//+------------------------------------------------------------------+
//| LR R2 trend.mq4 |
//| mladen |
//+------------------------------------------------------------------+
#property copyright "mladen"
#property link "mladenfx@gmail.com"
#property indicator_separate_window
#property indicator_buffers 7
#property indicator_color1 Green
#property indicator_color2 DarkGreen
#property indicator_color3 Maroon
#property indicator_color4 Red
#property indicator_color5 SlateBlue
#property indicator_color6 DimGray
#property indicator_color7 Yellow
#property indicator_width1 2
#property indicator_width4 2
#property indicator_width5 2
#property indicator_width6 1
#property indicator_width7 1
//
//
//
//
//
extern int Length = 34;
extern int AppliedPrice = PRICE_CLOSE;
extern int BBSqzPrd = 20;
extern double SqzSigLevel = 0.00004;//0;
int bolPrd = 20;
double bolDev = 2.0;
int keltPrd = 20;
double keltFactor= 1.5;
extern string TimeFrame = "current timeframe";
extern string note_TimeFrames = "M1;5,15,30,60H1;240H4;1440D1;10080W1;43200MN|0-currentTF";
//
//
//
//
//
double Buffer[];
double LRSBuffer[];
double LRSBufferUa[];
double LRSBufferUb[];
double LRSBufferDa[];
double LRSBufferDb[];
double RSQBuffer[];
double BBSqBuffer[];
//
//
//
//
//
int timeFrame;
double Trending;
string IndicatorFileName;
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
//
//
//
//
//
int init()
{
IndicatorDigits(5);
IndicatorBuffers(8);
SetIndexBuffer(0,LRSBufferUa); SetIndexLabel(0,"LR up");
SetIndexBuffer(1,LRSBufferUb); SetIndexLabel(1,"LR weak up");
SetIndexBuffer(2,LRSBufferDa); SetIndexLabel(2,"LR down");
SetIndexBuffer(3,LRSBufferDb); SetIndexLabel(3,"LR weak down");
SetIndexBuffer(4,Buffer); SetIndexLabel(4,"no trend");
SetIndexBuffer(5,LRSBuffer); SetIndexLabel(5,"LR regression slope");
SetIndexBuffer(6,BBSqBuffer); SetIndexLabel(6,"BB Squeeze");
SetIndexBuffer(7,RSQBuffer);
for (int i = 0; i < 4; i++) SetIndexStyle(i,DRAW_HISTOGRAM);
SetIndexStyle(4,DRAW_ARROW);
SetIndexArrow(4,158);
SetIndexStyle(6,DRAW_ARROW);
SetIndexArrow(6,158);
//
//
//
//
//
timeFrame = stringToTimeFrame(TimeFrame);
IndicatorShortName("LRR2Trend "+TimeFrameToString(timeFrame)+" ("+Length+")");
IndicatorFileName = WindowExpertName();
Trending = 3.858889/Length;
return(0);
}
//
//
//
//
//
int deinit()
{
return(0);
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
//
//
//
//
//
int start()
{
int counted_bars=IndicatorCounted();
int i,limit;
if (counted_bars<0) return(-1);
if (counted_bars>0) counted_bars--;
limit=Bars-counted_bars;
// //
//
//
//
if (timeFrame != Period())
{
datetime TimeArray[];
limit = MathMax(limit,timeFrame/Period());
ArrayCopySeries(TimeArray ,MODE_TIME ,NULL,timeFrame);
//
//
//
//
//
for(i=0,int y=0; i<limit; i++)
{
if(Time[i]<TimeArray[y]) y++;
LRSBufferUa[i] = iCustom(NULL,timeFrame,IndicatorFileName,Length,AppliedPrice,BBSqzPrd,SqzSigLevel,0,y);
LRSBufferUb[i] = iCustom(NULL,timeFrame,IndicatorFileName,Length,AppliedPrice,BBSqzPrd,SqzSigLevel,1,y);
LRSBufferDa[i] = iCustom(NULL,timeFrame,IndicatorFileName,Length,AppliedPrice,BBSqzPrd,SqzSigLevel,2,y);
LRSBufferDb[i] = iCustom(NULL,timeFrame,IndicatorFileName,Length,AppliedPrice,BBSqzPrd,SqzSigLevel,3,y);
Buffer[i] = iCustom(NULL,timeFrame,IndicatorFileName,Length,AppliedPrice,BBSqzPrd,SqzSigLevel,4,y);
LRSBuffer[i] = iCustom(NULL,timeFrame,IndicatorFileName,Length,AppliedPrice,BBSqzPrd,SqzSigLevel,5,y);
BBSqBuffer[i] = iCustom(NULL,timeFrame,IndicatorFileName,Length,AppliedPrice,BBSqzPrd,SqzSigLevel,6,y);
}
return(0);
}
//
//
//
//
//
double diff,d,dPrev, std,bbs;
for (i=limit;i>=0;i--)
{
bolPrd =BBSqzPrd;
keltPrd = BBSqzPrd;
diff = iATR(NULL,0,keltPrd,i)*keltFactor;
std = iStdDev(NULL,0,bolPrd,MODE_SMA,0,PRICE_CLOSE,i);
// bbs = bolDev * std / diff; //!zero divide!
if (diff != 0)
bbs = bolDev * std / diff;
else bbs = 0;
if(bbs<1)
{
if (LRSBuffer[i]>0)
BBSqBuffer[i]= SqzSigLevel;
else
BBSqBuffer[i]= -SqzSigLevel;
}
else
{
BBSqBuffer[i]=EMPTY_VALUE;
}
//
//
//
LRSBuffer[i] = LinearRegressionSlope(Length,i);
RSQBuffer[i] = RSquared(Length,i);
//
//
//
//
//
Buffer[i] = EMPTY_VALUE;
LRSBufferUa[i] = EMPTY_VALUE;
LRSBufferUb[i] = EMPTY_VALUE;
LRSBufferDa[i] = EMPTY_VALUE;
LRSBufferDb[i] = EMPTY_VALUE;
if (RSQBuffer[i] < Trending) { Buffer[i] = 0.00; continue; }
if (LRSBuffer[i] > 0)
{
if (LRSBuffer[i] > LRSBuffer[i+1]) { LRSBufferUa[i] = LRSBuffer[i]; LRSBufferUb[i] = EMPTY_VALUE; }
if (LRSBuffer[i] < LRSBuffer[i+1]) { LRSBufferUb[i] = LRSBuffer[i]; LRSBufferUa[i] = EMPTY_VALUE; }
}
if (LRSBuffer[i] < 0)
{
if (LRSBuffer[i] < LRSBuffer[i+1]) { LRSBufferDa[i] = LRSBuffer[i]; LRSBufferDb[i] = EMPTY_VALUE; }
if (LRSBuffer[i] > LRSBuffer[i+1]) { LRSBufferDb[i] = LRSBuffer[i]; LRSBufferDa[i] = EMPTY_VALUE; }
}
}
//
//
//
//
//
for(i=0;i<indicator_buffers;i++) SetIndexDrawBegin(i,Length);
return(0);
}
//---------------------------------------------------------------------------------|
// |
//---------------------------------------------------------------------------------|
//
//
//
//
//
int lrs.period=EMPTY_VALUE;
double lrs.sumX;
double lrs.sumXSqr;
double lrs.divisor;
//
//
//
//
//
double LinearRegressionSlope(int len,int shift)
{
double LinearRegSlope;
double SumXY = 0;
double SumY = 0;
//
//
//
//
//
if (lrs.period != len)
{
lrs.period = len;
lrs.sumX = lrs.period * (lrs.period-1) / 2;
lrs.sumXSqr = lrs.period * (lrs.period-1) * (2 * lrs.period - 1) / 6;
lrs.divisor = MathPow(lrs.sumX,2) - lrs.period * lrs.sumXSqr;
}
//
//
//
//
//
for (int i=0; i<lrs.period; i++)
{
double price = iMA(NULL,0,1,0,MODE_EMA,AppliedPrice,i+shift);
SumXY += i*price;
SumY += price;
}
if( lrs.divisor != 0 )
LinearRegSlope = (lrs.period * SumXY - lrs.sumX * SumY)/lrs.divisor;
else LinearRegSlope = 0;
return (LinearRegSlope);
}
//---------------------------------------------------------------------------------|
// |
//---------------------------------------------------------------------------------|
//
//
//
//
//
double rs.len = EMPTY_VALUE;
double rs.SumX;
double rs.SumY;
double rs.SumX2;
double rs.SumY2;
double rs.SumXY;
double rs.SumR;
//
//
//
//
//
double RSquared(int Len,int shift)
{
double RSquared;
double price;
double Q1;
double Q2;
double Q3;
int i;
if (rs.len != Len)
{
rs.len = Len;
rs.SumX = 0; for(i=0;i<=Len-1;i++) rs.SumX += i+1;
rs.SumX2 = 0; for(i=0;i<=Len-1;i++) rs.SumX2 += (i+1)*(i+1);
}
rs.SumY = 0;
rs.SumY2 = 0;
rs.SumXY = 0;
//
//
//
//
//
for(i=0;i<Len;i++)
{
price = iMA(NULL,0,1,0,MODE_EMA,AppliedPrice,i+shift);
rs.SumY += price;
rs.SumY2 += MathPow(price,2);
rs.SumXY += (i+1)*price;
}
Q1 = rs.SumXY - rs.SumX*rs.SumY/Len;
Q2 = rs.SumX2 - rs.SumX*rs.SumX/Len;
Q3 = rs.SumY2 - rs.SumY*rs.SumY/Len;
//
//
//
//
//
if( Q2*Q3 != 0 ) RSquared = Q1*Q1/(Q2*Q3);
else RSquared = 0;
return(RSquared);
}
//+------------------------------------------------------------------+
//|
//+------------------------------------------------------------------+
//
//
//
//
//
int stringToTimeFrame(string tfs)
{
int tf=0;
tfs = StringTrimLeft(StringTrimRight(StringUpperCase(tfs)));
if (tfs=="M1" || tfs=="1M" ||tfs=="1" ) tf=PERIOD_M1;
if (tfs=="M5" || tfs=="5M" ||tfs=="5" ) tf=PERIOD_M5;
if (tfs=="M15"|| tfs=="15M"||tfs=="15") tf=PERIOD_M15;
if (tfs=="M30"|| tfs=="30M"||tfs=="30") tf=PERIOD_M30;
if (tfs=="H1" || tfs=="1H" ||tfs=="60" || tfs=="H" ) tf=PERIOD_H1;
if (tfs=="H4" || tfs=="4H" ||tfs=="240") tf=PERIOD_H4;
if (tfs=="D1" || tfs=="1D" ||tfs=="1440" || tfs=="D") tf=PERIOD_D1;
if (tfs=="W1" || tfs=="1W" ||tfs=="10080"|| tfs=="W") tf=PERIOD_W1;
if (tfs=="MN" || tfs=="MN1"||tfs=="43200"|| tfs=="1MN")tf=PERIOD_MN1;
if (tf<Period()) tf=Period();
return(tf);
}
string TimeFrameToString(int tf)
{
string tfs="";
if (tf!=Period())
switch(tf) {
case PERIOD_M1: tfs="M1" ; break;
case PERIOD_M5: tfs="M5" ; break;
case PERIOD_M15: tfs="M15" ; break;
case PERIOD_M30: tfs="M30" ; break;
case PERIOD_H1: tfs="H1" ; break;
case PERIOD_H4: tfs="H4" ; break;
case PERIOD_D1: tfs="D1" ; break;
case PERIOD_W1: tfs="W1" ; break;
case PERIOD_MN1: tfs="MN1";
}
return(tfs);
}
//
//
//
//
//
string StringUpperCase(string str)
{
string s = str;
int lenght = StringLen(str) - 1;
int char;
while(lenght >= 0)
{
char = StringGetChar(s, lenght);
//
//
//
//
//
if((char > 96 && char < 123) || (char > 223 && char < 256))
s = StringSetChar(s, lenght, char - 32);
else
if(char > -33 && char < 0)
s = StringSetChar(s, lenght, char + 224);
lenght--;
}
//
//
//
//
//
return(s);
}
Sample
Analysis
Market Information Used:
Series array that contains open time of each bar
Indicator Curves created:
Implements a curve of type DRAW_HISTOGRAM
Implements a curve of type DRAW_ARROW
Indicators Used:
Indicator of the average true range
Standard Deviation indicator
Moving average indicator
Custom Indicators Used:
IndicatorFileName
Order Management characteristics:
Other Features: