//+--------------------------------------------------------------------------------------+
//| Fourier Extrapolation of Indicator.mq4 |
//| Copyright © 2008, gpwr |
//| vlad1004@yahoo.com |
//+--------------------------------------------------------------------------------------+
#property copyright "Copyright © 2009, gpwr"
#property indicator_separate_window
#property indicator_buffers 3
#property indicator_color1 Black
#property indicator_color2 Blue
#property indicator_color3 Red
#property indicator_width1 1
#property indicator_width2 2
#property indicator_width3 2
//Global constants
#define pi 3.141592653589793238462643383279502884197169399375105820974944592
//Input parameters
extern int LastBar =200; //Last bar in the past data
extern int PastBars =500; //Number of past bars
extern int FutBars =200; //Number of bars to predict
extern int HarmNo =10; //Number of frequencies; HarmNo=0 computes PastBars harmonics
extern double FreqTOL =0.0001;//Tolerance of frequency calculation
//FreqTOL > 0.001 may not converge
//Indicator buffers
double in[];
double pv[];
double fv[];
//Global variables
int np,nf,lb;
int init()
{
lb=LastBar;
np=PastBars;
nf=FutBars;
if(HarmNo==0 || HarmNo>np) HarmNo=np;
IndicatorBuffers(3);
SetIndexBuffer(0,in);
SetIndexBuffer(1,pv);
SetIndexBuffer(2,fv);
SetIndexStyle(0,DRAW_LINE,STYLE_SOLID,1);
SetIndexStyle(1,DRAW_LINE,STYLE_SOLID,2);
SetIndexStyle(2,DRAW_LINE,STYLE_SOLID,2);
SetIndexShift(1,-lb);//past data vector 0..np-1; 0 corresponds to bar=lb
SetIndexShift(2,nf-lb);//future data vector i=0..nf; nf corresponds to bar=lb
IndicatorShortName("FEoI");
return(0);
}
int deinit(){return(0);}
int start()
{
ArrayInitialize(in,EMPTY_VALUE);
ArrayInitialize(pv,EMPTY_VALUE);
ArrayInitialize(fv,EMPTY_VALUE);
//Choose indicator and find the average of its np past values
double x[]; //stores indicator values
ArrayResize(x,np);
double av=0.0;
for(int i=-lb;i<np;i++)
{
in[i+lb]=0.5+iWPR(NULL,0,50,i+lb)/100.0; //change indicator here
if(i>=0)
{
x[i]=in[i+lb];
av+=x[i];
}
}
av/=np;
//Prepare modeled data
for(i=0;i<np;i++)
{
pv[i]=av;
if(i<=nf) fv[i]=av;
}
//Fit trigomometric series
double w,m,c,s;
for(int harm=1;harm<=HarmNo;harm++)
{
Freq(x,w,m,c,s);
for(i=0;i<np;i++)
{
pv[i]+=m+c*MathCos(w*i)+s*MathSin(w*i);
if(i<=nf) fv[i]+=m+c*MathCos(w*i)-s*MathSin(w*i);
}
}
//Reorder the predicted vector
for(i=0;i<=(nf-1)/2;i++)
{
double tmp=fv[i];
fv[i]=fv[nf-i];
fv[nf-i]=tmp;
}
return(0);
}
//+--------------------------------------------------------------------------------------+
//Quinn and Fernandes algorithm
void Freq(double x[], double& w, double& m, double& c, double& s)
{
double z[],num,den;
ArrayResize(z,np);
double a=0.0;
double b=2.0;
z[0]=x[0]-pv[0];
while(MathAbs(a-b)>FreqTOL)
{
a=b;
z[1]=x[1]-pv[1]+a*z[0];
num=z[0]*z[1];
den=z[0]*z[0];
for(int i=2;i<np;i++)
{
z[i]=x[i]-pv[i]+a*z[i-1]-z[i-2];
num+=z[i-1]*(z[i]+z[i-2]);
den+=z[i-1]*z[i-1];
}
b=num/den;
}
w=MathArccos(b/2.0);
Fit(x,w,m,c,s);
return;
}
//+-------------------------------------------------------------------------+
void Fit(double x[], double w, double& m, double& c, double& s)
{
double Sc=0.0;
double Ss=0.0;
double Scc=0.0;
double Sss=0.0;
double Scs=0.0;
double Sx=0.0;
double Sxc=0.0;
double Sxs=0.0;
for(int i=0;i<np;i++)
{
double cos=MathCos(w*i);
double sin=MathSin(w*i);
Sc+=cos;
Ss+=sin;
Scc+=cos*cos;
Sss+=sin*sin;
Scs+=cos*sin;
Sx+=(x[i]-pv[i]);
Sxc+=(x[i]-pv[i])*cos;
Sxs+=(x[i]-pv[i])*sin;
}
Sc/=np;
Ss/=np;
Scc/=np;
Sss/=np;
Scs/=np;
Sx/=np;
Sxc/=np;
Sxs/=np;
if(w==0.0)
{
m=Sx;
c=0.0;
s=0.0;
}
else
{
//calculating c, s, and m
double den=MathPow(Scs-Sc*Ss,2)-(Scc-Sc*Sc)*(Sss-Ss*Ss);
c=((Sxs-Sx*Ss)*(Scs-Sc*Ss)-(Sxc-Sx*Sc)*(Sss-Ss*Ss))/den;
s=((Sxc-Sx*Sc)*(Scs-Sc*Ss)-(Sxs-Sx*Ss)*(Scc-Sc*Sc))/den;
m=Sx-c*Sc-s*Ss;
}
return;
}
Sample
Analysis
Market Information Used:
Indicator Curves created:
Implements a curve of type DRAW_LINE
Indicators Used:
Larry William percent range indicator
Custom Indicators Used:
Order Management characteristics:
Other Features: