//+------------------------------------------------------------------+ //| J_TPO_Velocity.mq4 | //| Copyright © 2005, | //| | //+------------------------------------------------------------------+ //+----------------------------------------------------------------------------------+ //| J_TPO_Velocity is a modification by Matt Kennel of J_TPO_Clean. | //| J_TPO is in its original form, an oscillator between -1 and +1, | //| a nonparametric statistic quantifying how well the prices are ordered | //| in consecutive ups (+1) or downs (-1) or intermediate cases in between. | //| | //| J_TPO_Velocity takes that value and multiplies it by the range, highest high | //| to lowest low in the period (in pips), divided by the period length. | //| Therefore, J_TPO_Velocity is a rough estimate of "velocity" as in | //| "pips per bar". Positive of course means going up and negative means going down.| //| | //| J_TPO_Velocity thus crosses zero at exactly the same time as J_TPO, but hte | //| absolute magnitude is different. | //| | //| Matt (mbkennel@gmail.com) | //| | //| This code is released under the terms of the GNU General Public License V2 | //+----------------------------------------------------------------------------------+ #property copyright "Copyright © 2005" #property link "www.metatrader.org" //---- #property indicator_separate_window #property indicator_buffers 1 #property indicator_color1 DodgerBlue //---- input parameters extern int Len=14; //---- buffers double ExtMapBuffer1[]; //+------------------------------------------------------------------+ //| Custom indicator initialization function | //+------------------------------------------------------------------+ int init() { //---- indicators SetIndexStyle(0,DRAW_LINE); SetIndexBuffer(0, ExtMapBuffer1); //---- return(0); } //+------------------------------------------------------------------+ //| J_TPO indicatop | //+------------------------------------------------------------------+ int start() { int limit; int counted_bars=IndicatorCounted(); //---- check for possible errors if(counted_bars<0) return(-1); //---- last counted bar will be recounted if(counted_bars>0) counted_bars--; limit=MathMin(Bars-counted_bars-Len,Bars-Len-1); if (Len < 3) { Print("J_TPO_B: length must be at least 3"); return(0); // } for(int i=limit; i>=0; i--) { ExtMapBuffer1[i]=J_TPO_value(Close,Len,i) * Range(Len,i)/Len; } //---- done return(0); } //+------------------------------------------------------------------+ double Range(int Len, int shift) { // Return the range between highest and lowest of Len // bars, starting at shift, measured in pips. double H=High[Highest(NULL,0,MODE_HIGH,Len,shift)]; double L=Low[Lowest(NULL,0,MODE_LOW,Len,shift)]; //---- return((H-L)/Point); } //+------------------------------------------------------------------+ //| | //+------------------------------------------------------------------+ double J_TPO_value(double input[], int Len, int shift) { // // compute the J_TPO function on input[shift], looking back up to Len data previous // double value, normalization, Lenp1half; double accum, tmp, maxval; int j, maxloc, m; double arr1[], arr2[], arr3[]; bool flag; accum=0; //---- ArrayResize(arr1,Len+1); ArrayResize(arr2,Len+1); ArrayResize(arr3,Len+1); //---- for(m=1; m<=Len; m++) { arr2[m]=m; arr3[m]=m; arr1[m]=input[shift+Len-m]; } // sort arr1[] in ascending order, arr2[] is the permutation index // Note, this is a poor quadratic search, and will not scale well with Len for(m=1; m<=(Len-1); m++) { // find max value & its location in arr1 [m..m+Len] maxval=arr1[m]; maxloc=m; for(j=m+1; j<=Len; j++) { if (arr1[j] < maxval) { maxval=arr1[j]; maxloc=j; } } // Swap arr1[m] with its max value // amd similarly for arr2. tmp=arr1[m]; arr1[m]=arr1[maxloc]; arr1[maxloc]=tmp; tmp=arr2[m]; arr2[m]=arr2[maxloc]; arr2[maxloc]=tmp; } // arr3[1..Len] is nominally 1..m, but this here adjusts for // ties. m=1; while(m < Len) { // Search for repeated values. j=m + 1; flag=true; accum=arr3[m]; while(flag) { if (arr1[m]!=arr1[j]) { if ((j - m) > 1) { // a streak of repeated values was found // and so replace arr3[] for those with // its average accum=accum/(j - m); for(int n=m; n<=(j-1); n++) arr3[n]=accum; } flag=false; } else { accum+=arr3[j]; j++; } // if } // while flag m=j; } // while (Len > m) // This is the real guts of the J_TPO // it is a simple statistic to see if the ranks, when applied in sorted order are // "correlated" with 1..Len, a simple cross correlation of ranks. // so if they are sorted then this gives 1, and if they are anti-sorted they give -1 // and similarly for intermediate values. normalization=12.0/(Len*(Len-1)*(Len+1)); Lenp1half=(Len + 1) * 0.5; //---- for(accum=0,m=1; m<=Len; m++) { // Print("m="+m+"Arr2[m] ="+arr2[m]+" arr3[m]="+arr3[m]); accum+=(arr3[m] - Lenp1half) * (arr2[m] - Lenp1half); } value=normalization * accum; // Print("JTPO_B: accum = "+accum+" norm = "+normalization); return(value); } //+------------------------------------------------------------------+
Sample
Analysis
Market Information Used:
Series array that contains the highest prices of each bar
Series array that contains the lowest prices of each bar
Indicator Curves created:
Implements a curve of type DRAW_LINE
Indicators Used:
Custom Indicators Used:
Order Management characteristics:
Other Features: