//+------------------------------------------------------------------+
//| Linear Regression.mq4 |
//| Copyright © 2006, tageiger |
//| http://www.metaquotes.net |
//| |
//| 01/12/2008 - Modified by Robert Hill to use Moving Average |
//+------------------------------------------------------------------+
#property copyright "Copyright © 2006, tageiger, aka fxid10t(at)yahoo.com"
#property link "http://www.metaquotes.net"
#property indicator_chart_window
#property indicator_buffers 1
#property indicator_color1 Red
#property indicator_width1 2
extern int LR.length=34; // bars back regression begins
extern string m = "--Moving Average Types--";
extern string m0 = " 0 = SMA";
extern string m1 = " 1 = EMA";
extern string m2 = " 2 = SMMA";
extern string m3 = " 3 = LWMA";
extern int LR.MovingAverage = 0;
extern int LR.MA.Period = 14;
extern string p = "--Applied Price Types--";
extern string p0 = " 0 = close";
extern string p1 = " 1 = open";
extern string p2 = " 2 = high";
extern string p3 = " 3 = low";
extern string p4 = " 4 = median(high+low)/2";
extern string p5 = " 5 = typical(high+low+close)/3";
extern string p6 = " 6 = weighted(high+low+close+close)/4";
extern int LR.AppliedPrice = 0;
extern int LR.line.width=2;
extern color LR.c=Orange;
extern bool ShowChannel = true;
extern double std.channel.1=0.618; // 1st channel
extern color c.1=Gray;
extern double std.channel.2=1.618; // 2nd channel
extern color c.2=Gray;
extern double std.channel.3=2.618; // 3nd channel
extern color c.3=Gray;
double ExtMapBuffer1[];
int MAMode;
string strMAType;
int start.bar, end.bar;
string TrendID;
string ChannelUpper1, ChannelLower1;
string ChannelUpper2, ChannelLower2;
string ChannelUpper3, ChannelLower3;
int init()
{
SetIndexBuffer(0,ExtMapBuffer1);
SetIndexStyle(0,DRAW_LINE,STYLE_SOLID);
switch (LR.MovingAverage)
{
case 1: strMAType="EMA"; MAMode=MODE_EMA; break;
case 2: strMAType="SMMA"; MAMode=MODE_SMMA; break;
case 3: strMAType="LWMA"; MAMode=MODE_LWMA; break;
default: strMAType="SMA"; MAMode=MODE_SMA; break;
}
IndicatorShortName( strMAType+ " (" +LR.MA.Period + ") ");
TrendID = "m "+LR.length+" TL";
ChannelUpper1 = "m "+LR.length+" +"+std.channel.1+"d";
ChannelLower1 = "m "+LR.length+" -"+std.channel.1+"d";
ChannelUpper2 = "m "+LR.length+" +"+std.channel.2+"d";
ChannelLower2 = "m "+LR.length+" -"+std.channel.2+"d";
ChannelUpper3 = "m "+LR.length+" +"+std.channel.3+"d";
ChannelLower3 = "m "+LR.length+" -"+std.channel.3+"d";
return(0);
}
int deinit()
{
RemoveChannelObjects();
return(0);
}
void RemoveChannelObjects()
{
ObjectDelete(TrendID);
if (ShowChannel)
{
ObjectDelete(ChannelUpper1); ObjectDelete(ChannelLower1);
ObjectDelete(ChannelUpper2); ObjectDelete(ChannelLower2);
ObjectDelete(ChannelUpper3); ObjectDelete(ChannelLower3);
}
}
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 = Bars - counted_bars;
for(int i=limit; i>=0; i--)
{
ExtMapBuffer1[i] = Price(MAMode, LR.MA.Period, LR.AppliedPrice, i);
}
//refresh chart
RemoveChannelObjects();
//linear regression calculation
start.bar=LR.length; end.bar=0;
int n=start.bar-end.bar+1;
//---- calculate price values
double value;
double a,b,c;
double sumy;
double sumx=0.0;
double sumxy=0.0;
double sumx2=0.0;
value = Price(MAMode, LR.MA.Period, LR.AppliedPrice, end.bar);
// ExtMapBuffer1[end.bar] = value;
sumy = value;
for(i=1; i<n; i++)
{
value = Price(MAMode, LR.MA.Period, LR.AppliedPrice, end.bar + i);
// ExtMapBuffer1[end.bar+i] = value;
sumy+=value;
sumxy+=value*i;
sumx+=i;
sumx2+=i*i;
}
c=sumx2*n-sumx*sumx;
if(c==0.0) return;
b=(sumxy*n-sumx*sumy)/c;
a=(sumy-sumx*b)/n;
double LR.price.2=a;
double LR.price.1=a+b*n;
//---- maximal deviation calculation (not used)
double max.dev=0;
double deviation=0;
double dvalue=a;
for(i=0; i<n; i++)
{
value = Price(MAMode, LR.MA.Period, LR.AppliedPrice, end.bar + i);
dvalue+=b;
deviation=MathAbs(value-dvalue);
if(max.dev<=deviation) max.dev=deviation;
}
//Linear regression trendline
CreateLine (TrendID, LR.price.1, LR.price.2, LR.line.width, LR.c);
//...standard deviation...
if (ShowChannel)
{
double x=0,x.sum=0,x.avg=0,x.sum.squared=0,std.dev=0;
for(i=0; i<start.bar; i++)
{
x=MathAbs(iClose(Symbol(),0,i)-ObjectGetValueByShift("m "+LR.length+" TL",i));
x.sum+=x;
if(i>0)
{
x.avg=(x.avg+x)/i;
x.sum.squared+=(x-x.avg)*(x-x.avg);
std.dev=MathSqrt(x.sum.squared/(start.bar-1));
}
}
//Print("LR.price.1 ",LR.price.1," LR.Price.2 ",LR.price.2," std.dev ",std.dev);
//...standard deviation channels...
CreateLine(ChannelUpper1, LR.price.1+std.dev*std.channel.1,LR.price.2+std.dev*std.channel.1, LR.line.width, c.1);
CreateLine(ChannelLower1, LR.price.1-std.dev*std.channel.1,LR.price.2-std.dev*std.channel.1, LR.line.width, c.1);
CreateLine(ChannelUpper2, LR.price.1+std.dev*std.channel.2,LR.price.2+std.dev*std.channel.2, LR.line.width, c.2);
CreateLine(ChannelLower2, LR.price.1-std.dev*std.channel.2,LR.price.2-std.dev*std.channel.2, LR.line.width, c.2);
CreateLine(ChannelUpper3, LR.price.1+std.dev*std.channel.3,LR.price.2+std.dev*std.channel.3, LR.line.width, c.3);
CreateLine(ChannelLower3, LR.price.1-std.dev*std.channel.3,LR.price.2-std.dev*std.channel.3, LR.line.width, c.3);
}
return(0);
}
void CreateLine(string ChannelID, double pos1, double pos2, int mWidth, color c)
{
ObjectCreate(ChannelID,OBJ_TREND,0,Time[start.bar],pos1,Time[end.bar],pos2);
ObjectSet(ChannelID,OBJPROP_COLOR,c);
ObjectSet(ChannelID,OBJPROP_WIDTH,mWidth);
ObjectSet(ChannelID,OBJPROP_RAY,false);
}
double Price(int maMode, int maPeriod, int prMode, int myShift)
{
double pr;
pr = iMA(Symbol(), 0, maPeriod, 0, maMode, prMode, myShift);
// switch (prMode)
// {
// case 0: pr = iClose(Symbol(), period, myShift);break;
// case 1: pr = iOpen(Symbol(), period, myShift);break;
// case 2: pr = iHigh(Symbol(), period, myShift);break;
// case 3: pr = iLow(Symbol(), period, myShift);break;
// case 4: pr = (iHigh(Symbol(), period, myShift) + iLow(Symbol(), period, myShift))/2;break;
// case 5: pr = (iHigh(Symbol(), period, myShift) + iLow(Symbol(), period, myShift) + iClose(Symbol(), period, myShift))/3;break;
// case 6: pr = (iHigh(Symbol(), period, myShift) + iLow(Symbol(), period, myShift) + 2 * iClose(Symbol(), period, myShift))/4;break;
// }
return (pr);
}
//+------------------------------------------------------------------+
Sample
Analysis
Market Information Used:
Series array that contains close prices for each bar
Series array that contains open time of 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: