//+------------------------------------------------------------------+
//| AllStochastics_v2.mq4 |
//| Copyright © 2007-08, TrendLaboratory |
//| http://finance.groups.yahoo.com/group/TrendLaboratory |
//| E-mail: igorad2003@yahoo.co.uk |
//+------------------------------------------------------------------+
// List of MAs:
// MA_Method= 0: SMA - Simple Moving Average
// MA_Method= 1: EMA - Exponential Moving Average
// MA_Method= 2: Wilder - Wilder Exponential Moving Average
// MA_Method= 3: LWMA - Linear Weighted Moving Average
// MA_Method= 4: SineWMA - Sine Weighted Moving Average
// MA_Method= 5: TriMA - Triangular Moving Average
// MA_Method= 6: LSMA - Least Square Moving Average (or EPMA, Linear Regression Line)
// MA_Method= 7: SMMA - Smoothed Moving Average
// MA_Method= 8: HMA - Hull Moving Average by Alan Hull
// MA_Method= 9: ZeroLagEMA - Zero-Lag Exponential Moving Average
// MA_Method=10: DEMA - Double Exponential Moving Average by Patrick Mulloy
// MA_Method=11: T3 - T3 by T.Tillson
// MA_Method=12: ITrend - Instantaneous Trendline by J.Ehlers
// MA_Method=13: Median - Moving Median
// MA_Method=14: GeoMean - Geometric Mean
// MA_Method=15: REMA - Regularized EMA by Chris Satchwell
// MA_Method=16: ILRS - Integral of Linear Regression Slope
// MA_Method=17: IE/2 - Combination of LSMA and ILRS
#property copyright "Copyright © 2007-08, TrendLaboratory"
#property link "http://finance.groups.yahoo.com/group/TrendLaboratory"
#property indicator_separate_window
#property indicator_buffers 2
#property indicator_color1 LightBlue
#property indicator_width1 2
#property indicator_color2 Orange
#property indicator_width2 1
#property indicator_style2 2
#property indicator_minimum 0
#property indicator_maximum 100
#property indicator_level1 30
#property indicator_level2 70
//---- indicator parameters
extern int TimeFrame = 0;
extern int Sto_Period = 5;
extern int Smooth = 3;
extern int Signal = 3;
extern int SmoothMode = 0;
extern int SignalMode = 0;
extern int Price = 0;
//---- indicator buffers
double Sto[];
double Sig[];
//----
double tmp[][12];
int draw_begin, pBars, mcnt_bars;
string TF, fast_name, slow_name;
//+------------------------------------------------------------------+
//| Custom indicator initialization function |
//+------------------------------------------------------------------+
int init()
{
//---- drawing settings
SetIndexStyle(0,DRAW_LINE);
SetIndexStyle(1,DRAW_LINE);
draw_begin=Sto_Period+Smooth+Signal;
//---- indicator name
switch(SmoothMode)
{
case 1 : fast_name="EMA"; break;
case 2 : fast_name="Wilder"; break;
case 3 : fast_name="LWMA"; break;
case 4 : fast_name="SineWMA"; break;
case 5 : fast_name="TriMA"; break;
case 6 : fast_name="LSMA"; break;
case 7 : fast_name="SMMA"; break;
case 8 : fast_name="HMA"; break;
case 9 : fast_name="ZeroLagEMA"; break;
case 10: fast_name="DEMA"; break;
case 11: fast_name="T3"; break;
case 12: fast_name="InstTrend"; break;
case 13: fast_name="Median"; break;
case 14: fast_name="GeometricMean"; break;
case 15: fast_name="REMA"; break;
case 16: fast_name="ILRS"; break;
case 17: fast_name="IE/2"; break;
default: SmoothMode=0; fast_name="SMA";
}
switch(SignalMode)
{
case 1 : slow_name="EMA"; break;
case 2 : slow_name="Wilder"; break;
case 3 : slow_name="LWMA"; break;
case 4 : slow_name="SineWMA"; break;
case 5 : slow_name="TriMA"; break;
case 6 : slow_name="LSMA"; break;
case 7 : slow_name="SMMA"; break;
case 8 : slow_name="HMA"; break;
case 9 : slow_name="ZeroLagEMA"; break;
case 10: slow_name="DEMA"; break;
case 11: slow_name="T3"; break;
case 12: slow_name="InstTrend"; break;
case 13: slow_name="Median"; break;
case 14: slow_name="GeometricMean"; break;
case 15: slow_name="REMA"; break;
case 16: slow_name="ILRS"; break;
case 17: slow_name="IE/2"; break;
default: SignalMode=0; slow_name="SMA";
}
switch(TimeFrame)
{
case 1 : TF = "M1" ; break;
case 5 : TF = "M5" ; break;
case 15 : TF = "M15"; break;
case 30 : TF = "M30"; break;
case 60 : TF = "H1" ; break;
case 240 : TF = "H4" ; break;
case 1440 : TF = "D1" ; break;
case 10080 : TF = "W1" ; break;
case 43200 : TF = "MN1"; break;
default : TF = "Current";
}
IndicatorShortName("AllStochastics["+TF+"] ("+Price+","+Sto_Period+","+fast_name+"("+Smooth+"),"+slow_name+"("+Signal+"))");
SetIndexDrawBegin(0,draw_begin);
SetIndexDrawBegin(1,draw_begin);
SetIndexLabel(0,"Sto");
SetIndexLabel(1,"Signal");
//---- indicator buffers mapping
SetIndexBuffer(0,Sto);
SetIndexBuffer(1,Sig);
//---- initialization done
if(TimeFrame == 0 || TimeFrame < Period()) TimeFrame = Period();
return(0);
}
//+------------------------------------------------------------------+
//| AllStochastics_v2 |
//+------------------------------------------------------------------+
int start()
{
int limit, y, i, shift, cnt_bars=IndicatorCounted();
double K[], mSto[], mSig[];
int mBars = iBars(NULL,TimeFrame);
if(mBars != pBars)
{
ArrayResize(K,mBars);
ArrayResize(mSto,mBars);
ArrayResize(mSig,mBars);
ArrayResize(tmp,mBars);
pBars = mBars;
}
if(cnt_bars<1)
{
for(i=1;i<=draw_begin;i++) {Sto[Bars-i]=0; Sig[Bars-i]=0;}
mcnt_bars = 1;
}
if(mcnt_bars > 1) mcnt_bars--;
for(y=mcnt_bars-1;y<mBars;y++)
{
shift = mBars-y-1;
double aPrice = iMA(NULL,TimeFrame,1,0,0,Price,shift);
double up = 0;
double dn = 10000000000;
for(i=0;i<Sto_Period;i++)
{
up = MathMax(up,iHigh(NULL,TimeFrame,shift+i));
dn = MathMin(dn,iLow(NULL,TimeFrame,shift+i));
}
if(up-dn > 0) K[y] = 100*(aPrice - dn)/(up - dn); else K[y] = 0;
switch(SmoothMode)
{
case 1 : mSto[y] = EMA(K[y],mSto,Smooth,y); break;
case 2 : mSto[y] = Wilder(K,mSto,Smooth,y); break;
case 3 : mSto[y] = LWMA(K,Smooth,y); break;
case 4 : mSto[y] = SineWMA(K,Smooth,y); break;
case 5 : mSto[y] = TriMA(K,Smooth,y); break;
case 6 : mSto[y] = LSMA(K,Smooth,y); break;
case 7 : mSto[y] = SMMA(K,mSto,Smooth,y); break;
case 8 : mSto[y] = HMA(K,Smooth,y); break;
case 9 : mSto[y] = ZeroLagEMA(K,mSto,Smooth,y); break;
case 10: mSto[y] = DEMA(0,K[y],Smooth,1,y); break;
case 11: mSto[y] = T3(0,K[y],Smooth,0.7,y); break;
case 12: mSto[y] = ITrend(K,mSto,Smooth,y); break;
case 13: mSto[y] = Median(K,Smooth,y); break;
case 14: mSto[y] = GeoMean(K,Smooth,y); break;
case 15: mSto[y] = REMA(K[y],mSto,Smooth,0.5,y); break;
case 16: mSto[y] = ILRS(K,Smooth,y); break;
case 17: mSto[y] = IE2(K,Smooth,y); break;
default: mSto[y] = SMA(K,Smooth,y); break;
}
switch(SignalMode)
{
case 1 : mSig[y] = EMA(mSto[y],mSig,Signal,y); break;
case 2 : mSig[y] = Wilder(mSto,mSig,Signal,y); break;
case 3 : mSig[y] = LWMA(mSto,Signal,y); break;
case 4 : mSig[y] = SineWMA(mSto,Signal,y); break;
case 5 : mSig[y] = TriMA(mSto,Signal,y); break;
case 6 : mSig[y] = LSMA(mSto,Signal,y); break;
case 7 : mSig[y] = SMMA(mSto,mSig,Signal,y); break;
case 8 : mSig[y] = HMA(mSto,Signal,y); break;
case 9 : mSig[y] = ZeroLagEMA(mSto,mSig,Signal,y); break;
case 10: mSig[y] = DEMA(6,mSto[y],Signal,1,y); break;
case 11: mSig[y] = T3(6,mSto[y],Signal,0.7,y); break;
case 12: mSig[y] = ITrend(mSto,mSig,Signal,y); break;
case 13: mSig[y] = Median(mSto,Signal,y); break;
case 14: mSig[y] = GeoMean(mSto,Signal,y); break;
case 15: mSig[y] = REMA(mSto[y],mSig,Signal,0.5,y); break;
case 16: mSig[y] = ILRS(mSto,Signal,y); break;
case 17: mSig[y] = IE2(mSto,Signal,y); break;
default: mSig[y] = SMA(mSto,Signal,y); break;
}
if(TimeFrame == Period()) {Sto[shift] = mSto[y]; Sig[shift] = mSig[y];}
}
mcnt_bars = mBars-1;
if(TimeFrame > Period())
{
if(cnt_bars>0) cnt_bars--;
limit = Bars-cnt_bars+TimeFrame/Period()-1;
for(shift=0,y=0;shift<limit;shift++)
{
if (Time[shift] < iTime(NULL,TimeFrame,y)) y++;
Sto[shift] = mSto[mBars-y-1];
Sig[shift] = mSig[mBars-y-1];
}
}
//---- done
return(0);
}
// MA_Method=0: SMA - Simple Moving Average
double SMA(double array[],int per,int bar)
{
double Sum = 0;
for(int i = 0;i < per;i++) Sum += array[bar-i];
//Print("SMA=",Sum/per);
return(Sum/per);
}
// MA_Method=1: EMA - Exponential Moving Average
double EMA(double price,double array[],int per,int bar)
{
if(bar == 2) double ema = price;
else
if(bar > 2) ema = array[bar-1] + 2.0/(1+per)*(price - array[bar-1]);
return(ema);
}
// MA_Method=2: Wilder - Wilder Exponential Moving Average
double Wilder(double array1[],double array2[],int per,int bar)
{
if(bar == per) double wilder = SMA(array1,per,bar);
else
if(bar > per) wilder = array2[bar-1] + (array1[bar] - array2[bar-1])/per;
return(wilder);
}
// MA_Method=3: LWMA - Linear Weighted Moving Average
double LWMA(double array[],int per,int bar)
{
double Sum = 0;
double Weight = 0;
for(int i = 0;i < per;i++)
{
Weight+= (per - i);
Sum += array[bar-i]*(per - i);
}
if(Weight>0) double lwma = Sum/Weight;
else lwma = 0;
return(lwma);
}
// MA_Method=4: SineWMA - Sine Weighted Moving Average
double SineWMA(double array[],int per,int bar)
{
double pi = 3.1415926535;
double Sum = 0;
double Weight = 0;
double del = 0.5*pi/per;
for(int i = 0;i < per;i++)
{
Weight+= MathSin(pi*(i+1)/(per+1));
Sum += array[bar-i]*MathSin(pi*(i+1)/(per+1));
}
if(Weight>0) double swma = Sum/Weight;
else swma = 0;
return(swma);
}
// MA_Method=5: TriMA - Triangular Moving Average
double TriMA(double array[],int per,int bar)
{
double sma[];
int len = MathCeil((per+1)*0.5);
ArrayResize(sma,len);
double sum=0;
for(int i = 0;i < len;i++)
{
sma[i] = SMA(array,len,bar-i);
sum +=sma[i];
}
double trima = sum/len;
return(trima);
}
// MA_Method=6: LSMA - Least Square Moving Average (or EPMA, Linear Regression Line)
double LSMA(double array[],int per,int bar)
{
double Sum=0;
for(int i=per; i>=1; i--) Sum += (i-(per+1)/3.0)*array[bar-per+i];
double lsma = Sum*6/(per*(per+1));
return(lsma);
}
// MA_Method=7: SMMA - Smoothed Moving Average
double SMMA(double array1[],double array2[],int per,int bar)
{
if(bar == per) double smma = SMA(array1,per,bar);
else
if(bar > per)
{
double Sum = 0;
for(int i = 0;i < per;i++) Sum += array1[bar-i-1];
smma = (Sum - array2[bar-1] + array1[bar])/per;
}
return(smma);
}
// MA_Method=8: HMA - Hull Moving Average by Alan Hull
double HMA(double array[],int per,int bar)
{
double tmp[];
int len = MathSqrt(per);
ArrayResize(tmp,len);
if(bar == per) double hma = array[bar];
else
if(bar > per)
{
for(int i = 0; i < len;i++) tmp[len-i-1] = 2*LWMA(array,per/2,bar-i) - LWMA(array,per,bar-i);
hma = LWMA(tmp,len,len-1);
}
return(hma);
}
// MA_Method=9: ZeroLagEMA - Zero-Lag Exponential Moving Average
double ZeroLagEMA(double array1[],double array2[],int per,int bar)
{
double alfa = 2.0/(1+per);
int lag = 0.5*(per - 1);
if(bar == lag) double zema = array1[bar];
else
if(bar > lag) zema = alfa*(2*array1[bar] - array1[bar-lag]) + (1-alfa)*array2[bar-1];
return(zema);
}
// MA_Method=10: DEMA - Double Exponential Moving Average by Patrick Mulloy
double DEMA(int num,double price,int per,double v,int bar)
{
if(bar == 2) {double dema = price; tmp[bar][num] = dema; tmp[bar][num+1] = dema;}
else
if(bar > 2)
{
tmp[bar][num] = tmp[bar-1][num] + 2.0/(1+per)*(price - tmp[bar-1][num]);
tmp[bar][num+1] = tmp[bar-1][num+1] + 2.0/(1+per)*(tmp[bar][num] - tmp[bar-1][num+1]);
dema = (1+v)*tmp[bar][num] - v*tmp[bar][num+1];
}
return(dema);
}
// MA_Method=11: T3 by T.Tillson
double T3(int num,double price,int per,double v,int bar)
{
if(bar == 2)
{
double T3 = price;
for(int k=0;k<=5;k++) tmp[bar][k] = T3;
}
else
if(bar > 2)
{
double dema1 = DEMA(num,price,per,v,bar);
double dema2 = DEMA(num+2,dema1,per,v,bar);
T3 = DEMA(num+4,dema2,per,v,bar);
}
return(T3);
}
// MA_Method=12: ITrend - Instantaneous Trendline by J.Ehlers
double ITrend(double price[],double array[],int per,int bar)
{
double alfa = 2.0/(per+1);
if(bar > 7)
double it = (alfa - alfa*alfa/4)*price[bar]+ 0.5*alfa*alfa*price[bar-1]-(alfa - 0.75*alfa*alfa)*price[bar-2]+
2*(1-alfa)*array[bar-1] - (1-alfa)*(1-alfa)*array[bar-2];
else
it = (price[bar] + 2*price[bar-1]+ price[bar-2])/4;
return(it);
}
// MA_Method=13: Median - Moving Median
double Median(double price[],int per,int bar)
{
double array[];
ArrayResize(array,per);
for(int i = 0; i < per;i++) array[i] = price[bar-i];
ArraySort(array);
int num = MathRound((per-1)/2);
if(MathMod(per,2)>0) double median = array[num]; else median = 0.5*(array[num]+array[num+1]);
return(median);
}
// MA_Method=14: GeoMean - Geometric Mean
double GeoMean(double price[],int per,int bar)
{
double gmean = MathPow(price[bar],1.0/per);
for(int i = 1; i < per;i++) gmean *= MathPow(price[bar-i],1.0/per);
return(gmean);
}
// MA_Method=15: REMA - Regularized EMA by Chris Satchwell
double REMA(double price,double array[],int per,double lambda,int bar)
{
double alpha = 2.0/(per + 1);
if(bar <= 3) double rema = price;
else
if(bar > 3)
rema = (array[bar-1]*(1+2*lambda) + alpha*(price - array[bar-1]) - lambda*array[bar-2])/(1+lambda);
return(rema);
}
// MA_Method=16: ILRS - Integral of Linear Regression Slope
double ILRS(double price[],int per,int bar)
{
double sum = per*(per-1)*0.5;
double sum2 = (per-1)*per*(2*per-1)/6.0;
double sum1 = 0;
double sumy = 0;
for(int i=0;i<per;i++)
{
sum1 += i*price[bar-i];
sumy += price[bar-i];
}
double num1 = per*sum1 - sum*sumy;
double num2 = sum*sum - per*sum2;
if(num2 != 0) double slope = num1/num2; else slope = 0;
double ilrs = slope + SMA(price,per,bar);
return(ilrs);
}
// MA_Method=17: IE/2 - Combination of LSMA and ILRS
double IE2(double price[],int per,int bar)
{
double ie = 0.5*(ILRS(price,per,bar) + LSMA(price,per,bar));
return(ie);
}
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
Series array that contains open time of each bar
Indicator Curves created:
Implements a curve of type DRAW_LINE
Indicators Used:
Moving average indicator
Custom Indicators Used:
Order Management characteristics:
Other Features: