regressionchannelbreakoutscanner.mq5

#property version   "2.00"
#property strict
#property indicator_chart_window
#property indicator_plots 0

input int             BarsToAnalyze       = 100;       // Bars used by regression
input double          BreakoutThreshold   = 0.0010;    // Extra distance, in symbol points
input int             MaxSymbolsToShow    = 20;        // Maximum table rows
input color           BullishColor        = clrGreen;  // Bullish signal color
input color           BearishColor        = clrRed;    // Bearish signal color
input color           NeutralColor        = clrGray;   // Neutral signal color
input bool            ShowAllSymbols      = true;      // Market Watch symbols, otherwise chart symbol
input bool            EnableDebugLog      = true;      // Enable diagnostic log
input ENUM_TIMEFRAMES ScanTimeframe       = PERIOD_H1; // Timeframe used by scanner
input int             AtrPeriod           = 14;        // ATR period
input double          AtrMultiplier       = 1.5;       // ATR channel-width multiplier
input int             UpdateIntervalSecs  = 10;        // Refresh interval in seconds

const string SCANNER_PREFIX = "REGRESSION_SCANNER_";
const string CHANNEL_PREFIX = "REGRESSION_CHANNEL_";
const string SIGNAL_PREFIX  = "REGRESSION_BREAKOUT_";

string   g_symbols[];
int      g_total_symbols = 0;
datetime g_last_update   = 0;
bool     g_updating      = false;

struct RegressionChannelData
{
   double slope;
   double intercept;
   double width;
   double upper;
   double middle;
   double lower;
   double current_close;
   datetime current_time;
};

int OnInit()
{
      // код доступен только после оплаты
   }

void OnDeinit(const int reason)
{
   EventKillTimer();
   ObjectsDeleteAll(0, SCANNER_PREFIX);
   ObjectsDeleteAll(0, CHANNEL_PREFIX);
   ObjectsDeleteAll(0, SIGNAL_PREFIX);
   ChartRedraw(0);
}

void OnTimer()
{
   UpdateSignals();
}

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[])
{
      // код доступен только после оплаты
   }

void BuildSymbolList()
{
   if(!ShowAllSymbols)
   {
      g_total_symbols = 1;
      ArrayResize(g_symbols, 1);
      g_symbols[0] = _Symbol;
      return;
   }

   g_total_symbols = SymbolsTotal(true);
   if(g_total_symbols <= 0)
   {
      g_total_symbols = 1;
      ArrayResize(g_symbols, 1);
      g_symbols[0] = _Symbol;
      return;
   }

   ArrayResize(g_symbols, g_total_symbols);
   for(int i = 0; i < g_total_symbols; i++)
      g_symbols[i] = SymbolName(i, true);

   for(int i = 0; i < g_total_symbols; i++)
   {
      if(g_symbols[i] == _Symbol)
      {
         string first = g_symbols[0];
         g_symbols[0] = g_symbols[i];
         g_symbols[i] = first;
         break;
      }
   }
}

bool CalculateRegressionChannel(const string symbol,
                                const ENUM_TIMEFRAMES timeframe,
                                const int bars,
                                RegressionChannelData &data)
{
   int base_count = (bars > AtrPeriod ? bars : AtrPeriod);
   int required   = base_count + 1; // extra bar supplies previous close for true range

   MqlRates rates[];
   ArraySetAsSeries(rates, true);
   ResetLastError();
   int copied = CopyRates(symbol, timeframe, 0, required, rates);
   if(copied < required)
   {
      if(EnableDebugLog)
         PrintFormat("%s: insufficient %s data (%d/%d), error=%d",
                     symbol, EnumToString(timeframe), copied, required, GetLastError());
      return false;
   }

   double sum_x = 0.0, sum_y = 0.0, sum_xy = 0.0, sum_xx = 0.0;
   for(int x = 0; x < bars; x++)
   {
      int series_index = bars - 1 - x;
      double price = rates[series_index].close;
      sum_x  += x;
      sum_y  += price;
      sum_xy += x * price;
      sum_xx += x * x;
   }

   double n = (double)bars;
   double denominator = n * sum_xx - sum_x * sum_x;
   if(MathAbs(denominator) <= DBL_EPSILON)
      return false;

   data.slope     = (n * sum_xy - sum_x * sum_y) / denominator;
   data.intercept = (sum_y - data.slope * sum_x) / n;
   data.middle    = data.intercept + data.slope * (bars - 1);

   double tr_sum = 0.0;
   for(int i = 0; i < AtrPeriod; i++)
   {
      double previous_close = rates[i + 1].close;
      double range_1 = rates[i].high - rates[i].low;
      double range_2 = MathAbs(rates[i].high - previous_close);
      double range_3 = MathAbs(rates[i].low  - previous_close);
      tr_sum += MathMax(range_1, MathMax(range_2, range_3));
   }

   data.width         = (tr_sum / AtrPeriod) * AtrMultiplier;
   data.upper         = data.middle + data.width;
   data.lower         = data.middle - data.width;
   data.current_close = rates[0].close;
   data.current_time  = rates[0].time;
   return true;
}

int CheckRegressionChannelBreakout(const string symbol,
                                   const ENUM_TIMEFRAMES timeframe,
                                   const int bars,
                                   RegressionChannelData &data)
{
   if(!CalculateRegressionChannel(symbol, timeframe, bars, data))
      return 0;

   double point = SymbolInfoDouble(symbol, SYMBOL_POINT);
   if(point <= 0.0)
      return 0;

   double threshold = BreakoutThreshold * point;
   int direction = (data.slope > 0.0 ? 1 : (data.slope < 0.0 ? -1 : 0));

   if(EnableDebugLog)
   {
      int digits = (int)SymbolInfoInteger(symbol, SYMBOL_DIGITS);
      Print(symbol, " regression: slope=", DoubleToString(data.slope, 10),
            " dir=", direction,
            " upper=", DoubleToString(data.upper, digits),
            " middle=", DoubleToString(data.middle, digits),
            " lower=", DoubleToString(data.lower, digits),
            " close=", DoubleToString(data.current_close, digits));
   }

   if(direction > 0)
   {
      if(data.current_close > data.upper + threshold)  return 2;
      if(data.current_close > data.middle + threshold) return 1;
      if(data.current_close < data.lower - threshold)  return -1;
   }
   else if(direction < 0)
   {

      if(data.current_close > data.upper + threshold)  return 1;
      if(data.current_close < data.lower - threshold)  return -2;
      if(data.current_close < data.middle - threshold) return -1;
   }
   else
   {
      if(data.current_close > data.upper + threshold) return 1;
      if(data.current_close < data.lower - threshold) return -1;
   }

   return 0;
}

void UpdateSignals()
{
   if(g_updating)
      return;
   g_updating = true;

   if(ObjectFind(0, SCANNER_PREFIX + "BG") < 0)
      CreateTableHeader();

   DeleteObjectsByPrefix(SCANNER_PREFIX + "ROW_");
   DrawRegressionChannel(BarsToAnalyze, clrRed, clrGray, 2);

   int rows = 0;
   for(int i = 0; i < g_total_symbols && rows < MaxSymbolsToShow; i++)
   {
      string symbol = g_symbols[i];
      if(symbol == "")
         continue;

      MqlTick tick;
      ResetLastError();
      if(!SymbolInfoTick(symbol, tick) || tick.bid <= 0.0 || tick.ask <= 0.0)
      {
         if(EnableDebugLog)
            PrintFormat("%s: no valid tick, error=%d", symb

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