//+------------------------------------------------------------------+
//| Fractal_Bands.mq4 |
//| Copyright © 2008, jppoton@yahoo.com |
//| http://fractalfinance.blogspot.com/ |
//+------------------------------------------------------------------+
#property copyright "Copyright © 2008, jppoton@yahoo.com"
#property link "http://fractalfinance.blogspot.com/"
#property indicator_chart_window
#property indicator_buffers 3
#property indicator_color1 Red
#property indicator_width1 2
#property indicator_color2 Red
#property indicator_width2 1
#property indicator_color3 Red
#property indicator_width3 1
//************************************************************
// Input parameters
//************************************************************
extern int e_period =30;
extern int normal_speed =30;
extern double alpha =2.0;
extern int shift =0;
extern int e_type_data =PRICE_CLOSE;
//************************************************************
// Constant
//************************************************************
string INDICATOR_NAME="Fractals Bands";
string FILENAME ="Fractal_bands.mq4";
double LOG_2;
//************************************************************
// Private vars
//************************************************************
double ExtOutputBuffer[];
double UpperBuffer[];
double LowerBuffer[];
int g_period_minus_1;
//+-----------------------------------------------------------------------+
//| FUNCTION : init |
//| Initialization function |
//| Check the user input parameters and convert them in appropriate types.|
//+-----------------------------------------------------------------------+
int init()
{
// Check e_period input parameter
if(e_period < 2 )
{
Alert( "[ 10-ERROR " + FILENAME + " ] input parameter \"e_period\" must be >= 1 (" + e_period + ")" );
return( -1 );
}
if(e_type_data < PRICE_CLOSE || e_type_data > PRICE_WEIGHTED )
{
Alert( "[ 20-ERROR " + FILENAME + " ] input parameter \"e_type_data\" unknown (" + e_type_data + ")" );
return( -1 );
}
IndicatorBuffers(3);
SetIndexBuffer(0,ExtOutputBuffer);
SetIndexStyle(0,DRAW_LINE,STYLE_SOLID,2);
SetIndexBuffer(1,UpperBuffer);
SetIndexStyle(1,DRAW_LINE);
SetIndexBuffer(2,LowerBuffer);
SetIndexStyle(2,DRAW_LINE);
SetIndexDrawBegin(0,2*e_period);
SetIndexDrawBegin(1,2*e_period);
SetIndexDrawBegin(2,2*e_period);
g_period_minus_1=e_period - 1;
LOG_2=MathLog( 2.0 );
//----
return( 0 );
}
//+------------------------------------------------------------------+
//| FUNCTION : deinit |
//| Custor indicator deinitialization function |
//+------------------------------------------------------------------+
int deinit()
{
return(0);
}
//+------------------------------------------------------------------+
//| FUNCTION : start |
//| This callback is fired by metatrader for each tick |
//+------------------------------------------------------------------+
int start()
{
int countedBars=IndicatorCounted();
//---- check for possible errors
if(countedBars < 0)
{
return(-1);
}
_computeLastNbBars( Bars - countedBars - 1 );
//----
return( 0 );
}
//+================================================================================================================+
//+=== FUNCTION : _computeLastNbBars ===+
//+=== ===+
//+=== ===+
//+=== This callback is fired by metatrader for each tick ===+
//+=== ===+
//+=== In : ===+
//+=== - lastBars : these "n" last bars must be repainted ===+
//+=== ===+
//+================================================================================================================+
//+------------------------------------------------------------------+
//| FUNCTION : _computeLastNbBars |
//| This callback is fired by metatrader for each tick |
//| In : - lastBars : these "n" last bars must be repainted |
//+------------------------------------------------------------------+
void _computeLastNbBars( int lastBars )
{
int pos;
switch( e_type_data )
{
case PRICE_CLOSE : FRACTAL_BANDS( lastBars, Close ); break;
case PRICE_OPEN : FRACTAL_BANDS( lastBars, Open ); break;
case PRICE_HIGH : FRACTAL_BANDS( lastBars, High ); break;
case PRICE_LOW : FRACTAL_BANDS( lastBars, Low ); break;
default :
Alert( "[ 20-ERROR " + FILENAME + " ] the imput parameter e_type_data <" + e_type_data + "> is unknown" );
}
}
//+------------------------------------------------------------------+
//| FUNCTION : FRACTAL_BANDS |
//| Compute the Fractal Bands for input data |
//| In : |
//| - lastBars : these "n" last bars are considered for |
//| calculating the fractal dimension |
//| - inputData : data array on which the computation is applied |
//| For further theoretical explanations, see my blog: |
//| http://fractalfinance.blogspot.com/ |
//+------------------------------------------------------------------+
void FRACTAL_BANDS( int lastBars, double inputData[] )
{
int pos, iteration;
double diff, priorDiff;
double length;
double priceMax, priceMin;
double fdi,trail_dim,beta,sum,newres,deviation,frasma,hurst;
int speed,k;
//----
for( pos=lastBars; pos>=0; pos-- )
{
priceMax=_highest( e_period, pos, inputData );
priceMin=_lowest( e_period, pos, inputData );
length =0.0;
priorDiff=0.0;
//----
for( iteration=0; iteration <= g_period_minus_1; iteration++ )
{
if(( priceMax - priceMin)> 0.0 )
{
diff =(inputData[pos + iteration] - priceMin )/( priceMax - priceMin );
if(iteration > 0 )
{
length+=MathSqrt( MathPow( diff - priorDiff, 2.0)+(1.0/MathPow( e_period, 2.0)) );
}
priorDiff=diff;
}
}
if(length > 0.0 )
{
fdi=1.0 +(MathLog( length)+ LOG_2 )/MathLog( 2 * g_period_minus_1 );
}
else
{
/*
** The FDI algorithm suggests in this case a zero value.
** I prefer to use the previous FDI value.
*/
fdi=0.0;
}
hurst=2-fdi; // The Hurst exponent
trail_dim=1/hurst; // This is the trail dimension, the inverse of the Hurst-Holder exponent
beta=trail_dim/2;
speed=MathRound(normal_speed*beta);
ExtOutputBuffer[pos-shift]=iMA(NULL,0,speed,0,0,0,pos); // Buffer of the FRASMA
sum=0.0;
k=pos+g_period_minus_1;
frasma=ExtOutputBuffer[pos-shift];
while(k>=pos)
{
newres=Close[k]-frasma;
sum+=newres*newres;
k--;
}
deviation=2*MathSqrt(sum/e_period); // 2 standard deviations around the frasma
UpperBuffer[pos-shift]=frasma+deviation*MathPow(alpha,hurst);
LowerBuffer[pos-shift]=frasma-deviation*MathPow(alpha,hurst);
}
}
//+------------------------------------------------------------------+
//| FUNCTION : _highest |
//| Search for the highest value in an array data |
//| In : |
//| - n : find the highest on these n data |
//| - pos : begin to search for from this index |
//| - inputData : data array on which the searching for is done |
//| |
//| Return : the highest value | |
//+------------------------------------------------------------------+
double _highest( int n, int pos, double inputData[] )
{
int length=pos + n;
double highest=0.0;
//----
for( int i=pos; i < length; i++ )
{
if(inputData[i] > highest)highest=inputData[i];
}
return( highest );
}
//+------------------------------------------------------------------+
//| FUNCTION : _lowest | ===+
//| Search for the lowest value in an array data |
//| In : |
//| - n : find the hihest on these n data |
//| - pos : begin to search for from this index |
//| - inputData : data array on which the searching for is done |
//| |
//| Return : the highest value |
//+------------------------------------------------------------------+
double _lowest( int n, int pos, double inputData[] )
{
int length=pos + n;
double lowest=9999999999.0;
//----
for( int i=pos; i < length; i++ )
{
if(inputData[i] < lowest)lowest=inputData[i];
}
return( lowest );
}
//+------------------------------------------------------------------+
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:
It issuies visual alerts to the screen