//+------------------------------------------------------------------+
//| Correlation_v1.mq4 |
//| Copyright © 2006, TrendLaboratory Ltd. |
//| http://finance.groups.yahoo.com/group/TrendLaboratory |
//| E-mail: igorad2004@list.ru |
//+------------------------------------------------------------------+
#property copyright "Copyright © 2006, TrendLaboratory Ltd."
#property link "http://finance.groups.yahoo.com/group/TrendLaboratory"
#property indicator_separate_window
#property indicator_buffers 1
#property indicator_color1 DeepSkyBlue
#property indicator_maximum 1.05
#property indicator_minimum -1.05
//---- input parameters
extern string Symbol1="GBPUSD";
extern string Symbol2="EURUSD";
extern int cPeriod=20;
//---- buffers
double Correlation[];
double DiffBuffer1[];
double DiffBuffer2[];
double PowDiff1[];
double PowDiff2[];
//+------------------------------------------------------------------+
//| Custom indicator initialization function |
//+------------------------------------------------------------------+
int init()
{
//---- indicators
IndicatorBuffers(5);
SetIndexStyle(0,DRAW_LINE);
SetIndexBuffer(0,Correlation);
SetIndexBuffer(1,DiffBuffer1);
SetIndexBuffer(2,DiffBuffer2);
SetIndexBuffer(3,PowDiff1);
SetIndexBuffer(4,PowDiff2);
//----
string short_name="Correlation("+Symbol1+","+Symbol2+","+cPeriod+")";
IndicatorShortName(short_name);
SetIndexLabel(0,short_name);
SetIndexDrawBegin(0,2*cPeriod);
return(0);
}
//+------------------------------------------------------------------+
//| Custom indicator deinitialization function |
//+------------------------------------------------------------------+
int deinit()
{
//----
//----
return(0);
}
//+------------------------------------------------------------------+
//| Custom indicator iteration function |
//+------------------------------------------------------------------+
int start()
{
int shift,limit,counted_bars=IndicatorCounted();
if ( counted_bars < 0 ) return(-1);
if ( counted_bars ==0 ) limit=Bars-cPeriod-1;
if ( counted_bars < 1 )
for(int i=1;i<2*cPeriod;i++) Correlation[Bars-i]=0;
if(counted_bars>0) limit=Bars-counted_bars;
limit--;
for( shift=limit; shift>=0; shift--)
{
//----
DiffBuffer1[shift]=iClose(Symbol1,0,shift)-iMA(Symbol1,0,cPeriod,0,MODE_SMA,PRICE_CLOSE,shift);
DiffBuffer2[shift]=iClose(Symbol2,0,shift)-iMA(Symbol2,0,cPeriod,0,MODE_SMA,PRICE_CLOSE,shift);
PowDiff1[shift]=MathPow(DiffBuffer1[shift],2);
PowDiff2[shift]=MathPow(DiffBuffer2[shift],2);
double u=0,l=0,s=0;
for( i = cPeriod-1 ;i >= 0 ;i--)
{
u += DiffBuffer1[shift+i]*DiffBuffer2[shift+i];
l += PowDiff1[shift+i];
s += PowDiff2[shift+i];
}
if(l*s >0) Correlation[shift]=u/MathSqrt(l*s);
}
//----
return(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:
Moving average indicator
Custom Indicators Used:
Order Management characteristics:
Other Features: