//+------------+-----------------------------------------------------+
//| v.12.04.07 | SSRC.mq4 |
//+------------+ Spearman, |
//| | Rosh |
//| | È ïðèìàçàâøèéñÿ ê íèì |
//| | Bookkeeper, 2007, yuzefovich@gmail.com |
//+------------+-----------------------------------------------------+
// http://www.improvedoutcomes.com/docs/WebSiteDocs/Clustering/
// Clustering_Parameters/Spearman_Rank_Correlation_Distance_Metric.htm
// http://www.infamed.com/stat/s05.html
// http://www.metaquotes.net
// http://codebase.mql4.com/ru/1023
#property copyright ""
#property link "http://www.forexter.land.ru/indicators.htm"
//----
#property indicator_separate_window
#property indicator_maximum 1.3
#property indicator_minimum -1.3
#property indicator_level1 0.9
#property indicator_level2 -0.9
#property indicator_level3 0.8
#property indicator_level4 -0.8
#property indicator_level5 0.7
#property indicator_level6 -0.7
#property indicator_levelcolor DimGray
#property indicator_buffers 1
#property indicator_color1 Maroon
//---- input parameters
//---- Snake
extern int SnakeRange =3;
extern int FilterPeriod =21;
extern double MartFiltr =2;
extern int PriceConst =0; // 0 - Close
// 1 - Open
// 2 - High
// 3 - Low
// 4 - (H+L)/2
// 5 - (H+L+C)/3
// 6 - (H+L+2*C)/4
//---- buffers
double SRCBuffer[];
double Axis[];
double Mart[];
//---- SpearmanRankCorrelation
int rangeN = 14; // = 30 maximum
double R2[];
double multiply;
int PriceInt[];
int SortInt[];
//+------------------------------------------------------------------+
void MartAxis(int Pos) { int SnakeWeight,i,w,ww,Shift;double SnakeSum;
switch(PriceConst) {
case 0:
Axis[Pos]=iMA(NULL,0,SnakeRange+1,0,MODE_LWMA,PRICE_CLOSE,Pos);
break;
case 1:
Axis[Pos]=iMA(NULL,0,SnakeRange+1,0,MODE_LWMA,PRICE_OPEN,Pos);
break;
case 2:
Axis[Pos]=iMA(NULL,0,SnakeRange+1,0,MODE_LWMA,PRICE_HIGH,Pos);
break;
case 3:
Axis[Pos]=iMA(NULL,0,SnakeRange+1,0,MODE_LWMA,PRICE_LOW,Pos);
break;
case 4:
Axis[Pos]=iMA(NULL,0,SnakeRange+1,0,MODE_LWMA,PRICE_MEDIAN,Pos);
break;
case 5:
Axis[Pos]=iMA(NULL,0,SnakeRange+1,0,MODE_LWMA,PRICE_TYPICAL,Pos);
break;
case 6:
Axis[Pos]=iMA(NULL,0,SnakeRange+1,0,MODE_LWMA,PRICE_WEIGHTED,Pos);
break;
default:
Axis[Pos]=iMA(NULL,0,SnakeRange+1,0,MODE_LWMA,PRICE_WEIGHTED,Pos);
break; }
for(Shift=Pos+SnakeRange+2;Shift>Pos;Shift--) { SnakeSum=0.0;
SnakeWeight=0; i=0; w=Shift+SnakeRange; ww=Shift-SnakeRange;
if(ww<Pos) ww=Pos;
while(w>=Shift) { i++; SnakeSum=SnakeSum+i*SnakePrice(w);
SnakeWeight=SnakeWeight+i; w--; }
while(w>=ww) { i--; SnakeSum=SnakeSum+i*SnakePrice(w);
SnakeWeight=SnakeWeight+i; w--; }
Axis[Shift]=SnakeSum/SnakeWeight; } return; }
//----
double SnakePrice(int Shift) {
switch(PriceConst) {
case 0: return(Close[Shift]);
case 1: return(Open[Shift]);
case 2: return(High[Shift]);
case 3: return(Low[Shift]);
case 4: return((High[Shift]+Low[Shift])/2);
case 5: return((Close[Shift]+High[Shift]+Low[Shift])/3);
case 6: return((2*Close[Shift]+High[Shift]+Low[Shift])/4);
default: return(Close[Shift]); } }
//+------------------------------------------------------------------+
void SmoothOverMart(int Shift) { double t,b;
t=Axis[ArrayMaximum(Axis,FilterPeriod,Shift)];
b=Axis[ArrayMinimum(Axis,FilterPeriod,Shift)];
Mart[Shift]=(2*(2+MartFiltr)*Axis[Shift]-(t+b))/2/(1+MartFiltr);
return; }
//+------------------------------------------------------------------+
double SpearmanRankCorrelation(double Ranks[], int N) { double res,z2;
for(int i=0;i<N;i++) { z2 += MathPow(Ranks[i] - i - 1, 2); }
res=1-6*z2/(MathPow(N,3)-N); return(res); }
//+------------------------------------------------------------------+
void RankPrices(int InitialArray[]) { double dcounter, averageRank;
int i, k, m, dublicat, counter, etalon; double TrueRanks[];
ArrayResize(TrueRanks, rangeN); ArrayCopy(SortInt, InitialArray);
for(i=0;i<rangeN;i++) TrueRanks[i]=i+1;
ArraySort(SortInt, 0, 0, MODE_DESCEND);
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; }
//+------------------------------------------------------------------+
int init() { IndicatorBuffers(3);
SetIndexBuffer(0,SRCBuffer); SetIndexStyle(0,DRAW_LINE);
SetIndexBuffer(1,Axis); SetIndexStyle(1,DRAW_NONE);
SetIndexBuffer(2,Mart); SetIndexStyle(2,DRAW_NONE);
ArrayResize(R2,rangeN); ArrayResize(PriceInt,rangeN);
ArrayResize(SortInt,rangeN);
if(rangeN>30) IndicatorShortName("Decrease rangeN input!");
else
IndicatorShortName("SSRC( SR:"+SnakeRange+", FP:"+FilterPeriod+" )");
multiply=MathPow(10,Digits); return(0); }
//+------------------------------------------------------------------+
int deinit() { return(0); }
//+------------------------------------------------------------------+
int start() { int i,k,limit,limit2,limit3;
int counted_bars=IndicatorCounted(); if(rangeN>30) return(-1);
if(counted_bars==0) {
limit=Bars-(rangeN+FilterPeriod+SnakeRange+4);
limit2=Bars-(SnakeRange+2);
limit3=Bars-(FilterPeriod+SnakeRange+3); }
if(counted_bars>0) {
limit=Bars-counted_bars+1; limit2=limit; limit3=limit; }
for(i=limit2;i>=0;i--) MartAxis(i);
for(i=limit3;i>=0;i--) SmoothOverMart(i);
for(i=limit;i>=0;i--) {
for(k=0;k<rangeN;k++) PriceInt[k]=Mart[i+k]*multiply;
RankPrices(PriceInt); SRCBuffer[i]=SpearmanRankCorrelation(R2,rangeN);
if(SRCBuffer[i]>1.0) SRCBuffer[i]=1.0;
if(SRCBuffer[i]<-1.0) SRCBuffer[i]=-1.0; } return(0); }
//+------------------------------------------------------------------+
Sample
Analysis
Market Information Used:
Series array that contains close prices for each bar
Series array that contains open prices of each bar
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
Implements a curve of type DRAW_NONE
Indicators Used:
Moving average indicator
Custom Indicators Used:
Order Management characteristics:
Other Features: