//+------------+-----------------------------------------------------+ //| 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 0.75 #property indicator_level4 -0.75 #property indicator_level5 0 #property indicator_levelcolor Black #property indicator_buffers 1 #property indicator_color1 Blue //---- input parameters //---- Snake extern int SnakeRange =14; extern int FilterPeriod =21; extern double MartFiltr =2; extern int PriceConst =6; // 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[]; #define SIGNAL_BAR 1 //---- 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; } //---- Ñòàòè÷åñêèå ïåðåìåííûå, â êîòîðûõ õðàíÿòñÿ //---- âðåìÿ ïîñëåäíåãî áàðà è íàïðàâëåíèå ïîñëåäíåãî ñèãíàëà static int PrevTime = 0; //---- Åñëè áàðîì äëÿ àíàëèçà âûáðàí íå 0-é, íàì íåò ñìûñëà ïðîâåðÿòü ñèãíàë //---- íåñêîëüêî ðàç. Åñëè íå íà÷àëñÿ íîâûé áàð, âûõîäèì. if(SIGNAL_BAR > 0 && Time[0] <= PrevTime ) return(0); //---- Îòìå÷àåì, ÷òî ýòîò áàð ïðîâåðåí PrevTime = Time[0]; { if(SRCBuffer[SIGNAL_BAR+1] - 0.9 >= 0 && SRCBuffer[SIGNAL_BAR]-0.9 <= 0) { Alert("SSRC lvl 0.9 (", Symbol(), ", ", Period(), ") - SELL!!!"); } } { if(SRCBuffer[SIGNAL_BAR] + 0.9 >= 0 && SRCBuffer[SIGNAL_BAR+1] + 0.9 <= 0) { Alert("SSRC lvl 0.9 (", Symbol(), ", ", Period(), ") - BUY!!!"); } } 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
Series array that contains open time 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:
It issuies visual alerts to the screen