//+------------------------------------------------------------------+ //| Ind_TrendRangeRegime_v101.mq5 | //| P0 + P1(セッション・曜日 CONTEXT) + P2(ハースト融合オプション) | //| 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 "1.01" #property strict #property description "Regime: ADX+R2+DI + 任意ハースト。CONTEXT=スプレッド×セッション×曜日。バッファ0〜5固定。" #property indicator_separate_window #property indicator_buffers 6 #property indicator_plots 3 #property indicator_label1 "REGIME" #property indicator_type1 DRAW_HISTOGRAM #property indicator_color1 clrSilver #property indicator_style1 STYLE_SOLID #property indicator_width1 3 #property indicator_label2 "TREND_SCORE" #property indicator_type2 DRAW_LINE #property indicator_color2 clrDodgerBlue #property indicator_style2 STYLE_SOLID #property indicator_width2 2 #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・v100 と同一） 0 = REGIME (0..4) 1 = TREND_SCORE (0..1) 2 = CONFIDENCE (0..1) 3 = DIRECTION (-1,0,+1) 4 = CONTEXT_SCORE (0..1) スプレッド×セッション×曜日の積 5 = MURPHY_SCORE (0..1) */ input group "===== 構造パラメータ =====" input int InpMicroPeriod = 20; input int InpADXPeriod = 14; input group "===== 閾値 =====" input double InpTrendScoreHigh = 0.55; input double InpTrendScoreLow = 0.38; input double InpConfMin = 0.32; input double InpSlopeEps = 0.0; input group "===== 融合ウェイト（短期構造） =====" input double InpWADX = 0.40; input double InpWR2 = 0.35; input double InpWDI = 0.25; input group "===== P2 ハースト（任意） =====" input bool InpUseHurst = false; input ENUM_TIMEFRAMES InpHurstTF = PERIOD_H1; input int InpHurstPeriod = 100; input double InpWHurst = 0.25; // 最終 TREND_SCORE への寄与（残りは短期構造） input group "===== マーフィー・スプレッド =====" input int InpMurphyLookback = 4; input int InpSpreadAvgBars = 20; input double InpSpreadSpikeMul = 1.6; input group "===== P1 セッション・曜日（サーバー時刻） =====" input bool InpCtxP1Enable = true; input double InpMulOverlap = 1.00; // 欧米重複など input int InpOverlapStartHour = 13; input int InpOverlapEndHour = 16; input double InpMulDay = 0.93; // 主要時間帯（重複以外） input int InpDayStartHour = 8; input int InpDayEndHour = 22; input double InpMulNight = 0.82; // 上記以外 input double InpWeekendMul = 0.85; input double InpMondayMul = 0.92; input double InpFridayMul = 0.92; input double InpWeekMidMul = 1.00; // 火〜木 input group "===== 表示・挙動 =====" input bool InpUseClosedBarOnly = true; 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; datetime g_hurst_cache_tf = 0; double g_hurst_cache_val = EMPTY_VALUE; //+------------------------------------------------------------------+ double Clamp01(const double x) { if(x < 0.0) return 0.0; if(x > 1.0) return 1.0; return x; } //+------------------------------------------------------------------+ 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; } //+------------------------------------------------------------------+ //| R/S ハースト（Ind_HurstTrendRange と同系） | //+------------------------------------------------------------------+ double CalcHurst(const datetime bar_time) { if(!InpUseHurst) return EMPTY_VALUE; if(InpHurstPeriod < 10) return EMPTY_VALUE; int shift = iBarShift(_Symbol, InpHurstTF, bar_time, false); if(shift < 0) return EMPTY_VALUE; int need = InpHurstPeriod * 2; double prices[]; int got = CopyClose(_Symbol, InpHurstTF, shift + 1, need, prices); if(got < need) return EMPTY_VALUE; int n = 0; double ld[]; ArrayResize(ld, got); for(int i = 1; i < got; i++) { if(prices[i - 1] > 0 && prices[i] > 0) ld[n++] = MathLog(prices[i] / prices[i - 1]); } if(n < InpHurstPeriod) return EMPTY_VALUE; int s0 = n - InpHurstPeriod; double sum = 0; for(int k = 0; k < InpHurstPeriod; k++) sum += ld[s0 + k]; double mean = sum / InpHurstPeriod; double ssq = 0, cd = 0, mx = -1e300, mn = 1e300; for(int k = 0; k < InpHurstPeriod; k++) { double d = ld[s0 + k] - mean; cd += d; if(cd > mx) mx = cd; if(cd < mn) mn = cd; ssq += d * d; } double R = mx - mn; if(R == 0) R = 1e-10; double S = MathSqrt(ssq / InpHurstPeriod); if(S == 0) S = 1e-10; double H = MathLog(R / S) / MathLog((double)InpHurstPeriod); if(H < 0 || H > 1) return EMPTY_VALUE; return H; } //+------------------------------------------------------------------+ double SessionWeekdayContextMul(const datetime bar_time) { if(!InpCtxP1Enable) return 1.0; MqlDateTime dt; TimeToStruct(bar_time, dt); int h = dt.hour; double sm = InpMulNight; if(h >= InpOverlapStartHour && h <= InpOverlapEndHour) sm = InpMulOverlap; else if(h >= InpDayStartHour && h <= InpDayEndHour) sm = InpMulDay; double wm = InpWeekMidMul; int dow = dt.day_of_week; if(dow == 0 || dow == 6) wm = InpWeekendMul; else if(dow == 1) wm = InpMondayMul; else if(dow == 5) wm = InpFridayMul; return Clamp01(sm * wm); } //+------------------------------------------------------------------+ 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); string tag = InpUseHurst ? "P1+P2" : "P1"; IndicatorSetString(INDICATOR_SHORTNAME, StringFormat("TRRegime(%s) Mic=%d", tag, InpMicroPeriod)); IndicatorSetInteger(INDICATOR_DIGITS, 3); g_hADX = iADX(_Symbol, PERIOD_CURRENT, InpADXPeriod); if(g_hADX == INVALID_HANDLE) { Print("Ind_TrendRangeRegime v101: iADX failed"); return INIT_FAILED; } IndicatorSetDouble(INDICATOR_MINIMUM, 0.0); IndicatorSetDouble(INDICATOR_MAXIMUM, 4.0); Print("[TRRegime v1.01] Hurst=", InpUseHurst ? "ON" : "OFF", " CtxP1=", InpCtxP1Enable ? "ON" : "OFF"); return INIT_SUCCEEDED; } //+------------------------------------------------------------------+ void OnDeinit(const int reason) { if(g_hADX != INVALID_HANDLE) IndicatorRelease(g_hADX); Comment(""); } //+------------------------------------------------------------------+ 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(InpUseHurst) need = MathMax(need, InpHurstPeriod + 20); 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_struct = (InpWADX * adx_n + InpWR2 * r2 + InpWDI * di_agree) / wsum; trend_struct = Clamp01(trend_struct); double trend_score = trend_struct; if(InpUseHurst) { datetime bt = time[i]; datetime tf_time = bt; if(InpHurstTF != PERIOD_CURRENT) { int tf_sec = PeriodSeconds(InpHurstTF); if(tf_sec > 0) tf_time = (datetime)((long)bt / tf_sec * tf_sec); } double hv = EMPTY_VALUE; if(tf_time == g_hurst_cache_tf && g_hurst_cache_val != EMPTY_VALUE) hv = g_hurst_cache_val; else { hv = CalcHurst(bt); g_hurst_cache_tf = tf_time; g_hurst_cache_val = hv; } if(hv != EMPTY_VALUE && hv >= 0.0 && hv <= 1.0) { double w = Clamp01(InpWHurst); trend_score = (1.0 - w) * trend_struct + w * hv; 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_spread = 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_spread = 0.45; } double ctx_sw = SessionWeekdayContextMul(time[i]); double ctx = Clamp01(ctx_spread * ctx_sw); if(ctx < 0.05) ctx = 0.05; 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 v1.01 | %s | T=%.3f C=%.3f D=%d ctx=%.2f", rs[ri], g_buf_trend[last], g_buf_conf[last], (int)g_buf_dir[last], g_buf_ctx[last])); } return rates_total; } //+------------------------------------------------------------------+