//+------------------------------------------------------------------+
//| Extrapolator - sincMA.mq4 |
//| Copyright © 2009, gpwr. |
//+------------------------------------------------------------------+
#property copyright "Copyright © 2009, gpwr."
#property indicator_chart_window
#property indicator_buffers 2
#property indicator_color1 Blue
#property indicator_color2 Red
#property indicator_width1 2
#property indicator_width2 2
//Global constants
#define pi 3.141592653589793238462643383279502884197169399375105820974944592
//Input parameters
extern int LastBar =0; //Last bar in the past data
extern int PastBars =512; //Number of past bars. 0: all data.
extern int FutBars =30; //Number of predicted future bars. Must be less than PastBars
extern int trun =3; //Number of the last wavelets to truncate.
extern double Q =1.0; //Damping factor. Higher Q gives more ripple. Q=1 gives sinc function.
//Global variables
int n,nf,lb,pwrMax;
//Indicator buffers
double pv[],fv[];
//Initialize---------------------------------------------------------+
int init()
{
// Initialize number of fitted values and the max number of sinc pulses
lb=LastBar;
nf=FutBars;
if(PastBars<=0) PastBars=Bars-lb;
n=1;
int pwr=0;
while(n<=PastBars)
{
pwr++;
n*=2;
}
pwr--;
n/=2;
if(nf>n) nf=n;
if(trun<=0) trun=0;
if(trun>=pwr) trun=pwr;
pwrMax=pwr-trun;
//Initialize indicators
IndicatorBuffers(2);
SetIndexBuffer(0,pv);
SetIndexBuffer(1,fv);
SetIndexStyle(0,DRAW_LINE,STYLE_SOLID,2);
SetIndexStyle(1,DRAW_LINE,STYLE_SOLID,2);
SetIndexShift(0,-lb);//past data vector 0..n; 0 corresponds to bar=lb
SetIndexShift(1,nf-lb);//future data vector i=0..nf; nf corresponds to bar=lb
IndicatorShortName("Extrapolator - sincMA");
return(0);
}
int deinit(){return(0);}
//START--------------------------------------------------------------+
int start()
{
// Initialize the indicator buffers with straight lines
for(int i=0;i<=n;i++)
{
pv[i]=Close[lb]+(Close[n+lb]-Close[lb])*i/n;
if(i<=nf) fv[i]=Close[lb]-(Close[n+lb]-Close[lb])*i/n;
}
// Sample the data and fit sinc pulses to it
double dp[],df[];
ArrayResize(dp,n+1);
ArrayResize(df,nf+1);
int ss=2*n; // sampling step
for(int p=1;p<=pwrMax;p++)
{
ss=ss/2;
for(i=0;i<=n;i++)
{
dp[i]=0.0;
if(i<=nf) df[i]=0.0;
for(int j=1;j<=n/ss;j++)
{
double dif=Close[j*ss-ss/2+lb]-pv[j*ss-ss/2];
dp[i]+=dif*wave(2*j-1-2.0*i/ss,Q);
if(i<=nf) df[i]+=dif*wave(2*j-1+2.0*i/ss,Q);
}
}
for(i=0;i<=n;i++)
{
pv[i]+=dp[i];
if(i<=nf) fv[i]+=df[i];
}
}
// Reorder fv[]
for(i=0;i<nf/2;i++)
{
double tmp=fv[i];
fv[i]=fv[nf-i];
fv[nf-i]=tmp;
}
return(0);
}
//sinc function------------------------------------------------------+
double wave(double x, double Q)
{
if(x==0.0) return(1.0);
else return(MathSin(pi*x)/(pi*x)/(x*x+1.0)*(Q*x*x+1.0));
}
//+------------------------------------------------------------------+
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:
Custom Indicators Used:
Order Management characteristics:
Other Features: