89 lines
3.3 KiB
MQL5
89 lines
3.3 KiB
MQL5
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//+------------------------------------------------------------------+
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//| TestL1Trend.mq5 |
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//| Copyright 2000-2026, MetaQuotes Ltd. |
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//| http://www.mql5.com |
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//+------------------------------------------------------------------+
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#property copyright "Copyright 2000-2026, MetaQuotes Ltd."
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#property link "https://www.mql5.com"
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#property version "1.00"
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#property script_show_inputs
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#include <Graphics\Graphic.mqh>
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//+------------------------------------------------------------------+
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//| Generate Brown movement data |
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//+------------------------------------------------------------------+
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void BMData(vector<double> &data,int &data_count)
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{
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data.Resize(data_count);
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data[0] = 0.0;
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for(int i = 1; i < data_count; i++)
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data[i] = data[i - 1] + (MathRand()/32767.0 - 0.5);
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}
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//+------------------------------------------------------------------+
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//| CopyValues |
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//+------------------------------------------------------------------+
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bool CopyValues(vector<double> &data_v,double &data[])
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{
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int data_count=(int)data.Size();
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if(data_count==0)
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return(false);
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ArrayResize(data,data.Size());
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for(int i = 1; i < data_count; i++)
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data[i]=data_v[i];
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return(true);
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}
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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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{
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MathSrand(1);
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int data_count=1000;
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vector<double> data_test;
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BMData(data_test,data_count);
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//--- prepare arrays for chart
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double x[],y[];
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ArrayResize(x,data_count);
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ArrayResize(y,data_count);
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for(int i=0; i<data_count; i++)
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x[i]=i;
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//---
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CGraphic graphic;
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long chart=0;
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string name="test";
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if(ObjectFind(chart,name)<0)
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graphic.Create(chart,name,0,0,0,1000,600);
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else
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graphic.Attach(chart,name);
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graphic.BackgroundMain("L1 Trend filtering (random walk) with different lambda");
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graphic.BackgroundMainSize(16);
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graphic.HistoryNameWidth(60);
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graphic.HistoryColor(ColorToARGB(clrGray,255));
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graphic.XAxis().AutoScale(false);
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graphic.XAxis().Min(0);
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graphic.XAxis().Max(data_count);
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//---
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CopyValues(data_test,y);
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graphic.CurveAdd(x,y,CURVE_LINES,"Data").LinesWidth(1);
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//--- L1TrendFilterLambdaMax
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double lambda_max=data_test.L1TrendFilterLambdaMax();
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PrintFormat("lambda_max=%f",lambda_max);
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//---
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vector<double> data_l1;
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const double lambda_factors[]= {1.0,0.9,0.8,0.5,0.25,0.1,0.01,0.05,0.001,0.0005};
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for(int i=0; i<ArraySize(lambda_factors); i++)
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{
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double lambda=lambda_max*lambda_factors[i];
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PrintFormat("%d. lambda=%f",i+1,lambda);
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bool res=data_test.L1TrendFilter(data_l1,lambda_factors[i],true);
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if(res)
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{
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CopyValues(data_l1,y);
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graphic.CurveAdd(x,y,CURVE_LINES,"lambda="+DoubleToString(lambda,0)).LinesWidth(3);
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}
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}
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//---
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graphic.CurvePlotAll();
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graphic.Update();
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DebugBreak();
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}
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//+------------------------------------------------------------------+
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