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Quantum Price Level Calculation (mq4 version)

Posted:2020-06-24 16:22:43　Click:2937

Quantum Price Level Calculation (mq4 version)



This tutorial shows how to calculate the Quantum Price Level(qpl) under MetaTrader4 platform step by step.


Objective   : This program calculate the N(QPR) of 8 Financial Products.


For Each Financial Product:


0) Cacluate All K values [K0 .. K20] using the following formula:
K[eL] = pow((1.1924 + 33.2383*eL + 56.2169*eL*eL)/(1 + 43.6106 *eL),p3);
1) Read the Daily Time Series and extract (Date, O, H, L, C, V) m
2) Calculate Dally Price Return r(t)
3) Calculate quantum price return wavefunction Q(r)(size 100)
4) Evalutate lambda (L) value for the wavefunction Q(r)using F.D.M. at ground state
L = abs((r0^2*Q0 - r1^2*Q1)/(r0^4*Q0 - r1^4*Q1))
5) Evaluate other related parameters:
- sigma  (std dev of Q)
- maxQPR (max Quantum Price Return - for normalization)
6) Once L is found, using Quartic Schrodinger Equation of Quantum Finance to find  all the 21 Quantum Price Energies (QFEL0 .. QFEL20).
Given by:
(E(n)/(2n+1))^3 - (E(n)/(2n+1)) - K(n)^3 * L = 0
where  K(n) = ((1.1924+33.2383n+56.2169n^2)/(1+43.6106n))^(1/3)
7) Solve the 21 Cubic Eqts in (6) and extract the +ve real roots as QFEL0 .. QFEL20.
8) Cacluate QPR(n)  = QFEL(n)/QFEL(0) n = [1 .. 20]
9) Cacluate NQPR(n) = 1 + 0.21*sigma*QPR(n);
10)Save TWO Level of datafiles
1) For each financial product, save the QPL Table contains
QFEL, QPR, NQPR for the first 21 energy levels
2) For all financial product, create a QPL Summary table contains NQPR for all FP


Expert initialization function.


string      QP_Directory   = "Indicators";       // data Directory
string      Prediction_Directory = "Prediction";//prediction directory

string  TP_Code[8]={ "AUDUSD", "EURUSD", "GBPUSD", "NZDUSD", "USDCHF", "EURAUD","GBPJPY", "USDJPY"};
int maxTP = 8; // the num of product
int maxTS = 2048;//1024; //max no of Time Series Record // change to 2048

double all_NQPL[8][21];

string Predicted_value[8];


int read_data(string TPSymbol, double &return_array[]){
//declaration varuables
//basic data
int        DT_YY[2048];
int        DT_MM[2048];
int        DT_DD[2048];
double     DT_OP[2048];
double     DT_HI[2048];
double     DT_LO[2048];
double     DT_CL[2048];
double     DT_VL[2048];
double     DT_RT[2048];
double     DT_EL[2048];
double     DT_MA[2048];
double     DT_RSI[2048];
double     DT_MACDM[2048];
double     DT_MACDS[2048];

double     mu = 0;
double     sigma = 0;
double     dr = 0;

double     Q[100];//wave function
double     NQ[100];//normalized wave function
double     r[100]; //return rate under normal distribution

double     K[21];
double     QFEL[21];
double     QPR[21];
double     NQPR[21];



//define the destination add
string Data_FileName = "Daily_"+TPSymbol+".csv";

FileDelete(QP_Directory+"//"+Data_FileName,FILE_COMMON);
ResetLastError();
int QPD_FileHandle    = FileOpen(QP_Directory+"//"+Data_FileName,FILE_COMMON|FILE_READ|FILE_WRITE|FILE_CSV,',');

// Write Header Line

FileWrite(QPD_FileHandle,"Year","Month","Day","Open","High","Low","Close","Volumn","Return","MA","RSI","MACDM",

"MACDS","QPL1","QPL2","QPL3","QPL4","QPL5","QPL6","QPL7","QPL8","QPL9","QPL10","QPL11","0",
"QPL-1","QPL-2","QPL-3","QPL-4","QPL-5","QPL-6","QPL-7","QPL-8","QPL-9","QPL-10","QPL-11");


//check TSsize we can retrive
Print("product ",TPSymbol);



1. READ ALL Daily Time Series


int TSsize = 0;
while (iTime(TPSymbol,PERIOD_D1,TSsize)>0 && (TSsize {
TSsize++;
}

if(TSsize == 0) {
Print("no data for ",TPSymbol);
return -1;//no data for this product
}

for (int d=1;d {
DT_YY[d-1] = TimeYear(iTime(TPSymbol,PERIOD_D1,d));
DT_MM[d-1] = TimeMonth(iTime(TPSymbol,PERIOD_D1,d));
DT_DD[d-1] = TimeDay(iTime(TPSymbol,PERIOD_D1,d));
DT_OP[d-1] = iOpen(TPSymbol,PERIOD_D1,d);
DT_HI[d-1] = iHigh(TPSymbol,PERIOD_D1,d);
DT_LO[d-1] = iLow(TPSymbol,PERIOD_D1,d);
DT_CL[d-1] = iClose(TPSymbol,PERIOD_D1,d);
DT_VL[d-1] = iVolume(TPSymbol,PERIOD_D1,d);
DT_MA[d-1] = iMA(TPSymbol,PERIOD_D1,13,8,MODE_SMA,PRICE_MEDIAN,d);
DT_RSI[d-1]= iRSI(TPSymbol,PERIOD_D1,14,PRICE_CLOSE,d);
DT_MACDM[d-1] = iMACD(TPSymbol,PERIOD_D1,12,26,9,PRICE_CLOSE,MODE_MAIN,d);
DT_MACDS[d-1] = iMACD(TPSymbol,PERIOD_D1,12,26,9,PRICE_CLOSE,MODE_SIGNAL,d);

//get price return
if(d >=2 && DT_CL[d-1] >0){
DT_RT[d-1] = DT_CL[d-1]/DT_CL[d-2] ;
}else{
DT_RT[d-1] = 1;
}

//calculate mu
mu = mu+DT_RT[d-1];

}


2. Calculate Mean (mu) and Standard Deviation (sigma) of return array


mu = mu/TSsize;

// Calculate STDEV sigma
for (int d=0;d {
sigma = sigma + (DT_RT[d]-mu)*(DT_RT[d]-mu);
}
sigma = sqrt((sigma / TSsize));


// Calculate dr where dr = 3*sigma/50
dr = 3 * sigma / 50;


3. Generate the QP Wavefunction distribution


//transform into wave function
int tQno = 0;
double zero_index = 1 - 50*dr;
for(int d=0; d< TSsize; d++) //travers the DT_RT
{
//retrive the index of Q(r) with the value of DT_RT[d]
int index = int((DT_RT[d]-zero_index)/dr);
//in the position of index accumulate the index
if(index <0 || index>99)
{
continue;
}
Q[index] += 1;
tQno += 1;
}


double auxR = 1 - (dr * 50);
for (int nQ=0;nQ<100;nQ++)
{
r[nQ]  = auxR;
NQ[nQ] = Q[nQ]/tQno;
auxR = auxR + dr;
}


//find maxQ and maxQno
double maxQ   = 0;
int maxQno = 0;
for (int nQ=0;nQ<100;nQ++)
{
if (NQ[nQ] > maxQ)
{
maxQ   = NQ[nQ];
maxQno = nQ;
}
}


4. Evaluate Lambda L for the QP Wavefuntion

Given maxQno - i.e. ground state Q[0], r[0] = r[maxQno-dr]
We have Q[+1] = NQ[maxQno+1], r[+1] = r[maxQno]+(dr/2)
Q[-1] = NQ[maxQno-1], r[-1] = r[maxQno]-(dr*1.5)
Apply F.D.M. into QP Sch Eqtuation
L = abs((r[-1]^2*Q[-1]-(r[+1]^2*Q[+1]))/(r[-1]^4*Q[-1]-(r[+1]^4*Q[+1])))

//find K
for (int eL=0;eL<21;eL++)
{
K[eL] = MathPow((1.1924 + (33.2383*eL) + (56.2169*eL*eL))/(1 + (43.6106 *eL)),(1.0/3.0));
}

