Correlation/correlation.mq5

//+------------------------------------------------------------------+
//|                                                  correlation.mq5 |
//|                                https://t.me/indicators_mql4_mql5 |
//|                                Creator:  https://t.me/Denchik_ai |
//+------------------------------------------------------------------+
#property copyright "https://t.me/Denchik_ai"
#property link      "https://t.me/indicators_mql4_mql5"
#property version   "1.00"
#property strict
#property indicator_separate_window
#property indicator_buffers 1
#property indicator_plots   1
#property indicator_color1  clrDodgerBlue
#property indicator_style1  STYLE_SOLID
#property indicator_type1   DRAW_LINE
//+------------------------------------------------------------------+
//| Custom indicator initialization function                         |
//+------------------------------------------------------------------+
input string Symbol1 = "EURUSD";   // First symbol
input string Symbol2 = "GBPUSD";   // Second symbol
input int    barss = 30;           // Correlation Period
double corrBuffer[];

int OnInit()
  {
//--- indicator buffers mapping
   SetIndexBuffer(0, corrBuffer, INDICATOR_DATA);
   ArraySetAsSeries(corrBuffer, true);
   IndicatorSetString(INDICATOR_SHORTNAME,"Correlation " + Symbol1 + " : " + Symbol2 + ", period: " + barss);
//---
   return(INIT_SUCCEEDED);
  }
//+------------------------------------------------------------------+
//| Custom indicator iteration function                              |
//+------------------------------------------------------------------+
int OnCalculate(const int32_t rates_total,
                const int32_t 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 int32_t &spread[])
  {
//---
   int counted_bars = prev_calculated;
   int i, limit;

   if(counted_bars < 0) return(-1);
   if(counted_bars > 0) counted_bars--;
   
   limit = MathMin(rates_total - 1 - barss, rates_total - counted_bars);
   
//--- calculate MACD
   for(i = limit; i >= 0; i--){
      corrBuffer[i] = Corr1(i, barss);
   }
   
//--- return value of prev_calculated for next call
   return(rates_total);
  }


double Corr1(int ii, int bars1)
{
    ENUM_TIMEFRAMES Timeframe = PERIOD_CURRENT; // Timeframe
    
    double close1[];
   double close2[];
   
   // Copy close prices for Symbol1
   int copied1 = CopyClose(Symbol1, Timeframe, ii, bars1, close1);
   if (copied1 != bars1)
   {
      //Print("Error copying data for ", Symbol1, ": ", GetLastError());
      return 0;
   }
   
   // Copy close prices for Symbol2
   int copied2 = CopyClose(Symbol2, Timeframe, ii, bars1, close2);
   if (copied2 != bars1)
   {
      //Print("Error copying data for ", Symbol2, ": ", GetLastError());
      return 0;
   }
   
   // Calculate means
   double mean1 = 0.0;
   double mean2 = 0.0;
   for (int i = 0; i < bars1; i++)
   {
      mean1 += close1[i];
      mean2 += close2[i];
   }
   mean1 /= bars1;
   mean2 /= bars1;
   
   // Calculate covariance and variances
   double cov = 0.0;
   double var1 = 0.0;
   double var2 = 0.0;
   for (int i = 0; i < bars1; i++)
   {
      double dev1 = close1[i] - mean1;
      double dev2 = close2[i] - mean2;
      cov += dev1 * dev2;
      var1 += dev1 * dev1;
      var2 += dev2 * dev2;
   }
   cov /= (bars1 - 1);  // Sample covariance
   var1 /= (bars1 - 1); // Sample variance
   var2 /= (bars1 - 1);
   
   // Calculate standard deviations
   double std1 = MathSqrt(var1);
   double std2 = MathSqrt(var2);
   
   // Calculate correlation
   double correlation = 0.0;
   if (std1 > 0 && std2 > 0)
   {
      correlation = cov / (std1 * std2);
      return correlation;
      //FileWrite(file_handle, correlation);
   }
   else
   {
      Print("Error: Standard deviation is zero for one of the symbols.");
      return 0;
      //FileWrite(file_handle, 0);
   }
   
}