, g_buf_ctx, INDICATOR_DATA); SetIndexBuffer(5, g_buf_murphy, INDICATOR_DATA); PlotIndexSetDouble(0, PLOT_EMPTY_VALUE, EMPTY_VALUE); PlotIndexSetDouble(1, PLOT_EMPTY_VALUE, EMPTY_VALUE); PlotIndexSetDouble(2, PLOT_EMPTY_VALUE, EMPTY_VALUE); IndicatorSetString(INDICATOR_SHORTNAME, StringFormat("TRRegime(P0) Mic=%d ADX=%d", InpMicroPeriod, InpADXPeriod)); IndicatorSetInteger(INDICATOR_DIGITS, 3); g_hADX = iADX(_Symbol, PERIOD_CURRENT, InpADXPeriod); if(g_hADX == INVALID_HANDLE) { Print("Ind_TrendRangeRegime: iADX failed"); return INIT_FAILED; } IndicatorSetDouble(INDICATOR_MINIMUM, 0.0); IndicatorSetDouble(INDICATOR_MAXIMUM, 4.0); return INIT_SUCCEEDED; } //+------------------------------------------------------------------+ void OnDeinit(const int reason) { if(g_hADX != INVALID_HANDLE) IndicatorRelease(g_hADX); } //+------------------------------------------------------------------+ int OnCalculate(const int rates_total, const int prev_calculated, const datetime &time[], const double &open[], const double &high[], const double &low[], const double &close[], const long &tick_volume[], const long &volume[], const int &spread[]) { int need = MathMax(InpMicroPeriod, InpADXPeriod) + InpMurphyLookback + 2; if(rates_total < need) return 0; int start; if(prev_calculated <= 0) { start = 0; ArrayInitialize(g_buf_regime, EMPTY_VALUE); ArrayInitialize(g_buf_trend, EMPTY_VALUE); ArrayInitialize(g_buf_conf, EMPTY_VALUE); ArrayInitialize(g_buf_dir, EMPTY_VALUE); ArrayInitialize(g_buf_ctx, EMPTY_VALUE); ArrayInitialize(g_buf_murphy, EMPTY_VALUE); } else start = prev_calculated - 1; if(start < need) start = need; for(int i = start; i < rates_total; i++) { if(InpUseClosedBarOnly && i == rates_total - 1) { g_buf_regime[i] = EMPTY_VALUE; g_buf_trend[i] = EMPTY_VALUE; g_buf_conf[i] = EMPTY_VALUE; g_buf_dir[i] = EMPTY_VALUE; g_buf_ctx[i] = EMPTY_VALUE; g_buf_murphy[i] = EMPTY_VALUE; continue; } int sh = rates_total - 1 - i; double adxArr[1], diP[1], diM[1]; if(CopyBuffer(g_hADX, 0, sh, 1, adxArr) < 1 || CopyBuffer(g_hADX, 1, sh, 1, diP) < 1 || CopyBuffer(g_hADX, 2, sh, 1, diM) < 1) { g_buf_regime[i] = EMPTY_VALUE; g_buf_trend[i] = EMPTY_VALUE; g_buf_conf[i] = EMPTY_VALUE; g_buf_dir[i] = EMPTY_VALUE; g_buf_ctx[i] = EMPTY_VALUE; g_buf_murphy[i] = EMPTY_VALUE; continue; } double adx = adxArr[0]; if(adx < 0.0) adx = 0.0; if(adx > 100.0) adx = 100.0; double adx_n = adx / 100.0; double dip = diP[0], dim = diM[0]; if(dip < 0.0) dip = 0.0; if(dim < 0.0) dim = 0.0; double di_sum = dip + dim; double di_agree = (di_sum > 1e-10) ? MathAbs(dip - dim) / di_sum : 0.0; double y[]; ArrayResize(y, InpMicroPeriod); int i0 = i - InpMicroPeriod + 1; if(i0 < 0) { g_buf_regime[i] = EMPTY_VALUE; g_buf_trend[i] = EMPTY_VALUE; g_buf_conf[i] = EMPTY_VALUE; g_buf_dir[i] = EMPTY_VALUE; g_buf_ctx[i] = EMPTY_VALUE; g_buf_murphy[i] = EMPTY_VALUE; continue; } for(int