Huthayfa
91 lines
3.4 KiB
Plaintext
91 lines
3.4 KiB
Plaintext
//+------------------------------------------------------------------+
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//| Data/Volatility.mqh |
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//+------------------------------------------------------------------+
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#ifndef __VOLATILITY_MQH__
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#define __VOLATILITY_MQH__
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#include "../Core/Config.mqh"
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class CVolatility
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{
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private:
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int m_atrPeriod;
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int m_atrBaseline;
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ENUM_TIMEFRAMES m_htf;
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ENUM_TIMEFRAMES m_mtf;
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int m_handleATR;
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int m_handleADX;
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int m_handleBB;
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double m_atrCurrent;
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double m_atrBaselineValue;
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double m_atrRelative;
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double m_adxValue;
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double m_bbWidth;
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public:
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bool Init(int atrPeriod, int atrBaseline, ENUM_TIMEFRAMES htf, ENUM_TIMEFRAMES mtf)
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{
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m_atrPeriod = atrPeriod; m_atrBaseline = atrBaseline; m_htf = htf; m_mtf = mtf;
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m_handleATR = iATR(_Symbol, m_mtf, m_atrPeriod);
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m_handleADX = iADX(_Symbol, m_mtf, ADX_PERIOD);
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m_handleBB = iBands(_Symbol, m_mtf, BB_PERIOD, 0, BB_DEVIATIONS, PRICE_CLOSE);
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if(m_handleATR == INVALID_HANDLE || m_handleADX == INVALID_HANDLE || m_handleBB == INVALID_HANDLE)
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{
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Print("[Volatility] Indicator creation failed");
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return false;
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}
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int warmup = MathMax(atrBaseline, BB_PERIOD) + 10;
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double dummy[]; ArraySetAsSeries(dummy, true);
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CopyBuffer(m_handleATR, 0, 1, warmup, dummy);
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Print("[Volatility] Indicators initialized on ", EnumToString(m_mtf));
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return true;
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}
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void Release()
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{
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RELEASE_HANDLE(m_handleATR);
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RELEASE_HANDLE(m_handleADX);
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RELEASE_HANDLE(m_handleBB);
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}
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void Update()
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{
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double atrBuf[], adxBuf[], bbUp[], bbLow[], bbMid[];
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ArraySetAsSeries(atrBuf, true); ArraySetAsSeries(adxBuf, true);
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ArraySetAsSeries(bbUp, true); ArraySetAsSeries(bbLow, true); ArraySetAsSeries(bbMid, true);
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if(CopyBuffer(m_handleATR, 0, 1, 1, atrBuf) <= 0) return;
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m_atrCurrent = atrBuf[0];
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if(CopyBuffer(m_handleADX, 0, 1, 1, adxBuf) <= 0) return;
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m_adxValue = adxBuf[0];
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if(CopyBuffer(m_handleBB, UPPER_BAND, 1, 1, bbUp) <= 0 ||
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CopyBuffer(m_handleBB, LOWER_BAND, 1, 1, bbLow) <= 0 ||
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CopyBuffer(m_handleBB, BASE_LINE, 1, 1, bbMid) <= 0) return;
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if(bbMid[0] != 0) m_bbWidth = (bbUp[0] - bbLow[0]) / bbMid[0]; else m_bbWidth = 0;
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CalculateATRBaseline();
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}
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double GetRelativeATR() const { return m_atrRelative; }
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double GetATR() const { return m_atrCurrent; }
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double GetADX() const { return m_adxValue; }
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double GetBBWidth() const { return m_bbWidth; }
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ENUM_REGIME DetectRegime() const
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{
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if(m_atrRelative >= ATR_TREND_RATIO && m_adxValue >= ADX_TREND_LEVEL) return REGIME_TREND;
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else if(m_atrRelative < ATR_CHOP_RATIO && m_adxValue < ADX_CHOP_LEVEL) return REGIME_CHOP;
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else if(m_atrRelative < ATR_TREND_RATIO && m_adxValue < ADX_RANGE_LEVEL) return REGIME_RANGE;
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return REGIME_RANGE;
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}
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private:
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void CalculateATRBaseline()
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{
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double atrValues[]; ArraySetAsSeries(atrValues, true);
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if(CopyBuffer(m_handleATR, 0, 1, m_atrBaseline, atrValues) < m_atrBaseline)
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{ m_atrRelative = 1.0; return; }
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double sum = 0;
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for(int i = 0; i < m_atrBaseline; i++) sum += atrValues[i];
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m_atrBaselineValue = sum / m_atrBaseline;
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if(m_atrBaselineValue > 0) m_atrRelative = m_atrCurrent / m_atrBaselineValue;
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else m_atrRelative = 1.0;
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}
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};
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#endif // __VOLATILITY_MQH__
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