266 lines
No EOL
19 KiB
MQL5
266 lines
No EOL
19 KiB
MQL5
//------------------------------------------------------------------
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#property copyright "© mladen, 2016, MetaQuotes Software Corp."
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#property link "www.forex-tsd.com, www.mql5.com"
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#property version "1.00"
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//------------------------------------------------------------------
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#property indicator_chart_window
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#property indicator_buffers 8
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#property indicator_plots 7
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#property indicator_type1 DRAW_LINE
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#property indicator_color1 clrLimeGreen
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#property indicator_width1 2
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#property indicator_type2 DRAW_LINE
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#property indicator_color2 clrLimeGreen
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#property indicator_type3 DRAW_LINE
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#property indicator_color3 clrLimeGreen
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#property indicator_style3 STYLE_DOT
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#property indicator_type4 DRAW_LINE
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#property indicator_color4 clrSilver
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#property indicator_style4 STYLE_DOT
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#property indicator_type5 DRAW_LINE
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#property indicator_color5 clrSandyBrown
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#property indicator_style5 STYLE_DOT
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#property indicator_type6 DRAW_LINE
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#property indicator_color6 clrSandyBrown
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#property indicator_type7 DRAW_LINE
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#property indicator_color7 clrSandyBrown
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#property indicator_width7 2
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//
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//
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//
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//
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//
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enum enPrices
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{
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pr_close, // Close
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pr_open, // Open
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pr_high, // High
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pr_low, // Low
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pr_median, // Median
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pr_typical, // Typical
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pr_weighted, // Weighted
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pr_average, // Average (high+low+open+close)/4
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pr_medianb, // Average median body (open+close)/2
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pr_tbiased, // Trend biased price
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pr_tbiased2, // Trend biased (extreme) price
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pr_haclose, // Heiken ashi close
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pr_haopen , // Heiken ashi open
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pr_hahigh, // Heiken ashi high
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pr_halow, // Heiken ashi low
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pr_hamedian, // Heiken ashi median
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pr_hatypical, // Heiken ashi typical
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pr_haweighted, // Heiken ashi weighted
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pr_haaverage, // Heiken ashi average
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pr_hamedianb, // Heiken ashi median body
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pr_hatbiased, // Heiken ashi trend biased price
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pr_hatbiased2 // Heiken ashi trend biased (extreme) price
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};
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input int AvgPeriod = 20; // Volume weighted average period
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input enPrices Price = pr_close; // Price
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input bool UseRealVolume = false; // Use real volume?
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input bool DeviationSample = false; // Deviation with sample correction?
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input double DeviationMuliplier1 = 1; // First band(s) deviation
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input double DeviationMuliplier2 = 2; // Second band(s) deviation
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input double DeviationMuliplier3 = 2.5; // Third band(s) deviation
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double bandm[],bandu1[],bandu2[],bandu3[],bandd1[],bandd2[],bandd3[],prices[];
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//------------------------------------------------------------------
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//
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//------------------------------------------------------------------
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//
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//
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//
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//
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//
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void OnInit()
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{
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SetIndexBuffer(0,bandu3 ,INDICATOR_DATA);
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SetIndexBuffer(1,bandu2 ,INDICATOR_DATA);
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SetIndexBuffer(2,bandu1 ,INDICATOR_DATA);
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SetIndexBuffer(3,bandm ,INDICATOR_DATA);
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SetIndexBuffer(4,bandd1 ,INDICATOR_DATA);
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SetIndexBuffer(5,bandd2 ,INDICATOR_DATA);
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SetIndexBuffer(6,bandd3 ,INDICATOR_DATA);
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SetIndexBuffer(7,prices ,INDICATOR_CALCULATIONS);
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IndicatorSetString(INDICATOR_SHORTNAME,"VWAP bands ("+(string)AvgPeriod+")");
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}
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//------------------------------------------------------------------
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//
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//------------------------------------------------------------------
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//
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//
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//
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//
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//
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int OnCalculate(const int rates_total,
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const int prev_calculated,
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const datetime& time[],
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const double& open[],
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const double& high[],
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const double& low[],
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const double& close[],
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const long& tick_volume[],
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const long& real_volume[],
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const int& spread[])
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{
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if (Bars(_Symbol,_Period)<rates_total) return(-1);
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//
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//
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//
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//
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//
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int i=(int)MathMax(prev_calculated-1,0); for (; i<rates_total && !_StopFlag; i++)
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{
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prices[i] = getPrice(Price,open,close,high,low,i,rates_total);
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double sum1=0,sum2=0, deviation = iDeviation(prices[i],AvgPeriod,DeviationSample,i,rates_total);
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for (int k=0; k<AvgPeriod && (i-k)>=0; k++)
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{
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double volume = (UseRealVolume) ? (double)real_volume[i-k] : (double)tick_volume[i-k];
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sum1 += volume*prices[i-k];
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sum2 += volume;
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}
