325 lines
No EOL
23 KiB
MQL5
325 lines
No EOL
23 KiB
MQL5
//+------------------------------------------------------------------+
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//| Trend_Range.mq5 |
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//| Copyright 2018, MetaQuotes Software Corp. |
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//| https://mql5.com |
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//+------------------------------------------------------------------+
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#property copyright "Copyright 2018, MetaQuotes Software Corp."
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#property link "https://mql5.com"
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#property version "1.00"
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#property indicator_separate_window
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#property indicator_buffers 7
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#property indicator_plots 3
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//--- plot Max
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#property indicator_label1 "Max"
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#property indicator_type1 DRAW_LINE
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#property indicator_color1 clrBlue
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#property indicator_style1 STYLE_SOLID
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#property indicator_width1 1
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//--- plot Flat
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#property indicator_label2 "Flat"
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#property indicator_type2 DRAW_LINE
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#property indicator_color2 clrRed
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#property indicator_style2 STYLE_SOLID
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#property indicator_width2 1
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//--- plot Hist
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#property indicator_label3 "Range"
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#property indicator_type3 DRAW_COLOR_HISTOGRAM
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#property indicator_color3 clrBlue,clrRed,clrGray
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#property indicator_style3 STYLE_SOLID
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#property indicator_width3 2
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//--- input parameters
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input uint InpPeriodTR = 10; // Period
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input ENUM_MA_METHOD InpMethod = MODE_EMA; // Method
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input double InpDeviation = 1.0; // Deviation
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//--- indicator buffers
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double BufferMax[];
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double BufferFlat[];
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double BufferHist[];
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double BufferColors[];
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double BufferMA[];
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double BufferMADevTmp[];
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double BufferDev[];
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//--- global variables
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int period_tr;
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double deviation;
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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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//--- set global variables
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period_tr=int(InpPeriodTR<1 ? 1 : InpPeriodTR);
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deviation=InpDeviation;
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//--- indicator buffers mapping
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SetIndexBuffer(0,BufferMax,INDICATOR_DATA);
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SetIndexBuffer(1,BufferFlat,INDICATOR_DATA);
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SetIndexBuffer(2,BufferHist,INDICATOR_DATA);
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SetIndexBuffer(3,BufferColors,INDICATOR_COLOR_INDEX);
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SetIndexBuffer(4,BufferMA,INDICATOR_CALCULATIONS);
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SetIndexBuffer(5,BufferMADevTmp,INDICATOR_CALCULATIONS);
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SetIndexBuffer(6,BufferDev,INDICATOR_CALCULATIONS);
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//--- setting indicator parameters
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IndicatorSetString(INDICATOR_SHORTNAME,"Trend Range("+(string)period_tr+","+DoubleToString(deviation,1)+")");
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IndicatorSetInteger(INDICATOR_DIGITS,Digits());
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//--- setting buffer arrays as timeseries
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ArraySetAsSeries(BufferMax,true);
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ArraySetAsSeries(BufferFlat,true);
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ArraySetAsSeries(BufferHist,true);
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ArraySetAsSeries(BufferColors,true);
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ArraySetAsSeries(BufferMA,true);
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ArraySetAsSeries(BufferMADevTmp,true);
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ArraySetAsSeries(BufferDev,true);
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//---
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return(INIT_SUCCEEDED);
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}
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//+------------------------------------------------------------------+
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//| Custom indicator iteration function |
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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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//--- Проверка на минимальное колиество баров для расчёта
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if(rates_total<2 || Point()==0) return rates_total;
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//--- Установка массивов буферов как таймсерий
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ArraySetAsSeries(high,true);
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ArraySetAsSeries(low,true);
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ArraySetAsSeries(close,true);
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ArraySetAsSeries(tick_volume,true);
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//--- Проверка и расчёт количества просчитываемых баров
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int limit=rates_total-prev_calculated;
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if(limit>1)
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{
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limit=rates_total-1;
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ArrayInitialize(BufferMax,EMPTY_VALUE);
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ArrayInitialize(BufferFlat,EMPTY_VALUE);
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ArrayInitialize(BufferHist,0);
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ArrayInitialize(BufferMA,EMPTY_VALUE);
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ArrayInitialize(BufferMADevTmp,EMPTY_VALUE);
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ArrayInitialize(BufferDev,EMPTY_VALUE);
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}
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//--- Подготовка данных
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for(int i=limit; i>=0 && !IsStopped(); i--)
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BufferHist[i]=(high[i]-low[i])/Point()*tick_volume[i];
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StdDevOnArray(rates_total,prev_calculated,0,period_tr,InpMethod,BufferMADevTmp,BufferHist,BufferDev);
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for(int i=limit; i>=0 && !IsStopped(); i--)
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BufferMA[i]=MAOnArray(BufferHist,0,period_tr,0,InpMethod,i);
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//--- Расчёт индикатора
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for(int i=limit; i>=0 && !IsStopped(); i--)
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{
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double MA=BufferMA[i];
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double StdDev=BufferDev[i];
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double max=MA+StdDev*deviation;
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double flat=max/2;
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BufferFlat[i]=flat;
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BufferMax[i]=max;
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BufferColors[i]=(BufferHist[i]>max ? 0 : BufferHist[i]>flat ? 1 : 2);
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}
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//--- return value of prev_calculated for next call
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return(rates_total);
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}
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//+------------------------------------------------------------------+
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//| Standart Deviation on array |
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//+------------------------------------------------------------------+
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#include <MovingAverages.mqh>
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template<typename T>
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int StdDevOnArray(const int rates_total,
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const int prev_calculated,
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const int begin,
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const int period,
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const ENUM_MA_METHOD method,
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double &buffer_ma_tmp[],
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const T &src_array[],
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double &dest_buffer[]
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)
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{
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//--- variables of indicator
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int pos=0;
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//--- check for rates count
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if(rates_total<period) return(0);
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//--- save as_series flags
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bool as_series_arr=ArrayGetAsSeries(src_array);
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bool as_series_dev=ArrayGetAsSeries(dest_buffer);
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bool as_series_ma=ArrayGetAsSeries(buffer_ma_tmp);
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if(as_series_arr)
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ArraySetAsSeries(src_array,false);
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if(as_series_dev)
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ArraySetAsSeries(dest_buffer,false);
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if(as_series_ma)
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ArraySetAsSeries(buffer_ma_tmp,false);
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//--- starting work
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pos=prev_calculated-1;
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//--- correct position for first iteration
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if(pos<period)
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{
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pos=period-1;
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ArrayInitialize(dest_buffer,0.0);
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ArrayInitialize(buffer_ma_tmp,0.0);
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}
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//--- main cycle
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switch(method)
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{
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case MODE_EMA :
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for(int i=pos;i<rates_total && !IsStopped();i++)
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{
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if(i==period-1)
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buffer_ma_tmp[i]=SimpleMA(i,period,src_array);
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else
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buffer_ma_tmp[i]=ExponentialMA(i,period,buffer_ma_tmp[i-1],src_array);
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//--- Calculate StdDev
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dest_buffer[i]=StdDevFunc(src_array,buffer_ma_tmp,period,i);
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}
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break;
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case MODE_SMMA :
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for(int i=pos;i<rates_total && !IsStopped();i++)
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{
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if(i==period-1)
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buffer_ma_tmp[i]=SimpleMA(i,period,src_array);
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else
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buffer_ma_tmp[i]=SmoothedMA(i,period,buffer_ma_tmp[i-1],src_array);
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//--- Calculate StdDev
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dest_buffer[i]=StdDevFunc(src_array,buffer_ma_tmp,period,i);
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}
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break;
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case MODE_LWMA :
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for(int i=pos;i<rates_total && !IsStopped();i++)
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{
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buffer_ma_tmp[i]=LinearWeightedMA(i,period,src_array);
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dest_buffer[i]=StdDevFunc(src_array,buffer_ma_tmp,period,i);
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}
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break;
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default :
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for(int i=pos;i<rates_total && !IsStopped();i++)
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{
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buffer_ma_tmp[i]=SimpleMA(i,period,src_array);
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//--- Calculate StdDev
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dest_buffer[i]=StdDevFunc(src_array,buffer_ma_tmp,period,i);
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}
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}
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//--- restore as_series flags
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if(as_series_arr)
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ArraySetAsSeries(src_array,true);
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if(as_series_dev)
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ArraySetAsSeries(dest_buffer,true);
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if(as_series_ma)
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ArraySetAsSeries(buffer_ma_tmp,true);
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//---- OnCalculate done. Return new prev_calculated.
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return(rates_total);
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}
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//+------------------------------------------------------------------+
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//| Calculate Standard Deviation |
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//+------------------------------------------------------------------+
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template<typename T>
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double StdDevFunc(const T &price[],const double &price_ma[],const int period,int position)
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{
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double dev=0.0;
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for(int i=0;i<period;i++) dev+=pow(price[position-i]-price_ma[position],2);
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dev=sqrt(dev/period);
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return(dev);
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}
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//+------------------------------------------------------------------+
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//| iMAOnArray() https://www.mql5.com/ru/articles/81 |
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//+------------------------------------------------------------------+
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double MAOnArray(double &array[],int total,int period,int ma_shift,int ma_method,int shift)
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{
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double buf[],arr[];
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if(total==0) total=ArraySize(array);
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if(total>0 && total<=period) return(0);
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if(shift>total-period-ma_shift) return(0);
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//---
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switch(ma_method)
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{
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case MODE_SMA :
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{
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total=ArrayCopy(arr,array,0,shift+ma_shift,period);
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if(ArrayResize(buf,total)<0) return(0);
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double sum=0;
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int i,pos=total-1;
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for(i=1;i<period;i++,pos--)
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sum+=arr[pos];
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while(pos>=0)
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{
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sum+=arr[pos];
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buf[pos]=sum/period;
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sum-=arr[pos+period-1];
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pos--;
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}
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return(buf[0]);
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}
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case MODE_EMA :
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{
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if(ArrayResize(buf,total)<0) return(0);
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double pr=2.0/(period+1);
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int pos=total-2;
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while(pos>=0)
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{
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if(pos==total-2) buf[pos+1]=array[pos+1];
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buf[pos]=array[pos]*pr+buf[pos+1]*(1-pr);
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pos--;
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}
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return(buf[shift+ma_shift]);
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}
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case MODE_SMMA :
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{
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if(ArrayResize(buf,total)<0) return(0);
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double sum=0;
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int i,k,pos;
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pos=total-period;
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while(pos>=0)
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{
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if(pos==total-period)
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{
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for(i=0,k=pos;i<period;i++,k++)
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{
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sum+=array[k];
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buf[k]=0;
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}
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}
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else sum=buf[pos+1]*(period-1)+array[pos];
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buf[pos]=sum/period;
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pos--;
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}
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return(buf[shift+ma_shift]);
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}
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case MODE_LWMA :
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{
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if(ArrayResize(buf,total)<0) return(0);
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double sum=0.0,lsum=0.0;
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double price;
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int i,weight=0,pos=total-1;
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for(i=1;i<=period;i++,pos--)
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{
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price=array[pos];
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sum+=price*i;
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lsum+=price;
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weight+=i;
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}
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pos++;
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i=pos+period;
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while(pos>=0)
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{
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buf[pos]=sum/weight;
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if(pos==0) break;
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pos--;
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i--;
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price=array[pos];
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sum=sum-lsum+price*period;
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lsum-=array[i];
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lsum+=price;
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}
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return(buf[shift+ma_shift]);
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}
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default: return(0);
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}
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return(0);
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}
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//+------------------------------------------------------------------+ |