//+------------------------------------------------------------------+
//| #_i_SpecktrAnalis.mq4 |
//| Copyright © 2006, klot. |
//| klot@mail.ru |
//+------------------------------------------------------------------+
#property copyright "Copyright © 2006, klot."
#property link "klot@mail.ru"
/*
In signal processing, the cross-correlation (or sometimes "cross-covariance") is a measure
of similarity of two signals, commonly used to find features in an unknown signal by comparing
it to a known one. It is a function of the relative time between the signals, is sometimes called
the sliding dot product, and has applications in pattern recognition and cryptanalysis.
*/
#import "#_lib_FFT.ex4"
void realfastfouriertransform(double& a[], int tnn, bool inversefft);
void fastcorellation(double& signal[], int signallen, double& pattern[], int patternlen);
void tworealffts(double a1[], double a2[], double& a[], double& b[], int tn);
void fastconvolution(double& signal[], int signallen, double& response[], int negativelen, int positivelen);
#import
#property indicator_separate_window
#property indicator_buffers 4
#property indicator_color1 Red
#property indicator_color2 Lime
#property indicator_color3 Blue
#property indicator_color4 Aqua
#property indicator_level1 0.0
//#property indicator_level1 0.0
//#property indicator_level1 0.0
//---- buffers
double Buffer1[];
double Buffer2[];
double Buffer3[];
double Buffer4[];
//---
extern int n=7; // Äëèíà ðÿäà
extern int Fmin=2;//2; // Ãðíèöà Ôèëüòðà ïî Í×.
extern int Fmax=30;//128; // Ãðàíèöà Ôèëüòðà ïî Â×.
extern string sym1="EURUSD";
extern string sym2="USDCHF";
extern int MaPeriod=6;
double aa[];
double bb[];
double cc[];
double dd[];
int N;
//+------------------------------------------------------------------+
//| Custom indicator initialization function |
//+------------------------------------------------------------------+
int init()
{
if(StringFind(Symbol(),"m",0)>0)
{
sym1=sym1+"m";
sym2=sym2+"m";
}
//---- indicators
SetIndexStyle(0,DRAW_HISTOGRAM);
SetIndexBuffer(0,Buffer1);
SetIndexEmptyValue(0,0);
SetIndexStyle(1,DRAW_LINE,0,2);
SetIndexBuffer(1,Buffer2);
SetIndexEmptyValue(1,0);
SetIndexStyle(2,DRAW_LINE,0,1);
SetIndexBuffer(2,Buffer3);
SetIndexEmptyValue(2,0);
SetIndexStyle(3,DRAW_LINE,2,1);
SetIndexBuffer(3,Buffer4);
SetIndexEmptyValue(3,0);
//---
N=MathPow(2,n);
ArrayResize(aa,N);
ArrayResize(bb,N);
ArrayResize(cc,N);
ArrayResize(dd,N);
if( Fmax>=N ) Fmax=N;
if( Fmin<=2 ) Fmin=2;
//----
return(0);
}
//+------------------------------------------------------------------+
//| Custom indicator deinitialization function |
//+------------------------------------------------------------------+
int deinit()
{
//----
//----
return(0);
}
//+------------------------------------------------------------------+
//| Custom indicator iteration function |
//+------------------------------------------------------------------+
int start()
{
if( Bars<N) return(0);
//---
for(int i=N-1; i>=0; i--)
{
aa[i]=iClose(sym1,0,i);
bb[i]=iClose(sym2,0,i);
cc[i]=iClose(sym1,0,i);
dd[i]=iClose(sym2,0,i);
}
realfastfouriertransform(aa, N, false);
realfastfouriertransform(bb, N, false);
realfastfouriertransform(cc, N, false);
realfastfouriertransform(dd, N, false);
N=ArraySize(aa);
//Comment("n= ",N);
//---
for( i=0; i<=N-1; i++)
{
if( i<Fmin || i>Fmax)
{
aa[i]=0.0;
bb[i]=0.0;
cc[i]=0.0;
dd[i]=0.0;
}
}
//---
realfastfouriertransform(aa, N, true);
realfastfouriertransform(bb, N, true);
double t1;
double t2;
cc[0] = cc[0]*dd[0];
cc[1] = cc[1]*dd[1];
for(i = 1; i <= N-1; i++)
{
t1 = cc[2*i];
t2 = cc[2*i+1];
cc[2*i] = t1*dd[2*i]+t2*dd[2*i+1];
cc[2*i+1] = t2*dd[2*i]-t1*dd[2*i+1];
}
realfastfouriertransform(cc, N, true);
// fastcorellation(cc,N,dd,N);
//fastconvolution(cc, N, dd, N, N);
//tworealffts(aa, bb, cc, dd, N);
//---
SetIndexDrawBegin(0,Bars-N);
SetIndexDrawBegin(1,Bars-N);
SetIndexDrawBegin(2,Bars-N);
SetIndexDrawBegin(3,Bars-N);
//---
for( i=0; i<=N-1; i++)
{
Buffer2[i]=aa[i];
Buffer3[i]=bb[i];
Buffer1[i]=cc[i];
}
//----
//----
for( i=0; i<=N-1; i++)
{
Buffer4[i]=iMAOnArray(Buffer1,0,MaPeriod,0,MODE_SMA,i);
}
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_HISTOGRAM
Implements a curve of type DRAW_LINE
Indicators Used:
Moving average indicator
Custom Indicators Used:
#_lib_FFT
Order Management characteristics:
Other Features: