153 lines
12 KiB
Plaintext
153 lines
12 KiB
Plaintext
//+------------------------------------------------------------------+
|
|
//| AML.mq5 |
|
|
//| Copyright 2018, MetaQuotes Software Corp. |
|
|
//| https://mql5.com |
|
|
//+------------------------------------------------------------------+
|
|
#property copyright "Copyright 2018, MetaQuotes Software Corp."
|
|
#property link "https://mql5.com"
|
|
#property version "1.00"
|
|
#property description "Adaptive Market Level indicator"
|
|
#property indicator_chart_window
|
|
#property indicator_buffers 3
|
|
#property indicator_plots 1
|
|
//--- plot AML
|
|
#property indicator_label1 "AML"
|
|
#property indicator_type1 DRAW_COLOR_LINE
|
|
#property indicator_color1 clrRoyalBlue,clrMediumSeaGreen,clrOrangeRed
|
|
#property indicator_style1 STYLE_SOLID
|
|
#property indicator_width1 2
|
|
//--- input parameters
|
|
input uint InpFractal = 6; // Period
|
|
input uint InpLag = 7; // Dimension
|
|
//--- indicator buffers
|
|
double BufferAML[];
|
|
double BufferColors[];
|
|
double BufferFR[];
|
|
//--- global variables
|
|
int period_max;
|
|
int fractal;
|
|
int lag;
|
|
double lag2;
|
|
//+------------------------------------------------------------------+
|
|
//| Custom indicator initialization function |
|
|
//+------------------------------------------------------------------+
|
|
int OnInit()
|
|
{
|
|
if(Point()==0)
|
|
{
|
|
Print("Error! Point() value is zero.");
|
|
return INIT_FAILED;
|
|
}
|
|
//--- set global variables
|
|
fractal=int(InpFractal<1 ? 1 : InpFractal);
|
|
lag=int(InpLag<1 ? 1 : InpLag);
|
|
period_max=fmax(fractal,lag);
|
|
lag2=lag*lag*Point();
|
|
//--- indicator buffers mapping
|
|
SetIndexBuffer(0,BufferAML,INDICATOR_DATA);
|
|
SetIndexBuffer(1,BufferColors,INDICATOR_COLOR_INDEX);
|
|
SetIndexBuffer(2,BufferFR,INDICATOR_CALCULATIONS);
|
|
//--- setting indicator parameters
|
|
IndicatorSetString(INDICATOR_SHORTNAME,"Adaptive Market Level ("+(string)fractal+","+(string)lag+")");
|
|
IndicatorSetInteger(INDICATOR_DIGITS,Digits());
|
|
//--- setting buffer arrays as timeseries
|
|
ArraySetAsSeries(BufferAML,true);
|
|
ArraySetAsSeries(BufferColors,true);
|
|
ArraySetAsSeries(BufferFR,true);
|
|
//---
|
|
return(INIT_SUCCEEDED);
|
|
}
|
|
//+------------------------------------------------------------------+
|
|
//| Custom indicator iteration function |
|
|
//+------------------------------------------------------------------+
|
|
int OnCalculate(const int rates_total,
|
|
const int prev_calculated,
|
|
const datetime &time[],
|
|
const double &open[],
|
|
const double &high[],
|
|
const double &low[],
|
|
const double &close[],
|
|
const long &tick_volume[],
|
|
const long &volume[],
|
|
const int &spread[])
|
|
{
|
|
//--- Установка массивов буферов как таймсерий
|
|
ArraySetAsSeries(open,true);
|
|
ArraySetAsSeries(high,true);
|
|
ArraySetAsSeries(low,true);
|
|
ArraySetAsSeries(close,true);
|
|
//--- Проверка и расчёт количества просчитываемых баров
|
|
if(rates_total<4 || Point()==0) return 0;
|
|
//--- Проверка и расчёт количества просчитываемых баров
|
|
int limit=rates_total-prev_calculated;
|
|
if(limit>1)
|
|
{
|
|
limit=rates_total-period_max-2;
|
|
ArrayInitialize(BufferAML,EMPTY_VALUE);
|
|
ArrayInitialize(BufferFR,0);
|
|
}
|
|
|
|
//--- Расчёт индикатора
|
|
for(int i=limit; i>=0 && !IsStopped(); i--)
|
|
{
|
|
double R=Range(fractal,i,high,low);
|
|
if(R==EMPTY_VALUE)
|
|
continue;
|
|
double R1=R/fractal;
|
|
//---
|
|
R=Range(fractal,i+fractal,high,low);
|
|
if(R==EMPTY_VALUE)
|
|
continue;
|
|
double R2=R/fractal;
|
|
//---
|
|
R=Range(2*fractal,i,high,low);
|
|
if(R==EMPTY_VALUE)
|
|
continue;
|
|
double R3=R/(2.0*fractal);
|
|
//---
|
|
double dim=(R1+R2>0 && R3>0 ? 1.44269504088896*(log(R1+R2)-log(R3)) : 0);
|
|
double alpha=exp(-1.0*lag*(dim-1.0));
|
|
alpha=fmin(alpha,1.0);
|
|
alpha=fmax(alpha,0.01);
|
|
double price=(high[i]+low[i]+2.0*open[i]+2.0*close[i])/6.0;
|
|
BufferFR[i]=alpha*price+(1.0-alpha)*BufferFR[i+1];
|
|
|
|
BufferAML[i]=(fabs(BufferFR[i]-BufferFR[i+lag])<lag2 ? BufferAML[i+1] : BufferFR[i]);
|
|
BufferColors[i]=(BufferAML[i]>BufferAML[i+1] ? 1 : BufferAML[i]<BufferAML[i+1] ? 2 : 0);
|
|
}
|
|
|
|
//--- return value of prev_calculated for next call
|
|
return(rates_total);
|
|
}
|
|
//+------------------------------------------------------------------+
|
|
//| |
|
|
//+------------------------------------------------------------------+
|
|
double Range(const int count,const int index,const double &high[],const double &low[])
|
|
{
|
|
int bl=Lowest(count,index);
|
|
int bh=Highest(count,index);
|
|
if(bl==WRONG_VALUE || bh==WRONG_VALUE)
|
|
return EMPTY_VALUE;
|
|
return(high[bh]-low[bl]);
|
|
}
|
|
//+------------------------------------------------------------------+
|
|
//| Возвращает индекс максимального значения таймсерии High |
|
|
//+------------------------------------------------------------------+
|
|
int Highest(const int count,const int start)
|
|
{
|
|
double array[];
|
|
ArraySetAsSeries(array,true);
|
|
return(CopyHigh(Symbol(),PERIOD_CURRENT,start,count,array)==count ? ArrayMaximum(array)+start : WRONG_VALUE);
|
|
}
|
|
//+------------------------------------------------------------------+
|
|
//| Возвращает индекс минимального значения таймсерии Low |
|
|
//+------------------------------------------------------------------+
|
|
int Lowest(const int count,const int start)
|
|
{
|
|
double array[];
|
|
ArraySetAsSeries(array,true);
|
|
return(CopyLow(Symbol(),PERIOD_CURRENT,start,count,array)==count ? ArrayMinimum(array)+start : WRONG_VALUE);
|
|
return WRONG_VALUE;
|
|
}
|
|
//+------------------------------------------------------------------+
|