//+------------------------------------------------------------------+
//| SpearmanRankCorrelation.mq4 |
//| Copyright © 2007, MetaQuotes Software Corp. |
//| http://www.metaquotes.net |
//+------------------------------------------------------------------+
// http://www.improvedoutcomes.com/docs/WebSiteDocs/Clustering/
// Clustering_Parameters/Spearman_Rank_Correlation_Distance_Metric.htm
// http://www.infamed.com/stat/s05.html
#property copyright "Copyright © 2007, MetaQuotes Software Corp."
#property link "http://www.metaquotes.net"
//----
#property indicator_separate_window
#property indicator_buffers 1
#property indicator_color1 DarkBlue
//---- input parameters
extern int rangeN = 14;
extern int CalculatedBars = 0;
extern int Maxrange = 30;
extern bool direction = true;
//---- buffers
double ExtMapBuffer1[];
double R2[];
double multiply;
int PriceInt[];
int SortInt[];
//+------------------------------------------------------------------+
//| calculate RSP function |
//+------------------------------------------------------------------+
double SpearmanRankCorrelation(double Ranks[], int N)
{
//----
double res,z2;
int i;
for(i = 0; i < N; i++)
{
z2 += MathPow(Ranks[i] - i - 1, 2);
}
res = 1 - 6*z2 / (MathPow(N,3) - N);
//----
return(res);
}
//+------------------------------------------------------------------+
//| Ranking array of prices function |
//+------------------------------------------------------------------+
void RankPrices(int InitialArray[])
{
//----
int i, k, m, dublicat, counter, etalon;
double dcounter, averageRank;
double TrueRanks[];
ArrayResize(TrueRanks, rangeN);
ArrayCopy(SortInt, InitialArray);
for(i = 0; i < rangeN; i++)
TrueRanks[i] = i + 1;
if(direction)
ArraySort(SortInt, 0, 0, MODE_DESCEND);
else
ArraySort(SortInt, 0, 0, MODE_ASCEND);
for(i = 0; i < rangeN-1; i++)
{
if(SortInt[i] != SortInt[i+1])
continue;
dublicat = SortInt[i];
k = i + 1;
counter = 1;
averageRank = i + 1;
while(k < rangeN)
{
if(SortInt[k] == dublicat)
{
counter++;
averageRank += k + 1;
k++;
}
else
break;
}
dcounter = counter;
averageRank = averageRank / dcounter;
for(m = i; m < k; m++)
TrueRanks[m] = averageRank;
i = k;
}
for(i = 0; i < rangeN; i++)
{
etalon = InitialArray[i];
k = 0;
while(k < rangeN)
{
if(etalon == SortInt[k])
{
R2[i] = TrueRanks[k];
break;
}
k++;
}
}
//----
return;
}
//+------------------------------------------------------------------+
//| Custom indicator initialization function |
//+------------------------------------------------------------------+
int init()
{
//---- indicators
SetIndexStyle(0, DRAW_LINE);
SetIndexBuffer(0, ExtMapBuffer1);
ArrayResize(R2, rangeN);
ArrayResize(PriceInt, rangeN);
ArrayResize(SortInt, rangeN);
if(Maxrange <= 0)
Maxrange = 10;
if(rangeN > Maxrange)
IndicatorShortName("Decrease rangeN input!");
else
IndicatorShortName("Spearman(" + rangeN + ")");
if(CalculatedBars < 0)
CalculatedBars = 0;
multiply = MathPow(10, Digits);
//----
return(0);
}
//+------------------------------------------------------------------+
//| Custom indicator deinitialization function |
//+------------------------------------------------------------------+
int deinit()
{
//----
return(0);
}
//+------------------------------------------------------------------+
//| Custom indicator iteration function |
//+------------------------------------------------------------------+
int start()
{
int counted_bars = IndicatorCounted();
//----
if(rangeN > Maxrange)
return(-1);
int i, k, limit;
if(counted_bars == 0)
{
if(CalculatedBars == 0)
limit = Bars - rangeN;
else
limit = CalculatedBars;
}
if(counted_bars > 0)
limit = Bars - counted_bars;
for(i = limit; i >= 0; i--)
{
for(k = 0; k < rangeN; k++)
PriceInt[k] = Close[i+k]*multiply;
RankPrices(PriceInt);
ExtMapBuffer1[i] = SpearmanRankCorrelation(R2,rangeN);
}
//----
return(0);
}
//+------------------------------------------------------------------+
Sample
Analysis
Market Information Used:
Series array that contains close prices for each bar
Indicator Curves created:
Implements a curve of type DRAW_LINE
Indicators Used:
Custom Indicators Used:
Order Management characteristics:
Other Features: