NeuroBook/Scripts/initial_data/initial_data_macd_shift.mq5

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

//|                                      Initial_Data_MACD_Shift.mq5 |

//|                                  Copyright 2021, MetaQuotes Ltd. |

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

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

//| Script for finding correlation between MACD values and target    |

//| values when the indicator is shifted in time                     |

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

#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>

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

//| 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_MACD = iMACD(_Symbol, PERIOD_M5, 12, 48, 12, PRICE_TYPICAL);

   double close[];

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

      return;

//--- Load indicator data

   double zz[], macd_main[], macd_signal[];

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

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

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

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

      return;

   int total = ArraySize(close);

   double target1[], target2[], macd_delta[];

   if(ArrayResize(target1, total) <= 0 || ArrayResize(target2, total) <= 0 ||

      ArrayResize(macd_delta, total) <= 0)

      return;

//--- Prepare values

   double extremum = -1;

   for(int i = ArraySize(zz) - 2; i >= 0; i--)

     {

      if(zz[i + 1] > 0 && zz[i + 1] != EMPTY_VALUE)

         extremum = zz[i + 1];

      if(i >= total)

         continue;

      target2[i] = extremum - close[i];

      target1[i] = (target2[i] >= 0);

      macd_delta[i] = macd_main[i] - macd_signal[i];

     }