117 lines
12 KiB
MQL5
117 lines
12 KiB
MQL5
//+------------------------------------------------------------------+
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//| Initial_Data_RSI.mq5 |
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//| Copyright 2021, MetaQuotes Ltd. |
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//| https://www.mql5.com/en/users/dng |
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//+------------------------------------------------------------------+
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//| Script for finding Pearson correlation coefficient between the |
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//| values of RSI and some other indicators |
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//+------------------------------------------------------------------+
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#property copyright "Copyright 2021, MetaQuotes Ltd."
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#property link "https://www.mql5.com/en/users/dng"
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#property version "1.00"
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//+------------------------------------------------------------------+
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//| Connect libraries |
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//+------------------------------------------------------------------+
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#include <Math\Stat\Math.mqh>
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//+------------------------------------------------------------------+
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//| External parameters |
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//+------------------------------------------------------------------+
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input datetime Start = D'2015.01.01 00:00:00'; // Period beginning
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input datetime End = D'2020.12.31 23:59:00'; // Period end
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//+------------------------------------------------------------------+
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//| Script program |
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//+------------------------------------------------------------------+
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void OnStart(void)
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{
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//--- Connect indicators
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int h_CCI = iCCI(_Symbol, PERIOD_M5, 12, PRICE_TYPICAL);
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int h_RSI = iRSI(_Symbol, PERIOD_M5, 12, PRICE_TYPICAL);
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int h_Stoh = iStochastic(_Symbol, PERIOD_M5, 12, 8, 3, MODE_LWMA, STO_LOWHIGH);
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int h_MACD = iMACD(_Symbol, PERIOD_M5, 12, 48, 12, PRICE_TYPICAL);
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int h_BB = iBands(_Symbol, PERIOD_M5, 48, 0, 3, PRICE_TYPICAL);
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int h_SAR = iSAR(_Symbol, PERIOD_M5, 0.02, 0.2);
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int h_MFI = iMFI(_Symbol, PERIOD_M5, 12, VOLUME_TICK);
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double close[], open[];
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if(CopyClose(_Symbol, PERIOD_M5, Start, End, close) <= 0 ||
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CopyOpen(_Symbol, PERIOD_M5, Start, End, open) <= 0)
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return;
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//--- Loading indicator data
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double cci[], macd_main[], macd_signal[], rsi[], bands_medium[];
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double bands_up[], bands_low[], sar[], stoch[], ssig[], mfi[];
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datetime end_zz = End + PeriodSeconds(PERIOD_M5) * (12 * 24 * 5);
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if(CopyBuffer(h_CCI, 0, Start, End, cci) <= 0 ||
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CopyBuffer(h_RSI, 0, Start, End, rsi) <= 0 ||
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CopyBuffer(h_MACD, MAIN_LINE, Start, End, macd_main) <= 0 ||
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CopyBuffer(h_MACD, SIGNAL_LINE, Start, End, macd_signal) <= 0 ||
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CopyBuffer(h_BB, BASE_LINE, Start, End, bands_medium) <= 0 ||
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CopyBuffer(h_BB, UPPER_BAND, Start, End, bands_up) <= 0 ||
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CopyBuffer(h_BB, LOWER_BAND, Start, End, bands_low) <= 0 ||
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CopyBuffer(h_SAR, 0, Start, End, sar) <= 0 ||
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CopyBuffer(h_Stoh, MAIN_LINE, Start, End, stoch) <= 0 ||
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CopyBuffer(h_Stoh, SIGNAL_LINE, Start, End, ssig) <= 0 ||
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CopyBuffer(h_MFI, 0, Start, End, mfi) <= 0)
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return;
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int total = ArraySize(close);
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double oc[], bmc[], buc[], blc[], macd_delta[];
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if(ArrayResize(oc, total) <= 0 || ArrayResize(bmc, total) <= 0 ||
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ArrayResize(buc, total) <= 0 || ArrayResize(blc, total) <= 0 ||
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ArrayResize(macd_delta, total) <= 0)
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return;
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//--- Prepare data
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for(int i = total - 1; i >= 0; i--)
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{
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oc[i] = close[i] - open[i];
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sar[i] -= close[i];
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bands_low[i] = close[i] - bands_low[i];
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bands_up[i] -= close[i];
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bands_medium[i] -= close[i];
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macd_delta[i] = macd_main[i] - macd_signal[i];
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}
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//--- Open the file to write data
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int handle = FileOpen("correlation_rsi.csv", FILE_WRITE | FILE_CSV | FILE_ANSI, "\t", CP_UTF8);
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if(handle == INVALID_HANDLE)
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{
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PrintFormat("Error of open file %s: %d", "correlation_rsi.csv", GetLastError());
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return;
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}
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string message = "Indicator\tRSI";
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FileWrite(handle, message);
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//--- Determine correlation coefficients
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CorrelationPearson(rsi, oc, "Close - Open", handle);
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CorrelationPearson(rsi, cci, "CCI %.5f", handle);
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CorrelationPearson(rsi, sar, "SAR", handle);
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CorrelationPearson(rsi, macd_main, "MACD Main", handle);
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CorrelationPearson(rsi, macd_signal, "MACD Signal", handle);
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CorrelationPearson(rsi, macd_delta, "MACD Main-Signal", handle);
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CorrelationPearson(rsi, bands_medium, "BB Main", handle);
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CorrelationPearson(rsi, bands_low, "BB Low", handle);
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CorrelationPearson(rsi, bands_up, "BB Up", handle);
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CorrelationPearson(rsi, stoch, "Stohastic Main", handle);
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CorrelationPearson(rsi, ssig, "Stochastic Signal", handle);
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CorrelationPearson(rsi, mfi, "MFI", handle);
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//--- Close the data file
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FileFlush(handle);
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FileClose(handle);
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PrintFormat("Correlation coefficients saved to file %s\\Files\\%s",
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TerminalInfoString(TERMINAL_DATA_PATH), "correlation_rsi.csv");
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}
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//+------------------------------------------------------------------+
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//| Function for determining correlation coefficients |
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//+------------------------------------------------------------------+
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void CorrelationPearson(double &target1[], // Target buffer
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double &indicator[], // Indicator data buffer
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string name, // Indicator name
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int handle) // File handle to write data
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{
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//---
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double correlation = 0;
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string message = "";
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if(MathCorrelationPearson(target1, indicator, correlation))
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{
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message = StringFormat("%s\t%.5f", name, correlation);
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}
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if(handle != INVALID_HANDLE)
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FileWrite(handle, message);
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}
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//+------------------------------------------------------------------+
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//+------------------------------------------------------------------+
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