118 lines
9.5 KiB
MQL5
118 lines
9.5 KiB
MQL5
//+------------------------------------------------------------------+
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//| ZScore.mq5 |
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//| Rodrigo César Pagani |
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//| rodrigo@pagani.com.br |
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//+------------------------------------------------------------------+
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#property copyright "Rodrigo César Pagani"
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#property link "rodrigo@pagani.com.br"
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#property version "1.00"
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#property indicator_chart_window
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#property indicator_buffers 4
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#property indicator_plots 1
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//--- plot ZScore
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#property indicator_label1 "ZScore"
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#property indicator_type1 DRAW_LINE
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#property indicator_color1 clrRed
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#property indicator_style1 STYLE_SOLID
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#property indicator_width1 1
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//--- input parameters
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input uint InpPeriod = 20; // Período
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input ENUM_APPLIED_PRICE InpAppliedPrice = PRICE_CLOSE; // Preço
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input double m_desvio = 3.0; // Coeficiente de Desvio
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//--- indicator buffers
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double BufferZScore[];
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double BufferDev[];
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double BufferMA1[];
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double BufferMA2[];
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//--- global variables
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int period;
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int handle_dev;
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int handle_ma1;
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int handle_ma2;
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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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//--- setting global variables
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period=int(InpPeriod<1 ? 1 : InpPeriod);
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//--- indicator buffers mapping
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SetIndexBuffer(0,BufferZScore,INDICATOR_DATA);
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SetIndexBuffer(1,BufferDev,INDICATOR_CALCULATIONS);
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SetIndexBuffer(2,BufferMA1,INDICATOR_CALCULATIONS);
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SetIndexBuffer(3,BufferMA2,INDICATOR_CALCULATIONS);
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//--- settings indicators parameters
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IndicatorSetInteger(INDICATOR_DIGITS,Digits());
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IndicatorSetString(INDICATOR_SHORTNAME,"ZScore("+(string)period+")");
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IndicatorSetInteger(INDICATOR_LEVELS,2);
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IndicatorSetDouble(INDICATOR_LEVELVALUE,0,m_desvio);
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IndicatorSetDouble(INDICATOR_LEVELVALUE,1,-m_desvio);
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//--- setting buffer arrays as timeseries
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ArraySetAsSeries(BufferZScore,true);
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ArraySetAsSeries(BufferDev,true);
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ArraySetAsSeries(BufferMA1,true);
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ArraySetAsSeries(BufferMA2,true);
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//--- creating handles StdDev, MA1, MA2
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handle_dev=iStdDev(Symbol(),PERIOD_CURRENT,period,0,MODE_SMA,InpAppliedPrice);
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if(handle_dev==INVALID_HANDLE){
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Print("Error creating StdDev's handle: ",GetLastError());
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return INIT_FAILED;
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}
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handle_ma1=iMA(Symbol(),PERIOD_CURRENT,1,0,MODE_SMA,InpAppliedPrice);
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if(handle_ma1==INVALID_HANDLE){
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Print("Error creating MA(1)'s handle: ",GetLastError());
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return INIT_FAILED;
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}
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handle_ma2=iMA(Symbol(),PERIOD_CURRENT,period,0,MODE_SMA,InpAppliedPrice);
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if(handle_ma1==INVALID_HANDLE){
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Print("Error creating MA(",(string)period,")'s handle: ",GetLastError());
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return INIT_FAILED;
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}
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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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//--- Проверка на минимальное колиество баров для расчёта
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if(rates_total<period)
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return 0;
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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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limit=rates_total-1;
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ArrayInitialize(BufferZScore,EMPTY_VALUE);
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ArrayInitialize(BufferDev,EMPTY_VALUE);
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ArrayInitialize(BufferMA1,EMPTY_VALUE);
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ArrayInitialize(BufferMA2,EMPTY_VALUE);
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}
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//--- Подготовка данных
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int copied=(limit>1 ? rates_total : 1);
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int copied_dev=CopyBuffer(handle_dev,0,0,copied,BufferDev);
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if(copied_dev!=copied)
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return 0;
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int copied_ma1=CopyBuffer(handle_ma1,0,0,copied,BufferMA1);
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if(copied_ma1!=copied)
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return 0;
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int copied_ma2=CopyBuffer(handle_ma2,0,0,copied,BufferMA2);
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if(copied_ma2!=copied)
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return 0;
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//--- Расчёт индикатора
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for(int i=limit; i>=0; i--){
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double dev=BufferDev[i];
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BufferZScore[i]=(BufferMA1[i]-BufferMA2[i])/(dev>0 ? dev : DBL_MIN);
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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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