142 lines
No EOL
4.7 KiB
MQL5
142 lines
No EOL
4.7 KiB
MQL5
//+------------------------------------------------------------------+
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//| TestL1TrendFloatDouble.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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#include <Graphics\Graphic.mqh>
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uint32_t ExtSeed=1;
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//+------------------------------------------------------------------+
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//| Generate Brown movement data |
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//+------------------------------------------------------------------+
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template<typename T>
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void BMData(vector<T> &data,uint64_t data_count)
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{
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MathSrand(ExtSeed);
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data.Resize(data_count);
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data[0] = 0.0;
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for(uint64_t i = 1; i < data_count; i++)
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data[i] = data[i - 1] + T(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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template<typename T>
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bool CopyValues(double &data[],const vector<T> &data_v)
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{
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if(ArrayResize(data,data.Size())!=data.Size())
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return(false);
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for(uint64_t i=1; i<data.Size(); 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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//| L1TrendCalculate |
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//+------------------------------------------------------------------+
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template<typename T>
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bool L1TrendCalculate(double &result[],uint64_t data_count,double lambda,bool lambda_is_relative)
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{
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vector<T> data_test;
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BMData(data_test,data_count);
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vector<T> vres;
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if(!data_test.L1TrendFilter(vres,(T)lambda,lambda_is_relative))
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return(false);
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if(ArrayResize(result,(uint32_t)vres.Size())!=vres.Size())
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return(false);
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for(uint64_t n=0; n<result.Size(); n++)
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result[n]=vres[n];
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return(true);
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}
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//+------------------------------------------------------------------+
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//| TestRun |
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//+------------------------------------------------------------------+
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bool TestRun(uint32_t data_count,uint32_t mode)
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{
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//--- create graph
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CGraphic graphic;
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long chart=0;
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string name="L1TrendTest";
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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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string mode_name="(";
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if((mode&1)==1)
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mode_name+="DOUBLE";
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if((mode&3)==3)
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mode_name+=" & ";
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if((mode&2)==2)
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mode_name+="FLOAT";
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mode_name+=")";
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graphic.BackgroundMain("L1Trend filtering (random walk) with different lambda "+mode_name);
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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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//--- prepare arrays
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double x[];
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double y[];
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if(ArrayResize(x,data_count)!=data_count)
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return(false);
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for(uint32_t i=0; i<data_count; i++)
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x[i]=i;
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vector<double> v;
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BMData(v,data_count);
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v.Swap(y);
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graphic.CurveAdd(x,y,CURVE_LINES,"Data").LinesWidth(1);
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//--- calculate
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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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//--- double
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if((mode&1)==1)
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{
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for(uint64_t i=0; i<lambda_factors.Size(); i++)
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{
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if(L1TrendCalculate<double>(y,data_count,lambda_factors[i],true))
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graphic.CurveAdd(x,y,CURVE_LINES,"DBL="+DoubleToString(lambda_factors[i],4)).LinesWidth(4);
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}
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}
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//--- float
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if((mode&2)==2)
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{
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for(uint64_t i=0; i<lambda_factors.Size(); i++)
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{
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if(L1TrendCalculate<float>(y,data_count,(float)lambda_factors[i],true))
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graphic.CurveAdd(x,y,CURVE_LINES,"FLT="+DoubleToString(lambda_factors[i],4)).LinesWidth(2);
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}
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}
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//--- update
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graphic.CurvePlotAll();
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graphic.Update();
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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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for(uint32_t n=0; !IsStopped(); n++,Sleep(1000))
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{
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TestRun(1000,1+n%3);
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if((n%3)==2)
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ExtSeed++;
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}
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}
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//+------------------------------------------------------------------+ |