//+------------------------------------------------------------------+
//| iVAR.mq4 |
//| (C)opyright © 2008, Ilnur |
//| http://www.metaquotes.net |
//+------------------------------------------------------------------+
// Èíäèêàòîð îòîáðàæàåò èíäåêñ âàðèàöèè öåíîâîãî ðÿäà, âû÷èñëåííîãî
// íà ìèíèìàëüíîì ïðåäøåñòâóþùåì èíòåðâàëå äëèíû 2^n. Èíäåêñ âàðèàöèè
// ïîêàçûâàåò, ÷òî ïðåîáëàäàåò âî âðåìåííîì ðÿäó – òðåíäîâàÿ èëè ôëåòîâàÿ
// ñîñòàâëÿþùàÿ, èëè æå ðÿä âåäåò ñåáÿ ñëó÷àéíî.
// Ì.Ì. Äóáîâèêîâ è äð. - Ðàçìåðíîñòü ìèíèìàëüíîãî ïîêðûòèÿ è ëîêàëüíûé
// àíàëèç ôðàêòàëüíûõ âðåìåííûõ ðÿäîâ.
#property copyright "(C)opyright © 2008, Ilnur"
#property link "http://www.metaquotes.net"
//---- íàñòðîéêè èíäèêàòîðà
#property indicator_separate_window
#property indicator_buffers 1
#property indicator_color1 Red
#property indicator_level1 0.5
//---- âõîäíûå ïàðàìåòðû
extern int n = 5;
//---- áóôåð èíäèêàòîðà
double ibuffer[];
//+------------------------------------------------------------------+
//| Ôóíêöèÿ èíèöèàëèçàöèè èíäèêàòîðà |
//+------------------------------------------------------------------+
int init()
{
//---- íàñòðîéêà ïàðàìåòðîâ îòðèñîâêè
SetIndexBuffer(0,ibuffer);
SetIndexStyle(0,DRAW_LINE);
SetIndexDrawBegin(0,MathPow(2,n));
SetIndexLabel(0,"iVAR");
//---- "êîðîòêîå èìÿ" îòîáðàæàåìîå â îêíå èíäèêàòîðà
IndicatorShortName("iVAR("+n+")");
return(0);
}
//+------------------------------------------------------------------+
//| Îñíîâíàÿ ôóíêöèÿ èíäèêàòîðà |
//+------------------------------------------------------------------+
int start()
{
int i, j, k, nTotal, nCountedBars = IndicatorCounted();
int ihigh, ilow, nInterval, nWindow = MathPow(2,n);
double Delta, Xñ, Yñ, Sx, Sy, Sxx, Sxy;
//---- ïîñëåäíèé ïîñ÷èòàííûé áàð áóäåò ïåðåñ÷èòàí
nTotal = Bars-nWindow;
if(nCountedBars>nWindow) nTotal = Bars-nCountedBars-1;
//---- îñíîâíîé öèêë èíäèêàòîðà
for(j=nTotal; j>=0; j--)
{
Sx = 0; Sy = 0; Sxx = 0; Sxy = 0;
for(i=0; i<=n; i++)
{
nInterval = MathPow(2,n-i);
//---- ñóììèðóåì ðàçíèöû ìàêñèìàëüíîé è ìèíèìàëüíîé öåí íà èíòåðâàëå
for(Delta=0, k=0; k<MathPow(2,i); k++)
{
ihigh = iHighest(Symbol(),0,MODE_HIGH,nInterval,nInterval*k+j);
ilow = iLowest(Symbol(),0,MODE_LOW,nInterval,nInterval*k+j);
Delta += High[ihigh]-Low[ilow];
}
//---- âû÷èñëÿåì êîîðäèíàòû âàðèàöèè â äâîéíîì ëîãàðèôìè÷åñêîì ìàñøòàáå
Xñ = (n-i)*MathLog(2.0);
Yñ = MathLog(Delta);
//---- íàêàïëèâàåì äàííûå äëÿ íàõîæäåíèÿ êîýôôèöèåíòîâ ëèíèè ðåãðåññèè ñ ïîìîùüþ ÌÍÊ
Sx += Xñ;
Sy += Yñ;
Sxx += Xñ*Xñ;
Sxy += Xñ*Yñ;
}
//---- âû÷èñëÿåì èíäåêñ âàðèàöèè (êîýôôèöèåíò íàêëîíà ëèíèè ðåãðåññèè)
ibuffer[j] = -(Sx*Sy-(n+1)*Sxy)/(Sx*Sx-(n+1)*Sxx);
}
return(0);
}
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: