Lorentzian classification for mt5

Code Conversion from Pine Script(TradingView) to MQL5.

First of all we must define the general requirements to start this job:

Requirements for the code:

The code needs to be:

• Object oriented.
• Highly modular.
• Comments in functions are required (preferably in English).

A Lorentzian Distance Classifier (LDC) is a Machine Learning classification algorithm capable of categorizing historical data from a multi-dimensional feature space. This indicator demonstrates how Lorentzian Classification can also be used to predict the direction of future price movements when used as the distance metric for a novel implementation of an Approximate Nearest Neighbors (ANN) algorithm.

• Source - This has a default value of "hlc3" and is used to control the input data source.
  
• Neighbors Count - This has a default value of 8, a minimum value of 1, a maximum value of 100, and a step of 1. It is used to control the number of neighbors to consider.
  
• Max Bars Back - This has a default value of 2000.
  
• Feature Count - This has a default value of 5, a minimum value of 2, and a maximum value of 5. It controls the number of features to use for ML predictions.
  
• Color Compression - This has a default value of 1, a minimum value of 1, and a maximum value of 10. It is used to control the compression factor for adjusting the intensity of the color scale.
  
• Show Exits - This has a default value of false. It controls whether to show the exit threshold on the chart.
  
• Use Dynamic Exits - This has a default value of false. It is used to control whether to attempt to let profits ride by dynamically adjusting the exit threshold based on kernel regression.

• Feature 1 - This has a default value of "RSI" and options are: "RSI", "WT", "CCI", "ADX".
  
• Feature 2 - This has a default value of "WT" and options are: "RSI", "WT", "CCI", "ADX".
  
• Feature 3 - This has a default value of "CCI" and options are: "RSI", "WT", "CCI", "ADX".
  
• Feature 4 - This has a default value of "ADX" and options are: "RSI", "WT", "CCI", "ADX".
  
• Feature 5 - This has a default value of "RSI" and options are: "RSI", "WT", "CCI", "ADX".

• Use Volatility Filter - This has a default value of true. It is used to control whether to use the volatility filter.
  
• Use Regime Filter - This has a default value of true. It is used to control whether to use the trend detection filter.
  
• Use ADX Filter - This has a default value of false. It is used to control whether to use the ADX filter.
  
• Regime Threshold - This has a default value of -0.1, a minimum value of -10, a maximum value of 10, and a step of 0.1. It is used to control the Regime Detection filter for detecting Trending/Ranging markets.
  
• ADX Threshold - This has a default value of 20, a minimum value of 0, a maximum value of 100, and a step of 1. It is used to control the threshold for detecting Trending/Ranging markets.

• Trade with Kernel - This has a default value of true. It is used to control whether to trade with the kernel.
  
• Show Kernel Estimate - This has a default value of true. It is used to control whether to show the kernel estimate.
  
• Lookback Window - This has a default value of 8 and a minimum value of 3. It is used to control the number of bars used for the estimation. Recommended range: 3-50
  
• Relative Weighting - This has a default value of 8 and a step size of 0.25. It is used to control the relative weighting of time frames. Recommended range: 0.25-25
  
• Start Regression at Bar - This has a default value of 25. It is used to control the bar index on which to start regression. Recommended range: 0-25
  

• Show Bar Colors - This has a default value of true. It is used to control whether to show the bar colors.
  
• Show Bar Prediction Values - This has a default value of true. It controls whether to show the ML model's evaluation of each bar as an integer.
  
• Use ATR Offset - This has a default value of false. It controls whether to use the ATR offset instead of the bar prediction offset.
  
• Bar Prediction Offset - This has a default value of 0 and a minimum value of 0. It is used to control the offset of the bar predictions as a percentage from the bar high or close.
  

• Show Backtest Results - This has a default value of true. It is used to control whether to display the win rate of the given configuration.