forked from Lerooy/pbo-cscv-engine
83 lines
3.7 KiB
MQL5
83 lines
3.7 KiB
MQL5
//+------------------------------------------------------------------+
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//| MACDp.mqh |
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//| Moving Average Convergence Divergence on Price |
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//| Astralys LLC |
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//| |
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//| The distance between the close and its own n-period simple moving |
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//| average: |
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//| |
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//| MACDp_t(n) = Close_t - (1/n) * sum_{i=0..n-1} Close_{t-i} |
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//| |
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//| A moving average crossover is a picture. This is the same idea |
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//| expressed as a number, which is what makes it optimisable: the |
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//| crossover is the special case where the value passes through zero.|
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//| |
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//| NORMALISATION. In raw form the value is expressed in price units, |
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//| so a threshold of 41 points means something very different on an |
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//| index at 1,400 and on the same index at 6,000. Over a long sample |
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//| of a growing market the indicator is not stationary, and the grid |
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//| ends up testing an object that changes nature halfway through. |
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//| Dividing by the moving average turns it into a percentage |
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//| deviation, which is comparable across the whole sample. |
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//+------------------------------------------------------------------+
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#property copyright "Astralys LLC"
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#property link "https://pulsar-terminal.com"
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#property version "1.00"
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//+------------------------------------------------------------------+
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//| Simple moving average of the last n values ending at i. |
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//+------------------------------------------------------------------+
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double MacdpSma(const double &price[], const int i, const int n)
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{
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if(n <= 0 || i < n - 1)
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return(0.0);
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double acc = 0.0;
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for(int k = 0; k < n; k++)
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acc += price[i - k];
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return(acc / n);
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}
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//+------------------------------------------------------------------+
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//| MACD on price over a whole series. |
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//| |
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//| price[] input series, index 0 = oldest |
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//| n lookback period of the moving average |
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//| normalise true -> percentage deviation from the average |
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//| false -> raw distance in price units |
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//| out[] output, same size as price[]. The first n-1 values are |
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//| set to EMPTY_VALUE and must be skipped by the caller. |
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//| |
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//| Returns the index of the first valid value, or -1 on error. |
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//+------------------------------------------------------------------+
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int MACDPrice(const double &price[], const int n, const bool normalise, double &out[])
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{
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const int size = ArraySize(price);
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if(size <= 0 || n <= 1 || n > size)
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return(-1);
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if(ArrayResize(out, size) != size)
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return(-1);
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for(int i = 0; i < n - 1; i++)
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out[i] = EMPTY_VALUE;
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for(int i = n - 1; i < size; i++)
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{
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const double sma = MacdpSma(price, i, n);
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if(!normalise)
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{
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out[i] = price[i] - sma;
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continue;
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}
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// A flat window cannot happen on real prices, but a zero average
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// would blow up the ratio, so it is guarded rather than trusted.
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out[i] = (sma > 0.0) ? (price[i] - sma) / sma * 100.0 : 0.0;
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}
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return(n - 1);
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}
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//+------------------------------------------------------------------+
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