327 lines
23 KiB
Plaintext
327 lines
23 KiB
Plaintext
//+------------------------------------------------------------------+
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//| PPMCC.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 description "Pearson product-moment correlation coefficient"
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#property indicator_separate_window
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#property indicator_buffers 8
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#property indicator_plots 1
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#property indicator_maximum 1
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#property indicator_minimum -1
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//--- plot PPMCC
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#property indicator_label1 "PPMCC"
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#property indicator_type1 DRAW_LINE
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#property indicator_color1 clrCrimson
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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 = 50; // Period
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input string InpSymbolX = "EURUSD"; // First symbol name
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input ENUM_APPLIED_PRICE InpAppliedPriceX = PRICE_CLOSE; // First symbol applied price
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input string InpSymbolY = "USDJPY"; // Second symbol name
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input ENUM_APPLIED_PRICE InpAppliedPriceY = PRICE_CLOSE; // Second symbol applied price
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//--- indicator buffers
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double BufferPPMCC[];
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//---
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double BufferAB[];
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double BufferC[];
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double BufferD[];
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//---
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double BufferMAX[];
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double BufferMAY[];
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double BufferMAA[];
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double BufferMAB[];
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//--- global variables
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int period_ma;
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int handle_maX;
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int handle_maY;
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int handle_maA;
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int handle_maB;
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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_ma=int(InpPeriod<1 ? 1 : InpPeriod);
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//--- indicator buffers mapping
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SetIndexBuffer(0,BufferPPMCC,INDICATOR_DATA);
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SetIndexBuffer(1,BufferAB,INDICATOR_CALCULATIONS);
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SetIndexBuffer(2,BufferC,INDICATOR_CALCULATIONS);
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SetIndexBuffer(3,BufferD,INDICATOR_CALCULATIONS);
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SetIndexBuffer(4,BufferMAX,INDICATOR_CALCULATIONS);
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SetIndexBuffer(5,BufferMAY,INDICATOR_CALCULATIONS);
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SetIndexBuffer(6,BufferMAA,INDICATOR_CALCULATIONS);
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SetIndexBuffer(7,BufferMAB,INDICATOR_CALCULATIONS);
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//--- setting indicator parameters
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IndicatorSetString(INDICATOR_SHORTNAME,"PPMCC"+"("+(string)period_ma+")"+InpSymbolX+"/"+InpSymbolY);
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IndicatorSetInteger(INDICATOR_DIGITS,Digits());
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//--- setting buffer arrays as timeseries
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ArraySetAsSeries(BufferPPMCC,true);
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ArraySetAsSeries(BufferAB,true);
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ArraySetAsSeries(BufferC,true);
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ArraySetAsSeries(BufferD,true);
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ArraySetAsSeries(BufferMAX,true);
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ArraySetAsSeries(BufferMAY,true);
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ArraySetAsSeries(BufferMAA,true);
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ArraySetAsSeries(BufferMAB,true);
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//--- check symbol name
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if(!SymbolCheck(InpSymbolX))
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return INIT_FAILED;
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if(!SymbolCheck(InpSymbolY))
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return INIT_FAILED;
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//--- create MA's handle
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ResetLastError();
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handle_maX=iMA(InpSymbolX,PERIOD_CURRENT,period_ma,0,MODE_SMA,InpAppliedPriceX);
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if(handle_maX==INVALID_HANDLE)
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{
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Print("The ",InpSymbolX," iMA(",(string)period_ma,") object was not created: Error ",GetLastError());
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return INIT_FAILED;
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}
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handle_maA=iMA(InpSymbolX,PERIOD_CURRENT,1,0,MODE_SMA,InpAppliedPriceX);
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if(handle_maA==INVALID_HANDLE)
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{
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Print("The ",InpSymbolX," iMA(1) object was not created: Error ",GetLastError());
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return INIT_FAILED;
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}
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handle_maY=iMA(InpSymbolY,PERIOD_CURRENT,period_ma,0,MODE_SMA,InpAppliedPriceY);
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if(handle_maY==INVALID_HANDLE)
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{
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Print("The ",InpSymbolY," iMA(",(string)period_ma,") object was not created: Error ",GetLastError());
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return INIT_FAILED;
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}
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handle_maB=iMA(InpSymbolY,PERIOD_CURRENT,1,0,MODE_SMA,InpAppliedPriceY);
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if(handle_maB==INVALID_HANDLE)
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{
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Print("The ",InpSymbolY," iMA(1) object was not created: Error ",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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{
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//--- Проверка на минимальное колиество баров для расчёта
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int barsX=Bars(InpSymbolX,PERIOD_CURRENT);
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int barsY=Bars(InpSymbolY,PERIOD_CURRENT);
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if(rates_total<4 || barsX<4 || barsY<4) return 0;
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//--- Установка массивов буферов как таймсерий
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ArraySetAsSeries(time,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(BufferPPMCC,EMPTY_VALUE);
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ArrayInitialize(BufferAB,0);
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ArrayInitialize(BufferC,0);
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ArrayInitialize(BufferMAX,0);
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ArrayInitialize(BufferMAY,0);
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ArrayInitialize(BufferMAA,0);
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ArrayInitialize(BufferMAB,0);
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}
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int limit_min=fmin(rates_total,fmin(barsX,barsY))-1;
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//--- Подготовка данных
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int copied=0,count=(limit==0 ? 1 : limit_min);
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copied=CopyBuffer(handle_maX,0,0,count,BufferMAX);
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if(copied!=count) return 0;
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copied=CopyBuffer(handle_maA,0,0,count,BufferMAA);
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if(copied!=count) return 0;
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//---
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copied=CopyBuffer(handle_maY,0,0,count,BufferMAY);
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if(copied!=count) return 0;
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copied=CopyBuffer(handle_maB,0,0,count,BufferMAB);
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if(copied!=count) return 0;
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//---
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count=(limit==0 ? limit : limit_min);
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for(int i=count; i>=0 && !IsStopped(); i--)
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{
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int index1=BarShift(InpSymbolX,PERIOD_CURRENT,time[i]);
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int index2=BarShift(InpSymbolY,PERIOD_CURRENT,time[i]);
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if(index1>count || index2>count) continue;
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if(index1!=WRONG_VALUE && index2!=WRONG_VALUE)
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{
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double avg1=BufferMAX[index1];
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double avg2=BufferMAY[index2];
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double a=BufferMAA[index1]-avg1;
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double b=BufferMAB[index1]-avg2;
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BufferAB[i]=a*b;
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BufferC[i]=a*a;
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BufferD[i]=b*b;
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}
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}
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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 Numerator=MAOnArray(BufferAB,0,period_ma,0,MODE_SMA,i);
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double DenominatorC=MAOnArray(BufferC,0,period_ma,0,MODE_SMA,i);
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double DenominatorD=MAOnArray(BufferD,0,period_ma,0,MODE_SMA,i);
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double Denominator=sqrt(DenominatorC*DenominatorD);
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BufferPPMCC[i]=Numerator/(Denominator!=0 ? Denominator : 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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//| Проверка символа |
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//+------------------------------------------------------------------+
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bool SymbolCheck(const string symbol_name)
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{
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long select=0;
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ResetLastError();
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if(!SymbolInfoInteger(symbol_name,SYMBOL_SELECT,select))
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{
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int err=GetLastError();
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Print("Error: ",err," Symbol ",symbol_name," does not exist");
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return false;
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}
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else
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{
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if(select) return true;
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ResetLastError();
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if(!SymbolSelect(symbol_name,true))
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{
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int err=GetLastError();
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Print("Error selected ",symbol_name,": ",err);
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}
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}
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return false;
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}
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//+------------------------------------------------------------------+
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//| Возвращает смещение бара по времени |
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//| https://www.mql5.com/ru/code/1864 |
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//+------------------------------------------------------------------+
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int BarShift(const string symbol_name,const ENUM_TIMEFRAMES timeframe,const datetime time,bool exact=false)
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{
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datetime last_bar;
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if(!SeriesInfoInteger(symbol_name,timeframe,SERIES_LASTBAR_DATE,last_bar))
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{
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datetime array[1];
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if(CopyTime(symbol_name,timeframe,0,1,array)==1)
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last_bar=array[0];
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else
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return WRONG_VALUE;
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}
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if(time>last_bar)
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return(0);
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int shift=Bars(symbol_name,timeframe,time,last_bar);
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datetime array[1];
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if(CopyTime(symbol_name,timeframe,time,1,array)==1)
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return(array[0]==time ? shift-1 : exact && time>array[0]+PeriodSeconds(timeframe) ? WRONG_VALUE : shift);
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return WRONG_VALUE;
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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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//+------------------------------------------------------------------+
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