//find lambda
double r0  = r[maxQno] - (dr/2);
double r1  = r0 + dr;
double rn1 = r0 - dr;
double Lup = (pow(rn1,2)*NQ[maxQno-1])-(pow(r1,2)*NQ[maxQno+1]);
double Ldw = (pow(rn1,4)*NQ[maxQno-1])-(pow(r1,4)*NQ[maxQno+1]);
double L   = MathAbs(Lup/Ldw);


5. Using QP Schrodinger Eqt to FIND first 21 Energy Levels

By solving the Quartic Anharmonic Oscillator as cubic polynomial eqt
of the form

a*x^3 + b*x^2 + c*x + d = 0

Using (Dasqupta et. al. 2007) QAHO solving equation:

(E(n)/(2n+1))^3 - (E(n)/(2n+1)) - K(n)^3*L = 0

Solving the above Depressed Cubic Eqt using Cardano's Method

Given    t^3 + p*t + q = 0
Let      t = u + v
Cardano's Method deduced that:
u^3 = -q/2 + sqrt(q^2/4 + p^3/27)
v^3 = -q/2 - sqrt(q^2/4 + p^3/27)
The first cubic root (real root) will be:

t = u + v

So, combining Cardano's Method into our QF Sch Eqt.
We have
Substitue p = -(2n+1)^2;  q = -L(2n+1)^3*(K(n)^3) into the above equations to get the  real root


//calculate QFEL by using L, K
for (int eL=0;eL<21;eL++)
{
double p = -1 * pow((2*eL+1),2);
double q = -1 * L * pow((2*eL+1),3) * pow(K[eL],3);

// Apply Cardano's Method to find the real root of the depressed cubic equation
double u = MathPow((-0.5*q + MathSqrt(((q*q/4.0) + (p*p*p/27.0)))),(1.0/3.0));
double v = MathPow((-0.5*q - MathSqrt(((q*q/4.0) + (p*p*p/27.0)))),(1.0/3.0));

// Store the QFEL
QFEL[eL] = u + v;


}

//find out QPR and NQPR
for (int eL=0;eL<21;eL++)
{
QPR[eL]  = QFEL[eL]/QFEL[0];
NQPR[eL] = 1 + 0.21*sigma*QPR[eL];
return_array[eL] = NQPR[eL];
}


for (int d=1;d {
//generate energy level and dump into csv

double QPLn1,QPLn2,QPLn3,QPLn4,QPLn5,

QPLn6,QPLn7,QPLn8,QPLn9,QPLn10,

QPLn11,QPLn12,QPLn13,QPLn14,QPLn15,

QPLn16,QPLn17,QPLn18,QPLn19,QPLn20,QPLn21;


if(NQPR[20] != 0.0) QPLn21 = DT_OP[d-1] / NQPR[20];
if(NQPR[19] != 0.0) QPLn20 = DT_OP[d-1] / NQPR[19];
if(NQPR[18] != 0.0) QPLn19 = DT_OP[d-1] / NQPR[18];
if(NQPR[17] != 0.0) QPLn18 = DT_OP[d-1] / NQPR[17];
if(NQPR[16] != 0.0) QPLn17 = DT_OP[d-1] / NQPR[16];
if(NQPR[15] != 0.0) QPLn16 = DT_OP[d-1] / NQPR[15];
if(NQPR[14] != 0.0) QPLn15 = DT_OP[d-1] / NQPR[14];
if(NQPR[13] != 0.0) QPLn14 = DT_OP[d-1] / NQPR[13];
if(NQPR[12] != 0.0) QPLn13 = DT_OP[d-1] / NQPR[12];
if(NQPR[11] != 0.0) QPLn12 = DT_OP[d-1] / NQPR[11];
if(NQPR[10] != 0.0) QPLn11 = DT_OP[d-1] / NQPR[10];
if(NQPR[9] != 0.0) QPLn10 = DT_OP[d-1] / NQPR[9];
if(NQPR[8] != 0.0) QPLn9 = DT_OP[d-1] / NQPR[8];
if(NQPR[7] != 0.0) QPLn8 = DT_OP[d-1] / NQPR[7];
if(NQPR[6] != 0.0) QPLn7 = DT_OP[d-1] / NQPR[6];
if(NQPR[5] != 0.0) QPLn6 = DT_OP[d-1] / NQPR[5];
if(NQPR[4] != 0.0) QPLn5 = DT_OP[d-1] / NQPR[4];
if(NQPR[3] != 0.0) QPLn4 = DT_OP[d-1] / NQPR[3];
if(NQPR[2] != 0.0) QPLn3 = DT_OP[d-1] / NQPR[2];
if(NQPR[1] != 0.0) QPLn2 = DT_OP[d-1] / NQPR[1];
if(NQPR[0] != 0.0) QPLn1 = DT_OP[d-1] / NQPR[0];


