NeuroBook/Scripts/initial_data/initial_data.mq5

<EFBFBD><EFBFBD>//+------------------------------------------------------------------+

//|                                                 Initial_Data.mq5 |

//|                                  Copyright 2021, MetaQuotes Ltd. |

//|                                https://www.mql5.com/en/users/dng |

//+------------------------------------------------------------------+

//| Script for calculating Pearson correlation coefficient between   |

//| historical price fluctuations, indicator data and extremes       |

//+------------------------------------------------------------------+

#property copyright "Copyright 2021, MetaQuotes Ltd."

#property link      "https://www.mql5.com/en/users/dng"

#property version   "1.00"

//+------------------------------------------------------------------+

//| Connect libraries                                                |

//+------------------------------------------------------------------+

#include <Math\Stat\Math.mqh>

//---

#define FileName  "correlation.csv"

//+------------------------------------------------------------------+

//| External parameters                                              |

//+------------------------------------------------------------------+

input datetime Start = D'2015.01.01 00:00:00';  // Period beginning

input datetime End = D'2020.12.31 23:59:00';    // Period end

//+------------------------------------------------------------------+

//| Script program                                                   |

//+------------------------------------------------------------------+

void OnStart(void)

  {

//--- Connect indicators

   int h_ZZ = iCustom(_Symbol, PERIOD_M5, "Examples\\ZigZag.ex5", 48, 1, 47);

   int h_CCI = iCCI(_Symbol, PERIOD_M5, 12, PRICE_TYPICAL);

   int h_RSI = iRSI(_Symbol, PERIOD_M5, 12, PRICE_TYPICAL);

   int h_Stoh = iStochastic(_Symbol, PERIOD_M5, 12, 8, 3, MODE_LWMA, STO_LOWHIGH);

   int h_MACD = iMACD(_Symbol, PERIOD_M5, 12, 48, 12, PRICE_TYPICAL);

   int h_ATR = iATR(_Symbol, PERIOD_M5, 12);

   int h_BB = iBands(_Symbol, PERIOD_M5, 48, 0, 3, PRICE_TYPICAL);

   int h_SAR = iSAR(_Symbol, PERIOD_M5, 0.02, 0.2);

   int h_MFI = iMFI(_Symbol, PERIOD_M5, 12, VOLUME_TICK);

   double close[], open[], high[], low[];

   if(CopyClose(_Symbol, PERIOD_M5, Start, End, close) <= 0 ||

      CopyOpen(_Symbol, PERIOD_M5, Start, End, open) <= 0 ||

      CopyHigh(_Symbol, PERIOD_M5, Start, End, high) <= 0 ||

      CopyLow(_Symbol, PERIOD_M5, Start, End, low) <= 0)

      return;

//--- Load indicator data

   double zz[], cci[], macd_main[], macd_signal[], rsi[], atr[], bands_medium[],

          bands_up[], bands_low[], sar[], stoch[], ssig[], mfi[];

   datetime end_zz = End + PeriodSeconds(PERIOD_M5) * (12 * 24 * 5);

   if(h_ZZ == INVALID_HANDLE || CopyBuffer(h_ZZ, 0, Start, end_zz, zz) <= 0)

     {

      PrintFormat("Error loading indicator %s data", "ZigZag");

      return;

     }

   if(h_CCI == INVALID_HANDLE || CopyBuffer(h_CCI, 0, Start, End, cci) <= 0)

     {

      PrintFormat("Error of load indicator %s data", "CCI");

      return;

     }

   if(h_RSI == INVALID_HANDLE || CopyBuffer(h_RSI, 0, Start, End, rsi) <= 0)

     {

      PrintFormat("Error loading indicator %s data", "RSI");

      return;

     }

   if(h_MACD == INVALID_HANDLE || CopyBuffer(h_MACD, MAIN_LINE, Start, End, macd_main) <= 0 ||

      CopyBuffer(h_MACD, SIGNAL_LINE, Start, End, macd_signal) <= 0)

     {

      PrintFormat("Error loading indicator %s data", "MACD");

      return;

     }

   if(h_ATR == INVALID_HANDLE || CopyBuffer(h_ATR, 0, Start, End, atr) <= 0)

     {

      PrintFormat("Error loading indicator %s data", "ATR");

      return;

     }

   if(h_BB == INVALID_HANDLE || CopyBuffer(h_BB, BASE_LINE, Start, End, bands_medium) <= 0 ||

      CopyBuffer(h_BB, UPPER_BAND, Start, End, bands_up) <= 0 ||

      CopyBuffer(h_BB, LOWER_BAND, Start, End, bands_low) <= 0)

     {

      PrintFormat("Error loading indicator %s data", "Bollinger Bands<00>");

      return;

     }

   if(h_SAR == INVALID_HANDLE || CopyBuffer(h_SAR, 0, Start, End, sar) <= 0)

     {

      PrintFormat("Error loading indicator %s data", "SAR");

      return;

     }

   if(h_Stoh == INVALID_HANDLE || CopyBuffer(h_Stoh, MAIN_LINE, Start, End, stoch) <= 0 ||

      CopyBuffer(h_Stoh, SIGNAL_LINE, Start, End, ssig) <= 0)

     {

      PrintFormat("Error loading indicator %s data", "Stochastic");