253 lines
7.3 KiB
MQL5
253 lines
7.3 KiB
MQL5
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//| MovingMiniMax.mq5 |
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//| Copyright 2011, Investeo.pl |
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//| http://Investeo.pl |
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//+------------------------------------------------------------------+
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#property copyright "Copyright 2011, Investeo.pl"
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#property link "http://Investeo.pl"
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#property description "Moving Mini-Max indicator"
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#property description "proposed by Z.K. Silagadze"
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#property description "from Budker Institute of Nuclear Physics"
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#property description "and Novosibirsk State University"
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#property description "Original paper can be downloaded from:"
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#property description "http://arxiv.org/abs/0802.0984"
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//#property version "0.6"
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#property indicator_separate_window
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#property indicator_buffers 5
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#property indicator_plots 3
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#property indicator_type1 DRAW_COLOR_HISTOGRAM2
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#property indicator_type2 DRAW_ARROW
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#property indicator_type3 DRAW_ARROW
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#property indicator_color1 Chartreuse, OrangeRed, Yellow
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#property indicator_color2 RoyalBlue
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#property indicator_color3 RoyalBlue
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#property indicator_width1 5
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#property indicator_width2 4
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#property indicator_width3 4
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input int m=5; // Smoothing window width
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input int n=300; // Time window width
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double S[];
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double sQiip1[],sQiim1[];
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double sPiip1[],sPiim1[];
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double dQiip1[],dQiim1[];
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double dPiip1[],dPiim1[];
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double sui[],dui[],uSi[],dSi[];
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double upArrows[],dnArrows[];
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double trend[];
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int rCnt;
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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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//--- indicator buffers mapping
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//---
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rCnt=0;
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ArrayResize(S,n+2*m);
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ArrayResize(sQiip1,n);
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ArrayResize(sQiim1,n);
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ArrayResize(sPiip1,n);
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ArrayResize(sPiim1,n);
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ArrayResize(sui,n);
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ArrayResize(dQiip1,n);
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ArrayResize(dQiim1,n);
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ArrayResize(dPiip1,n);
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ArrayResize(dPiim1,n);
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ArrayResize(dui,n);
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ArraySetAsSeries(uSi,true);
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ArraySetAsSeries(dSi,true);
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ArraySetAsSeries(upArrows,true);
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ArraySetAsSeries(dnArrows,true);
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ArraySetAsSeries(trend,true);
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SetIndexBuffer(0,uSi,INDICATOR_DATA);
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SetIndexBuffer(1,dSi,INDICATOR_DATA);
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SetIndexBuffer(2,trend,INDICATOR_COLOR_INDEX);
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SetIndexBuffer(3,upArrows,INDICATOR_DATA);
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SetIndexBuffer(4,dnArrows,INDICATOR_DATA);
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PlotIndexSetDouble(0,PLOT_EMPTY_VALUE,0.0);
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PlotIndexSetDouble(1,PLOT_EMPTY_VALUE,0.0);
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PlotIndexSetDouble(2,PLOT_EMPTY_VALUE,0.0);
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PlotIndexSetInteger(1,PLOT_ARROW,234);
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PlotIndexSetInteger(2,PLOT_ARROW,233);
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PlotIndexSetInteger(0,PLOT_SHIFT,-(m-1));
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PlotIndexSetInteger(1,PLOT_SHIFT,-(m-1));
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PlotIndexSetInteger(2,PLOT_SHIFT,-(m-1));
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return(0);
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}
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//+------------------------------------------------------------------+
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//| Custom indicator iteration function |
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//+------------------------------------------------------------------+
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void calcQii()
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{
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int i,k;
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for(i=0; i<n; i++)
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{
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double sqiip1=0;
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double sqiim1=0;
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double dqiip1=0;
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double dqiim1=0;
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for(k=0; k<m; k++)
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{
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sqiip1 += MathExp(2*(S[m-1+i+k]-S[i])/(S[m-1+i+k]+S[i]));
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sqiim1 += MathExp(2*(S[m-1+i-k]-S[i])/(S[m-1+i-k]+S[i]));
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dqiip1 += MathExp(-2*(S[m-1+i+k]-S[i])/(S[m-1+i+k]+S[i]));
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dqiim1 += MathExp(-2*(S[m-1+i-k]-S[i])/(S[m-1+i-k]+S[i]));
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}
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sQiip1[i] = sqiip1;
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sQiim1[i] = sqiim1;
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dQiip1[i] = dqiip1;
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dQiim1[i] = dqiim1;
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}
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}
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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void calcPii()
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{
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int i;
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for(i=0; i<n; i++)
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{
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sPiip1[i] = sQiip1[i] / (sQiip1[i] + sQiim1[i]);
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sPiim1[i] = sQiim1[i] / (sQiip1[i] + sQiim1[i]);
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dPiip1[i] = dQiip1[i] / (dQiip1[i] + dQiim1[i]);
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dPiim1[i] = dQiim1[i] / (dQiip1[i] + dQiim1[i]);
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}
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}
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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void calcui()
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{
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int i;
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sui[0] = 1;
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dui[0] = 1;
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for(i=1; i<n; i++)
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{
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sui[i] = (sPiim1[i]/sPiip1[i])*sui[i-1];
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dui[i] = (dPiim1[i]/dPiip1[i])*dui[i-1];
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}
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double uSum = 0;
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double dSum = 0;
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ArrayInitialize(uSi, 0.0);
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ArrayInitialize(dSi, 0.0);
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for(i=0; i<n; i++) { uSum+=sui[i]; dSum+=dui[i]; }
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for(i=0; i<n; i++) { uSi[n-1-i] = sui[i] / uSum; dSi[n-1-i] = dui[i] / dSum; }
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/* normalization verification
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double result=0;
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for(i=0; i<n; i++) { Print("i = "+i+" uSi = "+uSi[i]); result+=uSi[i]; }
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Print("Result = "+DoubleToString(result));
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*/
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}
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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void setArrows()
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{
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// set up and down arrows for local maximums and minimums
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int i;
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int upind=0,dnind=0;
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double upval=uSi[0],dnval=dSi[0];
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ArrayInitialize(upArrows, 0.0);
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ArrayInitialize(dnArrows, 0.0);
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// find local minimum and maximum indexes
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for(i=1; i<n; i++)
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{
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if(dSi[i]>dnval) { dnval=dSi[i]; dnind=i; }
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if(uSi[i]>upval) { upval=uSi[i]; upind=i; }
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}
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// plot arrows
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upArrows[dnind]=(dnval+uSi[dnind])/2.0;
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dnArrows[upind]=(upval+dSi[upind])/2.0;
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if(upind<dnind)
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{
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for(i=0; i<upind; i++) trend[i]=0;
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for(i=upind; i<dnind; i++) trend[i]=1;
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for(i=dnind; i<n; i++) trend[i]=0;
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}
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else
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{
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for(i=0; i<dnind; i++) trend[i]=1;
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for(i=dnind; i<upind; i++) trend[i]=0;
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for(i=upind; i<n; i++) trend[i]=1;
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}
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trend[upind] = 2;
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trend[dnind] = 2;
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}
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//+------------------------------------------------------------------+
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//| |
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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 datetime &time[],
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const double &open[],
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const double &high[],
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const double &low[],
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const double &close[],
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const long &tick_volume[],
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const long &volume[],
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const int &spread[])
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{
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//---
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//--- return value of prev_calculated for next call
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long tickCnt[1];
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int ticks=CopyTickVolume(Symbol(), 0, 0, 1, tickCnt);
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if(ticks!=1) return(rates_total);
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if(prev_calculated==0 || tickCnt[0]==1)
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{
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rCnt=CopyClose(Symbol(),0,0,n+2*m,S);
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if(rCnt==n+2*m)
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{
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calcQii();
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calcPii();
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calcui();
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setArrows();
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}
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else Print(__FILE__+__FUNCTION__+" received values: ",rCnt);
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}
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return(rates_total);
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}
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//+------------------------------------------------------------------+
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