Discussing the article: "Feature Engineering for ML (Part 12): Fractal Features in MQL5"

[MetaQuotes]

Check out the new article: Feature Engineering for ML (Part 12): Fractal Features in MQL5.

A direct MQL5 port of the fractal detector writes each pattern at its center bar, so a buffer read by an expert advisor holds a value that only existed n bars later. We implement CFractalFeatures.mqh with ProcessBar for bar-by-bar use and Compute for full-series recalculation, covering detection, strength scored against a fixed or volatility-scaled floor, an event-based support/resistance ring, and trend-filtered breakout signals. Output is eighteen buffers published at the confirmation bar, verified against the Python reference to within 1e-13.

A Williams fractal is a local extremum of a window of 2n+1 bars, with the candidate at the center (Williams, 1998). The pattern is symmetric: it needs n bars before the candidate and n bars after it. The bars after the candidate are the problem. At the moment bar c closes, the window [c-n, c+n] is still open, and the earliest moment the pattern can be evaluated is the close of bar c+n.

This produces two defensible conventions and one indefensible one. A chart annotation may be drawn on bar c, because a marker is a statement about where the extremum occurred, and every trader reading the chart in real time knows the marker appeared n bars later. A feature buffer may not be written at bar c, because a consumer that reads buffer[c] has no way to know that the value arrived late. The indefensible convention is the one that makes both writes to the same buffer.

Author: Patrick Murimi Njoroge

[Olamide Daniel Adebayo]

i took my time reading this,all i can say is thanks for this masterpiece