81 lines
3.3 KiB
MQL5
81 lines
3.3 KiB
MQL5
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//+------------------------------------------------------------------+
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//| FFD.mq5 — Fixed-Width Fractional Differencing Indicator |
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//| Copyright 2025, Patrick M. Njoroge |
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//| |
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//| Draws the FFD series in a separate chart window. |
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//| Uses the second form of OnCalculate for ENUM_APPLIED_PRICE |
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//| support — the indicator can fractionally differentiate any |
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//| price type (close, open, high, low, median, typical, weighted). |
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//+------------------------------------------------------------------+
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#property copyright "Patrick M. Njoroge"
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#property link "https://www.mql5.com/en/users/patricknjoroge743"
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#property version "1.11"
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#property indicator_separate_window
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#property indicator_buffers 1
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#property indicator_plots 1
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#property indicator_label1 "FFD"
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#property indicator_type1 DRAW_LINE
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#property indicator_color1 clrDodgerBlue
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#property indicator_style1 STYLE_SOLID
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#property indicator_width1 2
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//--- Inputs
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input double InpD = 0.4; // Differencing order d
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input double InpThreshold = 1e-5; // Weight cutoff threshold
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input bool InpUseLog = true; // Log-transform prices
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input ENUM_APPLIED_PRICE InpPrice = PRICE_CLOSE; // Applied price
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//--- Include the computation engine from MQL5\Include\
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#include "FFDEngine.mqh"
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//--- Globals
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double FFDBuffer[];
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CFFDEngine g_engine;
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//+------------------------------------------------------------------+
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//| Custom indicator initialization function |
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//+------------------------------------------------------------------+
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int OnInit()
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{
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//--- Set up indicator buffer
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SetIndexBuffer(0, FFDBuffer, INDICATOR_DATA);
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PlotIndexSetDouble(0, PLOT_EMPTY_VALUE, EMPTY_VALUE);
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//--- Initialize the FFD engine
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if(!g_engine.Init(InpD, InpThreshold, InpUseLog))
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{
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Print("FFD indicator: engine initialization failed");
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return INIT_FAILED;
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}
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//--- Hide bars before the lookback window is filled
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PlotIndexSetInteger(0, PLOT_DRAW_BEGIN, g_engine.GetWidth());
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//--- Display name
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string short_name = StringFormat("FFD(%.2f)", InpD);
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IndicatorSetString(INDICATOR_SHORTNAME, short_name);
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IndicatorSetInteger(INDICATOR_DIGITS, 6);
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return INIT_SUCCEEDED;
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}
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//+------------------------------------------------------------------+
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//| Custom indicator iteration function |
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//| Second form: receives a single price[] array selected by |
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//| InpPrice (ENUM_APPLIED_PRICE). The terminal provides price[] in |
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//| chronological order (AsSeries = false), which is what |
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//| CFFDEngine::ComputeBuffer expects. |
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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 int begin,
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const double &price[])
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{
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return g_engine.ComputeBuffer(price, FFDBuffer,
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rates_total, prev_calculated);
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}
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//+------------------------------------------------------------------+
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//+------------------------------------------------------------------+
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