//+------------------------------------------------------------------+
//| correlations between Pair1 and Pair2 and between Pair3 and Pair4 |
//| |
//+------------------------------------------------------------------+
#property copyright " "
#property indicator_separate_window
#property indicator_buffers 2
#property indicator_color1 Red
#property indicator_color2 Yellow
extern int R_Period=20;
extern string Pair1="GBPJPY";
extern string Pair2="USDJPY";
extern string Pair3="GBPJPY";
extern string Pair4="GBPUSD";
double R[],Ra[];
double X[],Y[],A[],B[];
//+------------------------------------------------------------------+
//| Custom indicator initialization function |
//+------------------------------------------------------------------+
int init()
{
//---- indicators
//---- drawing settings
IndicatorShortName(Pair1+"/"+Pair2+" R("+R_Period+")");
SetIndexStyle(0,DRAW_LINE);
SetIndexBuffer(0,R);
SetIndexStyle(1,DRAW_LINE);
SetIndexBuffer(1,Ra );
//SetIndexStyle(2,DRAW_LINE);
//SetIndexBuffer(2,P );
//----
return(0);
}
//+------------------------------------------------------------------+
//| Custom indicator deinitialization function |
//+------------------------------------------------------------------+
int deinit()
{
//----
//----
return(0);
}
//+------------------------------------------------------------------+
//| Custom indicator iteration function |
//+------------------------------------------------------------------+
int start()
{
int counted_bars=IndicatorCounted();
//----
double X[],Y[];
int piir, limit, omega ;
double sumxy, sumx, sumx2, sumy, sumy2,sumxya, sumxa, sumx2a, sumya, sumy2a;
double yks, kaks, kolm,yksa, kaksa, kolma;
limit=Bars-counted_bars; //always just 1 bar after first calculation
if(counted_bars==0) limit=Bars-R_Period-1; //first time it should be enough bars to calculate
ArrayResize(X,limit); // min size of array is using less memory
ArrayResize(Y,limit);
ArrayResize(A,limit); // min size of array is using less memory
ArrayResize(B,limit);
ArrayCopySeries(X,MODE_OPEN,Pair1,0);
ArrayCopySeries(Y,MODE_OPEN,Pair2,0);
ArrayCopySeries(A,MODE_OPEN,Pair3,0);
ArrayCopySeries(B,MODE_OPEN,Pair4,0);
omega=0;
while(omega<=limit)
{
sumxy=0; sumx=0; sumx2=0; sumxya=0; sumxa=0; sumx2a=0;
sumy=0; sumy2=0; sumya=0; sumy2a=0;
for(int i=1; i<=R_Period; i++)
{
sumxy+=X[omega+i]*Y[omega+i]; sumxya+=A[omega+i]*B[omega+i];
sumx+=X[omega+i]; sumxa+=A[omega+i];
sumx2+=MathPow(X[omega+i],2.); sumx2a+=MathPow(A[omega+i],2.);//2. is neccesary because MathPow wants both parts as double
sumy+=Y[omega+i]; sumya+=B[omega+i];
sumy2+=MathPow(Y[omega+i],2.); sumy2a+=MathPow(B[omega+i],2.);//but it seems to work with "2" as well
}
yks=sumxy-(sumx*sumy)/R_Period; yksa=sumxya-(sumxa*sumya)/R_Period;
kaks=sumx2-(MathPow(sumx,2.)/R_Period); kaksa=sumx2a-(MathPow(sumxa,2.)/R_Period);
kolm=sumy2-(MathPow(sumy,2.)/R_Period); kolma=sumy2a-(MathPow(sumya,2.)/R_Period);
R[omega]=(yks/MathSqrt(kaks*kolm)); Ra[omega]=(yksa/MathSqrt(kaksa*kolma));
omega++;
}
//----
return(0);
}
//+------------------------------------------------------------------+
Sample
Analysis
Market Information Used:
Indicator Curves created:
Implements a curve of type DRAW_LINE
Indicators Used:
Custom Indicators Used:
Order Management characteristics:
Other Features: