//+------------------------------------------------------------------+
//| TwoPoleButterworthFilter.mq4 |
//| |
//| Two-Pole Butterworth Filter |
//| |
//| Algorithm taken from book |
//| "Cybernetics Analysis for Stock and Futures" |
//| by John F. Ehlers |
//| |
//| contact@mqlsoft.com |
//| http://www.mqlsoft.com/ |
//+------------------------------------------------------------------+
#property copyright "Coded by Witold Wozniak"
#property link "www.mqlsoft.com"
#property indicator_chart_window
#property indicator_buffers 1
#property indicator_color1 Red
extern int CutoffPeriod = 15;
double Filter[];
int buffers = 0;
int drawBegin = 0;
double tempReal, rad2Deg, deg2Rad;
double coef1, coef2, coef3;
int init() {
drawBegin = 4;
initBuffer(Filter, "Two-Pole Butterworth Filter", DRAW_LINE);
IndicatorBuffers(buffers);
IndicatorShortName("Two-Pole Butterworth Filter [" + CutoffPeriod + "]");
tempReal = MathArctan(1.0);
rad2Deg = 45.0 / tempReal;
deg2Rad = 1.0 / rad2Deg;
double a1 = MathExp(-1.414 * 3.14159 / CutoffPeriod);
double b1 = 2 * a1 * MathCos(deg2Rad * 1.414 * 180 / CutoffPeriod);
coef2 = b1;
coef3 = -a1 * a1;
coef1 = (1.0 - b1 + a1 * a1) / 4.0;
return (0);
}
int start() {
if (Bars <= drawBegin) return (0);
int countedBars = IndicatorCounted();
if (countedBars < 0) return (-1);
if (countedBars > 0) countedBars--;
int s, limit = Bars - countedBars - 1;
for (s = limit; s >= 0; s--) {
Filter[s] = coef1 * (P(s) + 2.0 * P(s + 1) + P(s + 2)) +
coef2 * Filter[s + 1] +
coef3 * Filter[s + 2];
if (s > Bars - 4) {
Filter[s] = P(s);
}
}
return (0);
}
double P(int index) {
return ((High[index] + Low[index]) / 2.0);
}
void initBuffer(double array[], string label = "", int type = DRAW_NONE, int arrow = 0, int style = EMPTY, int width = EMPTY, color clr = CLR_NONE) {
SetIndexBuffer(buffers, array);
SetIndexLabel(buffers, label);
SetIndexEmptyValue(buffers, EMPTY_VALUE);
SetIndexDrawBegin(buffers, drawBegin);
SetIndexShift(buffers, 0);
SetIndexStyle(buffers, type, style, width);
SetIndexArrow(buffers, arrow);
buffers++;
}
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 type
Indicators Used:
Custom Indicators Used:
Order Management characteristics:
Other Features: