//+------------------------------------------------------------------+ //| Linear Regression.mq4 | //| Copyright © 2006, tageiger, aka fxid10t@yahoo.com | //| http://www.metaquotes.net | //+------------------------------------------------------------------+ #property copyright "Copyright © 2006, tageiger, aka fxid10t@yahoo.com" #property link "http://www.metaquotes.net" #property indicator_chart_window extern int period=0; /*default 0 means the channel will use the open time from "x" bars back on which ever time period the indicator is attached to. one can change to 1,5,15,30,60...etc to "lock" the start time to a specific period, and then view the "locked" channels on a different time period...*/ extern int line.width=1; extern int LR.length=34; // bars back regression begins; 48>Original=34 extern color LR.c=Orange; extern double std.channel.1=1.7; // 1st channel; 1.7>Original= 0.618 extern color c.1=Gray; extern double std.channel.2=2.618; // 2nd channel; 1.618>Original=1.618 extern color c.2=LightGray; extern double std.channel.3=3.618; // 3nd channel; 2.618>Original=2.618 extern color c.3=Gray; int init(){return(0);} int deinit(){ ObjectDelete(period+"m "+LR.length+" TL"); ObjectDelete(period+"m "+LR.length+" +"+std.channel.1+"d"); ObjectDelete(period+"m "+LR.length+" -"+std.channel.1+"d"); ObjectDelete(period+"m "+LR.length+" +"+std.channel.2+"d"); ObjectDelete(period+"m "+LR.length+" -"+std.channel.2+"d"); ObjectDelete(period+"m "+LR.length+" +"+std.channel.3+"d"); ObjectDelete(period+"m "+LR.length+" -"+std.channel.3+"d"); return(0);} int start(){//refresh chart ObjectDelete(period+"m "+LR.length+" TL"); ObjectDelete(period+"m "+LR.length+" +"+std.channel.1+"d"); ObjectDelete(period+"m "+LR.length+" -"+std.channel.1+"d"); ObjectDelete(period+"m "+LR.length+" +"+std.channel.2+"d"); ObjectDelete(period+"m "+LR.length+" -"+std.channel.2+"d"); ObjectDelete(period+"m "+LR.length+" +"+std.channel.3+"d"); ObjectDelete(period+"m "+LR.length+" -"+std.channel.3+"d"); //linear regression calculation int start.bar=LR.length, end.bar=0; int n=start.bar-end.bar+1; //---- calculate price values double value=iClose(Symbol(),period,end.bar); double a,b,c; double sumy=value; double sumx=0.0; double sumxy=0.0; double sumx2=0.0; for(int i=1; i<n; i++) { value=iClose(Symbol(),period,end.bar+i); sumy+=value; sumxy+=value*i; sumx+=i; sumx2+=i*i; } c=sumx2*n-sumx*sumx; if(c==0.0) return; b=(sumxy*n-sumx*sumy)/c; a=(sumy-sumx*b)/n; double LR.price.2=a; double LR.price.1=a+b*n; //---- maximal deviation calculation (not used) double max.dev=0; double deviation=0; double dvalue=a; for(i=0; i<n; i++) { value=iClose(Symbol(),period,end.bar+i); dvalue+=b; deviation=MathAbs(value-dvalue); if(max.dev<=deviation) max.dev=deviation; } //Linear regression trendline ObjectCreate(period+"m "+LR.length+" TL",OBJ_TREND,0,iTime(Symbol(),period,start.bar),LR.price.1,Time[end.bar],LR.price.2); ObjectSet(period+"m "+LR.length+" TL",OBJPROP_COLOR,LR.c); ObjectSet(period+"m "+LR.length+" TL",OBJPROP_WIDTH,line.width); ObjectSet(period+"m "+LR.length+" TL",OBJPROP_RAY,false); //...standard deviation... double x=0,x.sum=0,x.avg=0,x.sum.squared=0,std.dev=0; for(i=0; i<start.bar; i++) { x=MathAbs(iClose(Symbol(),period,i)-ObjectGetValueByShift(period+"m "+LR.length+" TL",i)); x.sum+=x; if(i>0) { x.avg=(x.avg+x)/i; x.sum.squared+=(x-x.avg)*(x-x.avg); std.dev=MathSqrt(x.sum.squared/(start.bar-1)); } } //Print("LR.price.1 ",LR.price.1," LR.Price.2 ",LR.price.2," std.dev ",std.dev); //...standard deviation channels... ObjectCreate(period+"m "+LR.length+" +"+std.channel.1+"d",OBJ_TREND,0,iTime(Symbol(),period,start.bar),LR.price.1+std.dev*std.channel.1, Time[end.bar],LR.price.2+std.dev*std.channel.1); ObjectSet(period+"m "+LR.length+" +"+std.channel.1+"d",OBJPROP_COLOR,c.1); ObjectSet(period+"m "+LR.length+" +"+std.channel.1+"d",OBJPROP_WIDTH,line.width); ObjectSet(period+"m "+LR.length+" +"+std.channel.1+"d",OBJPROP_RAY,false); ObjectCreate(period+"m "+LR.length+" -"+std.channel.1+"d",OBJ_TREND,0,iTime(Symbol(),period,start.bar),LR.price.1-std.dev*std.channel.1, Time[end.bar],LR.price.2-std.dev*std.channel.1); ObjectSet(period+"m "+LR.length+" -"+std.channel.1+"d",OBJPROP_COLOR,c.1); ObjectSet(period+"m "+LR.length+" -"+std.channel.1+"d",OBJPROP_WIDTH,line.width); ObjectSet(period+"m "+LR.length+" -"+std.channel.1+"d",OBJPROP_RAY,false); ObjectCreate(period+"m "+LR.length+" +"+std.channel.2+"d",OBJ_TREND,0,iTime(Symbol(),period,start.bar),LR.price.1+std.dev*std.channel.2, Time[end.bar],LR.price.2+std.dev*std.channel.2); ObjectSet(period+"m "+LR.length+" +"+std.channel.2+"d",OBJPROP_COLOR,c.2); ObjectSet(period+"m "+LR.length+" +"+std.channel.2+"d",OBJPROP_WIDTH,line.width); ObjectSet(period+"m "+LR.length+" +"+std.channel.2+"d",OBJPROP_RAY,false); ObjectCreate(period+"m "+LR.length+" -"+std.channel.2+"d",OBJ_TREND,0,iTime(Symbol(),period,start.bar),LR.price.1-std.dev*std.channel.2, Time[end.bar],LR.price.2-std.dev*std.channel.2); ObjectSet(period+"m "+LR.length+" -"+std.channel.2+"d",OBJPROP_COLOR,c.2); ObjectSet(period+"m "+LR.length+" -"+std.channel.2+"d",OBJPROP_WIDTH,line.width); ObjectSet(period+"m "+LR.length+" -"+std.channel.2+"d",OBJPROP_RAY,false); ObjectCreate(period+"m "+LR.length+" +"+std.channel.3+"d",OBJ_TREND,0,iTime(Symbol(),period,start.bar),LR.price.1+std.dev*std.channel.3, Time[end.bar],LR.price.2+std.dev*std.channel.3); ObjectSet(period+"m "+LR.length+" +"+std.channel.3+"d",OBJPROP_COLOR,c.3); ObjectSet(period+"m "+LR.length+" +"+std.channel.3+"d",OBJPROP_WIDTH,line.width); ObjectSet(period+"m "+LR.length+" +"+std.channel.3+"d",OBJPROP_RAY,false); ObjectCreate(period+"m "+LR.length+" -"+std.channel.3+"d",OBJ_TREND,0,iTime(Symbol(),period,start.bar),LR.price.1-std.dev*std.channel.3, Time[end.bar],LR.price.2-std.dev*std.channel.3); ObjectSet(period+"m "+LR.length+" -"+std.channel.3+"d",OBJPROP_COLOR,c.3); ObjectSet(period+"m "+LR.length+" -"+std.channel.3+"d",OBJPROP_WIDTH,line.width); ObjectSet(period+"m "+LR.length+" -"+std.channel.3+"d",OBJPROP_RAY,false); return(0);} //+------------------------------------------------------------------+
Sample
Analysis
Market Information Used:
Series array that contains close prices for each bar
Series array that contains open time of each bar
Indicator Curves created:
Indicators Used:
Custom Indicators Used:
Order Management characteristics:
Other Features: