//+------------------------------------------------------------------+
//| AFIRMA.mq4 |
//| Copyright © 2006, gpwr. |
//+------------------------------------------------------------------+
#property copyright "Copyright © 2006, gpwr."
#property indicator_chart_window
#property indicator_buffers 2
#property indicator_color1 Blue
#property indicator_color2 Red
#property indicator_width1 2
#property indicator_width2 2
//Global constants
#define pi 3.141592653589793238462643383279502884197169399375105820974944592
//Input parameters
extern int Periods = 4; // 1/(2*Periods) sets the filter bandwidth
extern int Taps = 21; // must be an odd number
extern int Window = 4; // selects windowing function
//Global variables
double w[], wsum, sx2, sx3, sx4, sx5, sx6, den;
int n;
//Indicator buffers
double FIRMA[];
double ARMA[];
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
int init()
{
//Calculate weights
ArrayResize(w, Taps);
wsum = 0.0;
for(int k = 0; k < Taps; k++)
{
switch(Window)
{
case 1: w[k] = 1.0; // Rectangular window
break;
case 2: w[k] = 0.50 - 0.50*MathCos(2.0*pi*k / Taps); // Hanning window
break;
case 3: w[k] = 0.54 - 0.46*MathCos(2.0*pi*k / Taps); // Hamming window
break;
case 4: w[k] = 0.42 - 0.50*MathCos(2.0*pi*k / Taps) +
0.08*MathCos(4.0*pi*k / Taps); // Blackman window
break;
case 5: w[k] = 0.35875 - 0.48829*MathCos(2.0*pi*k / Taps) +
0.14128*MathCos(4.0*pi*k / Taps) -
0.01168*MathCos(6.0*pi*k / Taps); // Blackman - Harris window
break;
default: w[k] = 1; //Rectangular window
break;
}
if(k != Taps / 2.0)
w[k] = w[k]*MathSin(pi*(k - Taps / 2.0) / Periods) / pi / (k - Taps / 2.0);
wsum += w[k];
}
//Calculate sums for the least-squares method
n = (Taps - 1) / 2;
sx2 = (2*n + 1) / 3.0;
sx3 = n*(n + 1) / 2.0;
sx4 = sx2*(3*n*n+3*n - 1) / 5.0;
sx5 = sx3*(2*n*n+2*n - 1) / 3.0;
sx6 = sx2*(3*n*n*n*(n + 2) - 3*n+1) / 7.0;
den = sx6*sx4 / sx5 - sx5;
//Initialize indicator
IndicatorBuffers(2);
SetIndexBuffer(0, FIRMA);
SetIndexBuffer(1, ARMA);
SetIndexStyle(0, DRAW_LINE, STYLE_SOLID, 2);
SetIndexStyle(1, DRAW_LINE, STYLE_SOLID, 2);
IndicatorShortName("AFIRMA");
return(0);
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
int deinit()
{
return(0);
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
int start()
{
//Calculate FIR MA for all bars except for the last n bars
ArrayInitialize(FIRMA, EMPTY_VALUE);
for(int i = 0; i <= Bars - Taps; i++)
{
FIRMA[i+n] = 0.0;
for(int k = 0; k < Taps; k++)
FIRMA[i+n] += Close[i+k]*w[k] / wsum;
}
//Calculate regressive MA for the remaining n bars
double a0 = FIRMA[n];
double a1 = FIRMA[n] - FIRMA[n+1];
double sx2y = 0.0;
double sx3y = 0.0;
for(i = 0; i <= n; i++)
{
sx2y += i*i*Close[n-i];
sx3y += i*i*i*Close[n-i];
}
sx2y = 2.0*sx2y / n / (n + 1);
sx3y = 2.0*sx3y / n / (n + 1);
double p = sx2y - a0*sx2 - a1*sx3;
double q = sx3y - a0*sx3 - a1*sx4;
double a2 = (p*sx6 / sx5 - q) / den;
double a3 = (q*sx4 / sx5 - p) / den;
ArrayInitialize(ARMA, EMPTY_VALUE);
for(i = 0; i <= n; i++)
ARMA[n-i] = a0 + i*a1 + i*i*a2 + i*i*i*a3;
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: