#property copyright "Copyright © 2007, zIG"
#property link ""
#property indicator_separate_window
#property indicator_buffers 3
#property indicator_color1 Red
#property indicator_width1 1
#property indicator_color2 SkyBlue
#property indicator_width2 2
#property indicator_color3 Green
#property indicator_width3 1
#property indicator_level1 -1.3
#property indicator_level2 0
#property indicator_level3 1.3
#property indicator_levelwidth 1
#property indicator_levelstyle STYLE_DOT
double buff1[];
double buff2[];
double buff3[];
extern int BarsForComment=30; //êîëè÷åñòâî áàðîâ äëÿ ðàñ÷åòà êîððåëÿöèè, ðåçóëüòàòû êîòîðîé áóäóò âûâåäåíû â êîììåíòàðèè
extern int BarsForLongTF=30; //êîëè÷åñòâî áàðîâ äëÿ ðàñ÷åòà êîððåëÿöèè íà äëèòåëüíîì ïåðèîäå
extern int BarsForShortTF=7; //êîëè÷åñòâî áàðîâ äëÿ ðàñ÷åòà êîððåëÿöèè íà êîðîòêîì ïåðèîäå
int SortMode=2; // ðåæèì ñîðòèðîâêè 1- ïî âîçðàñòàíèþ, 2 - ïî óáûâàíèþ
extern int HistoryBars=1000;
extern string Base="EURUSD";
//+------------------------------------------------------------------+
//| Custom indicator initialization function |
//+------------------------------------------------------------------+
int init()
{
//---- indicators
IndicatorBuffers(8);
SetIndexStyle(0,DRAW_HISTOGRAM);
SetIndexBuffer(0,buff1);
SetIndexEmptyValue(0,0);
SetIndexLabel(0,"Êîððåëÿöèÿ çà "+BarsForLongTF+" áàðîâ");
SetIndexStyle(1,DRAW_LINE);
SetIndexBuffer(1,buff2);
SetIndexEmptyValue(1,EMPTY_VALUE);
SetIndexLabel(1,"Êîððåëÿöèÿ çà "+BarsForShortTF+" áàðîâ");
SetIndexStyle(2,DRAW_HISTOGRAM);
SetIndexBuffer(2,buff3);
SetIndexEmptyValue(2,0);
SetIndexLabel(2,"Êîððåëÿöèÿ çà "+BarsForLongTF+" áàðîâ");
IndicatorShortName("Correlation calculator v3.0 ("+Period()+","+Base+" vs "+Symbol()+")");
//----
return(0);
}
//+------------------------------------------------------------------+
//| Custom indicator deinitialization function |
//+------------------------------------------------------------------+
int deinit()
{
//----
Comment("");
//----
return(0);
}
//+------------------------------------------------------------------+
//| Custom indicator iteration function |
//+------------------------------------------------------------------+
int start()
{
int i;
// âûâîä ãðàôèêîâ êîððåëÿöèè íà äëèòåëüíîì è êîðîòêîì ïåðèîäàõ äëÿ áàçîâîé è òåêóùåé âàëþò
for(i=HistoryBars;i>=0;i--)
{
double RL=Rcalc(Symbol(),BarsForLongTF,i);
double RS=Rcalc(Symbol(),BarsForShortTF,i);
if(buff1[i+1]+buff3[i+1]>RL)
{
buff1[i]=RL;
buff3[i]=0;
}
else
{
buff3[i]=RL;
buff1[i]=0;
}
// buff1[i]=RL;
buff2[i]=RS;
}
string txt=""
+"\n ----------------------------------------------------------------------------------"
+"\n Ðàñ÷åò êîýôôèöèåíòà êîððåëÿöèè ìåæäó âàëþòàìè"
+"\n Copyright © 2007, zIG & akadex"
+"\n ----------------------------------------------------------------------------------";
Comment(txt);
//----
return(0);
}
//+------------------------------------------------------------------+
double Rcalc(string symb,int Bars_,int shift)
{
int currday=iBarShift(NULL,PERIOD_D1,iTime(NULL,Period(),shift));
double avgBase=iMA(Base,PERIOD_D1,Bars_,0,MODE_SMA,PRICE_CLOSE,currday);
double avgSmb=iMA(symb,PERIOD_D1,Bars_,0,MODE_SMA,PRICE_CLOSE,currday);
double E=0;
double D=0;
double F=0;
for(int i=currday;i<=currday+Bars_;i++)
{
E+=((iClose(Base,PERIOD_D1,i))-avgBase)*((iClose(symb,PERIOD_D1,i))-avgSmb);
D+=MathPow(((iClose(Base,PERIOD_D1,i))-avgBase),2);
F+=MathPow(((iClose(symb,PERIOD_D1,i))-avgSmb),2);
}
D=MathSqrt(D);
F=MathSqrt(F);
double G=D*F;
double R=E/G;
return(R);
}
//--------------------------------------------------------------------+
//+------------------------------------------------------------------+
Sample
Analysis
Market Information Used:
Series array that contains close prices for each bar
Indicator Curves created:
Implements a curve of type DRAW_HISTOGRAM
Implements a curve of type DRAW_LINE
Indicators Used:
Moving average indicator
Custom Indicators Used:
Order Management characteristics:
Other Features: