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