forked from kelmut/NeuroBook
116 lines
9.9 KiB
MQL5
116 lines
9.9 KiB
MQL5
//+------------------------------------------------------------------+
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//| Initial_Data_RSI_Pow.mq5 |
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//| Copyright 2021, MetaQuotes Ltd. |
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//| https://www.mql5.com/en/users/dng |
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//+------------------------------------------------------------------+
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//| Script for calculating Pearson correlation coefficient between |
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//| and a series of power values of the RSI indicator |
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//+------------------------------------------------------------------+
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#property copyright "Copyright 2021, MetaQuotes Ltd."
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#property link "https://www.mql5.com/en/users/dng"
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#property version "1.00"
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//+------------------------------------------------------------------+
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//| Connect libraries |
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//+------------------------------------------------------------------+
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#include <Math\Stat\Math.mqh>
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//+------------------------------------------------------------------+
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//| External parameters |
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//+------------------------------------------------------------------+
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input datetime Start = D'2015.01.01 00:00:00'; // Period beginning
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input datetime End = D'2020.12.31 23:59:00'; // Period end
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//+------------------------------------------------------------------+
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//| Script program |
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//+------------------------------------------------------------------+
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void OnStart(void)
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{
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//--- Connect indicators
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int h_ZZ = iCustom(_Symbol, PERIOD_M5, "Examples\\ZigZag.ex5", 48, 1, 47);
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int h_RSI = iRSI(_Symbol, PERIOD_M5, 12, PRICE_TYPICAL);
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double close[];
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if(CopyClose(_Symbol, PERIOD_M5, Start, End, close) <= 0)
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return;
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//--- Loading indicator data
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double zz[], rsi[];
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datetime end_zz = End + PeriodSeconds(PERIOD_M5) * (12 * 24 * 5);
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if(CopyBuffer(h_ZZ, 0, Start, end_zz, zz) <= 0 ||
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CopyBuffer(h_RSI, 0, Start, End, rsi) <= 0)
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{
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return;
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}
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int total = ArraySize(close);
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double rsi_pow[];
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double target1[], target2[];
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if(ArrayResize(target1, total) <= 0 || ArrayResize(target2, total) <= 0 || ArrayResize(rsi_pow, total*15) <= 0)
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{
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return;
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}
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//--- Prepare data
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double extremum = -1;
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double min=DBL_MAX;
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for(int i = ArraySize(zz) - 2; i > 0; i--)
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{
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if(zz[i + 1] > 0 && zz[i + 1] != EMPTY_VALUE)
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extremum = zz[i + 1];
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if(i >= total)
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continue;
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target2[i] = extremum - close[i];
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target1[i] = (target2[i] >= 0);
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for(int p = 0; p < 15; p++)
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{
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rsi_pow[i+p*total] = pow(rsi[i], p + 2);
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}
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}
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//--- Open the file to write data
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int handle = FileOpen("correlation_rsi_pow.csv", FILE_WRITE | FILE_CSV | FILE_ANSI, "\t", CP_UTF8);
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if(handle == INVALID_HANDLE)
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{
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PrintFormat("Error of open file %s: %d", "correlation_rsi_pow.csv", GetLastError());
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return;
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}
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string message = "Pow\tDirection\tDistance\tRSI";
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if(handle != INVALID_HANDLE)
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FileWrite(handle, message);
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//--- Determine dependency coefficients
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CorrelationPearson(target1, target2, rsi, rsi_pow, 15, handle);
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//--- Close the data file
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FileFlush(handle);
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FileClose(handle);
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PrintFormat("Correlation coefficients saved to file %s\\Files\\%s",
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TerminalInfoString(TERMINAL_DATA_PATH), "correlation_rsi_pow.csv");
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}
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//+------------------------------------------------------------------+
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//| Correlation determining function |
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//+------------------------------------------------------------------+
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void CorrelationPearson(double &target1[], // Target buffer 1
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double &target2[], // Buffer 2 of target values
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double &indicator[], // Indicator data buffer
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double &ind_pow[], // Buffer of indicator power values
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int dimension, // Dimension of buffer of power values
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int handle) // File handle to write results
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{
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//---
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int total=ArraySize(indicator);
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for(int i = 0; i < dimension; i++)
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{
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double correlation = 0;
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string message = "";
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double temp[];
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if(ArrayCopy(temp,ind_pow,0,i*total,total)<total)
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continue;
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if(MathCorrelationPearson(target1,temp, correlation))
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{
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message = StringFormat("%d\t%.5f", i+1, correlation);
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}
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if(MathCorrelationPearson(target2, temp, correlation))
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{
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message = StringFormat("%s\t%.5f", message, correlation);
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}
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if(MathCorrelationPearson(indicator, temp, correlation))
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{
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message = StringFormat("%s\t%.5f", message, correlation);
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}
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if(handle != INVALID_HANDLE)
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FileWrite(handle, message);
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}
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}
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//+------------------------------------------------------------------+
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