/*-----------------------------+
| |
| Shared by www.Aptrafx.com |
| |
+------------------------------*/
//+------------------------------------------------------------------+
//| correlation.mq4 |
//| ENG.A`ED|
//| aed_al_nairab@hotmail.com |
//+------------------------------------------------------------------+
#property indicator_separate_window
#property indicator_buffers 1
#property indicator_color1 DeepSkyBlue
//---- input parameters
extern string currency_1="EURUSD";
extern string currency_2="EURGBP";
extern int iPeriod=20;
//---- buffers
double correl[];
double hl[];
double h2[];
double hl_2[];
double h2_2[];
//+------------------------------------------------------------------+
//| Custom indicator initialization function |
//+------------------------------------------------------------------+
int init()
{
//---- indicators
IndicatorBuffers(1);
SetIndexStyle(0,DRAW_LINE);
SetIndexBuffer(0,correl);
//----
return(0);
}
//+------------------------------------------------------------------+
//| Custom indicator deinitialization function |
//+------------------------------------------------------------------+
int deinit()
{
//----
//----
return(0);
}
//+------------------------------------------------------------------+
//| Custom indicator iteration function |
//+------------------------------------------------------------------+
int start()
{
int limit;
double u,l;
int counted_bars=IndicatorCounted();
if(counted_bars<0) counted_bars=0;
if(counted_bars>0) counted_bars--;
limit=500-counted_bars;
//----
for(int c = limit-iPeriod ;c >= 0 ;c--)
{
for(int m = limit-iPeriod ;m >= 0 ;m--)
{
hl[m]=iClose(currency_1,0,m)-iMA(currency_1,0,iPeriod,0,MODE_SMA,PRICE_CLOSE,m);
h2[m]=iClose(currency_2,0,m)-iMA(currency_2,0,iPeriod,0,MODE_SMA,PRICE_CLOSE,m);
hl_2[m]=MathPow(hl[m],2);
h2_2[m]=MathPow(h2[m],2);
}
u=0;l=0;
for(int i = iPeriod-1 ;i >= 0 ;i--)
{
u=hl[c+i]* h2[c+i]+u;
l=hl_2[c+i]*h2_2[c+i]+l;
}
correl[c]=u/MathSqrt(l);
Comment("correlation ","\n",currency_1,"&",currency_2,correl);
}
//----
return(0);
}
//+------------------------------------------------------------------+
Sample
Analysis
Market Information Used:
Series array that contains close prices for each bar
Indicator Curves created:
Implements a curve of type DRAW_LINE
Indicators Used:
Moving average indicator
Custom Indicators Used:
Order Management characteristics:
Other Features: