72 lines
2.3 KiB
MQL5
72 lines
2.3 KiB
MQL5
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//+------------------------------------------------------------------+
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//| ex-dif-fracionaria.mq5 |
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//| Copyright 2020, MetaQuotes Software Corp. |
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//| https://www.mql5.com |
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//+------------------------------------------------------------------+
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#property copyright "Copyright 2020, MetaQuotes Software Corp."
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#property link "https://www.mql5.com"
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#property version "1.00"
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#include <Graphics/Graphic.mqh>
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//+------------------------------------------------------------------+
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//| Script program start function |
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//+------------------------------------------------------------------+
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void OnStart(){
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for(double i=0.05; i<1.0; plotFFD(i+=0.05,1e-5))
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}
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//+------------------------------------------------------------------+
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void plotFFD(double fd, double thresh) {
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double prarr[], out[];
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CopyClose(_Symbol, 0, 0, 10000, prarr);
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for(int i=0; i < ArraySize(prarr); i++)
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prarr[i] = log(prarr[i]);
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frac_diff_ffd(prarr, fd, thresh, out);
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GraphPlot(out,1); Sleep(500);
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}
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//+------------------------------------------------------------------+
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void get_weight_ffd(double d, double thres, int lim, double &w[]) {
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ArrayResize(w,1);
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ArrayInitialize(w,1.0);
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ArraySetAsSeries(w,true);
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int k = 1;
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int ctr = 0;
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double w_ = 0;
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while (ctr != lim - 1) {
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w_ = -w[ctr] / k * (d - k + 1);
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if (MathAbs(w_) < thres) break;
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ArrayResize(w,ArraySize(w)+1);
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w[ctr+1] = w_;
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k += 1;
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ctr += 1;
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}
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}
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//+------------------------------------------------------------------+
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void frac_diff_ffd(double &x[], double d, double thres, double &output[]) {
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double w[];
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get_weight_ffd(d, thres, ArraySize(x), w);
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int width = ArraySize(w) - 1;
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ArrayResize(output, width);
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ArrayInitialize(output,0.0);
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ArraySetAsSeries(output,true);
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ArraySetAsSeries(x,true);
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ArraySetAsSeries(w,true);
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int o = 0;
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for(int i=width;i<ArraySize(x);i++) {
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ArrayResize(output,ArraySize(output)+1);
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for(int l=0;l<ArraySize(w);l++) output[o] += w[l]*x[i-width+l];
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o++;
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}
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ArrayResize(output,ArraySize(output)-width);
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}
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