double QPL1 = DT_OP[d-1] * NQPR[0];
double QPL2 = DT_OP[d-1] * NQPR[1];
double QPL3 = DT_OP[d-1] * NQPR[2];
double QPL4 = DT_OP[d-1] * NQPR[3];
double QPL5 = DT_OP[d-1] * NQPR[4];
double QPL6 = DT_OP[d-1] * NQPR[5];
double QPL7 = DT_OP[d-1] * NQPR[6];
double QPL8 = DT_OP[d-1] * NQPR[7];
double QPL9 = DT_OP[d-1] * NQPR[8];
double QPL10 = DT_OP[d-1] * NQPR[9];
double QPL11 = DT_OP[d-1] * NQPR[10];
double QPL12 = DT_OP[d-1] * NQPR[11];
double QPL13 = DT_OP[d-1] * NQPR[12];
double QPL14 = DT_OP[d-1] * NQPR[13];
double QPL15 = DT_OP[d-1] * NQPR[14];
double QPL16 = DT_OP[d-1] * NQPR[15];
double QPL17 = DT_OP[d-1] * NQPR[16];
double QPL18 = DT_OP[d-1] * NQPR[17];
double QPL19 = DT_OP[d-1] * NQPR[18];
double QPL20 = DT_OP[d-1] * NQPR[19];
double QPL21 = DT_OP[d-1] * NQPR[20];




FileWrite(QPD_FileHandle,DT_YY[d-1],DT_MM[d-1],DT_DD[d-1],
DoubleToString(DT_OP[d-1],8),DoubleToString(DT_HI[d-1],8),
DoubleToString(DT_LO[d-1],8),DoubleToString(DT_CL[d-1],8),
DT_VL[d], DoubleToString(DT_RT[d-1],8),DoubleToString(DT_MA[d-1],8),
DoubleToString(DT_RSI[d-1],8),DoubleToString(DT_MACDM[d-1],8),
DoubleToString(DT_MACDS[d-1],8),DoubleToString(QPL2,8),
DoubleToString(QPL3,8),DoubleToString(QPL4,8),
DoubleToString(QPL5,8),DoubleToString(QPL6,8),
DoubleToString(QPL7,8),DoubleToString(QPL8,8),
DoubleToString(QPL9,8),DoubleToString(QPL10,8),DoubleToString(QPL11,8),
DoubleToString(QPL12,8),
0,
DoubleToString(QPLn2,8),DoubleToString(QPLn3,8),DoubleToString(QPLn4,8),
DoubleToString(QPLn5,8),DoubleToString(QPLn6,8),DoubleToString(QPLn7,8),DoubleToString(QPLn8,8),
DoubleToString(QPLn9,8),DoubleToString(QPLn10,8),DoubleToString(QPLn11,8),DoubleToString(QPLn12,8)
);

}
FileClose(QPD_FileHandle);

return 0;
}


Get the Current Price of the product from the TP_Code array



int init(){
for(int i = 0; i //go through every single product
{
double temp[21];
read_data(TP_Code[i], temp);

for(int j =0; j<21; j++){
all_NQPL[i][j] = temp[j];
//Print("for product ",TP_Code[i],"the normalized energy level ",j," is ",temp[j]);
//Print("NQPL: " , TP_Code[i], "   ", temp[j]);
}
//quantumTrader(temp,TP_Code[i]);
}
return 0;
}


Source Code

Please download the source here: Source Code


Copyright © 2017 Quantum Finance Forecast Center.
ICP No.1703122

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