k = 0; k < InpMicroPeriod; k++) y[k] = close[i0 + k]; double slope = 0.0, r2 = 0.0; if(!LinRegSlopeR2(y, InpMicroPeriod, slope, r2)) { g_buf_regime[i] = EMPTY_VALUE; g_buf_trend[i] = EMPTY_VALUE; g_buf_conf[i] = EMPTY_VALUE; g_buf_dir[i] = EMPTY_VALUE; g_buf_ctx[i] = EMPTY_VALUE; g_buf_murphy[i] = EMPTY_VALUE; continue; } double wsum = InpWADX + InpWR2 + InpWDI; if(wsum < 1e-10) wsum = 1.0; double trend_score = (InpWADX * adx_n + InpWR2 * r2 + InpWDI * di_agree) / wsum; trend_score = Clamp01(trend_score); double conf = 1.0 - MathAbs(adx_n - r2) * 2.0; if(conf < 0.0) conf = 0.0; if(conf > 1.0) conf = 1.0; int dir = 0; double eps = InpSlopeEps; if(eps <= 0.0 && i > 0) { double atr_proxy = MathAbs(close[i] - close[i - 1]); for(int t = 1; t < InpMicroPeriod && i - t >= 0; t++) atr_proxy += MathAbs(close[i - t + 1] - close[i - t]); atr_proxy /= (double)MathMin(InpMicroPeriod, i + 1); eps = atr_proxy * 0.02; if(eps < 1e-10) eps = 1e-10; } else if(eps <= 0.0) eps = 1e-10; if(MathAbs(slope) > eps) dir = (slope > 0.0) ? 1 : -1; else { if(dip > dim + 0.5) dir = 1; else if(dim > dip + 0.5) dir = -1; } double ctx = 1.0; if(InpSpreadAvgBars > 0 && i >= InpSpreadAvgBars) { double ssum = 0.0; for(int t = 0; t < InpSpreadAvgBars; t++) ssum += (double)spread[i - t]; double savg = ssum / (double)InpSpreadAvgBars; double scur = (double)spread[i]; if(savg > 1e-10 && scur > savg * InpSpreadSpikeMul) ctx = 0.45; } conf *= ctx; int sign_changes = 0; for(int t = 0; t < InpMurphyLookback - 1 && i - t - 2 >= 0; t++) { double r1 = close[i - t] - close[i - t - 1]; double r2 = close[i - t - 1] - close[i - t - 2]; int s1 = (r1 > 0.0) ? 1 : (r1 < 0.0 ? -1 : 0); int s2 = (r2 > 0.0) ? 1 : (r2 < 0.0 ? -1 : 0); if(s1 != 0 && s2 != 0 && s1 != s2) sign_changes++; } double murphy = 0.15; if(trend_score > 0.52 && sign_changes >= 2) murphy = 0.82; else if(trend_score > 0.45 && sign_changes >= 1) murphy = 0.45; conf *= (1.0 - murphy * 0.25); if(conf < 0.0) conf = 0.0; if(conf > 1.0) conf = 1.0; int regime = 0; if(conf < InpConfMin) regime = 0; else if(trend_score >= InpTrendScoreHigh && dir > 0) regime = 3; else if(trend_score >= InpTrendScoreHigh && dir < 0) regime = 4; else if(trend_score <= InpTrendScoreLow) regime = 1; else regime = 2; g_buf_regime[i] = (double)regime; g_buf_trend[i] = trend_score; g_buf_conf[i] = conf; g_buf_dir[i] = (double)dir; g_buf_ctx[i] = ctx; g_buf_murphy[i] = murphy; } int last = rates_total - 1; if(last >= 0 && g_buf_regime[last] != EMPTY_VALUE) { string rs[] = {"UNK", "RNG", "CHP", "UP", "DN"}; int ri = (int)MathRound(g_buf_regime[last]); if(ri < 0) ri = 0; if(ri > 4) ri = 4; Comment(StringFormat("TRRegime v1.0 | %s | T=%.3f C=%.3f D=%d", rs[ri], g_buf_trend[last], g_buf_conf[last], (int)g_buf_dir[last])); } return rates_total; } //+------------------------------------------------------------------+