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bandm[i] = (sum2!=0) ? sum1/sum2 : prices[i];
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bandu1[i] = (DeviationMuliplier1>0) ? bandm[i]+DeviationMuliplier1*deviation : EMPTY_VALUE;
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bandd1[i] = (DeviationMuliplier1>0) ? bandm[i]-DeviationMuliplier1*deviation : EMPTY_VALUE;
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bandu2[i] = (DeviationMuliplier2>0) ? bandm[i]+DeviationMuliplier2*deviation : EMPTY_VALUE;
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bandd2[i] = (DeviationMuliplier2>0) ? bandm[i]-DeviationMuliplier2*deviation : EMPTY_VALUE;
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bandu3[i] = (DeviationMuliplier3>0) ? bandm[i]+DeviationMuliplier3*deviation : EMPTY_VALUE;
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bandd3[i] = (DeviationMuliplier3>0) ? bandm[i]-DeviationMuliplier3*deviation : EMPTY_VALUE;
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}
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return(i);
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}
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//------------------------------------------------------------------
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//
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//------------------------------------------------------------------
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//
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//
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//
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//
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//
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double workDev[];
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double iDeviation(double value, int length, bool isSample, int i, int bars)
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{
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if (ArraySize(workDev)!=bars) ArrayResize(workDev,bars); workDev[i] = value;
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//
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//
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//
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//
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//
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double oldMean = value;
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double newMean = value;
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double squares = 0; int k;
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for (k=1; k<length && (i-k)>=0; k++)
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{
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newMean = (workDev[i-k]-oldMean)/(k+1)+oldMean;
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squares += (workDev[i-k]-oldMean)*(workDev[i-k]-newMean);
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oldMean = newMean;
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}
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return(MathSqrt(squares/MathMax(k-isSample,1)));
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}
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//------------------------------------------------------------------
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//
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//------------------------------------------------------------------
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//
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//
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//
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//
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//
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//
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#define _pricesInstances 1
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#define _pricesSize 4
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double workHa[][_pricesInstances*_pricesSize];
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double getPrice(int tprice, const double& open[], const double& close[], const double& high[], const double& low[], int i,int _bars, int instanceNo=0)
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{
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if (tprice>=pr_haclose)
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{
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if (ArrayRange(workHa,0)!= _bars) ArrayResize(workHa,_bars); instanceNo*=_pricesSize;
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//
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//
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//
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//
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//
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double haOpen;
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if (i>0)
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haOpen = (workHa[i-1][instanceNo+2] + workHa[i-1][instanceNo+3])/2.0;
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else haOpen = (open[i]+close[i])/2;
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double haClose = (open[i] + high[i] + low[i] + close[i]) / 4.0;
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double haHigh = MathMax(high[i], MathMax(haOpen,haClose));
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double haLow = MathMin(low[i] , MathMin(haOpen,haClose));
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if(haOpen <haClose) { workHa[i][instanceNo+0] = haLow; workHa[i][instanceNo+1] = haHigh; }
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else { workHa[i][instanceNo+0] = haHigh; workHa[i][instanceNo+1] = haLow; }
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workHa[i][instanceNo+2] = haOpen;
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workHa[i][instanceNo+3] = haClose;
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//
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//
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//
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//
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//
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switch (tprice)
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{
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case pr_haclose: return(haClose);
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case pr_haopen: return(haOpen);
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case pr_hahigh: return(haHigh);
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case pr_halow: return(haLow);
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case pr_hamedian: return((haHigh+haLow)/2.0);
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case pr_hamedianb: return((haOpen+haClose)/2.0);
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case pr_hatypical: return((haHigh+haLow+haClose)/3.0);
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case pr_haweighted: return((haHigh+haLow+haClose+haClose)/4.0);
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case pr_haaverage: return((haHigh+haLow+haClose+haOpen)/4.0);
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case pr_hatbiased:
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if (haClose>haOpen)
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return((haHigh+haClose)/2.0);
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else return((haLow+haClose)/2.0);
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case pr_hatbiased2:
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if (haClose>haOpen) return(haHigh);
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if (haClose<haOpen) return(haLow);
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return(haClose);
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}
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}
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//
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//
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//
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//
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//
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switch (tprice)
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{
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case pr_close: return(close[i]);
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case pr_open: return(open[i]);
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case pr_high: return(high[i]);
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case pr_low: return(low[i]);
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case pr_median: return((high[i]+low[i])/2.0);
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case pr_medianb: return((open[i]+close[i])/2.0);
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case pr_typical: return((high[i]+low[i]+close[i])/3.0);
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case pr_weighted: return((high[i]+low[i]+close[i]+close[i])/4.0);
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case pr_average: return((high[i]+low[i]+close[i]+open[i])/4.0);
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case pr_tbiased:
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if (close[i]>open[i])
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return((high[i]+close[i])/2.0);
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else return((low[i]+close[i])/2.0);
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case pr_tbiased2:
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if (close[i]>open[i]) return(high[i]);
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if (close[i]<open[i]) return(low[i]);
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return(close[i]);
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}
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return(0);
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} |