^L_Correlation





//+------------------------------------------------------------------+
//|                                               ^L_Correlation.mq4 |
//|                                        Copyright © 2008, lotos4u |
//|                                                lotos4u@gmail.com |
//+------------------------------------------------------------------+
#property copyright "Copyright © 2008, lotos4u"
#property link      "lotos4u@gmail.com"

#define CLOSE_MODE 0
#define OPENCLOSE_MODE 1
#define CLOSE_RELATIVE_MODE 2
//#define OPENCLOSE_RELATIVE_MODE 3

#property indicator_separate_window
#property indicator_minimum -1
#property indicator_maximum 1
#property indicator_buffers 8

#property indicator_color1 Aqua
#property indicator_color2 Blue
#property indicator_color3 Red
#property indicator_color4 Chocolate
#property indicator_color5 MediumVioletRed
#property indicator_color6 DarkOrange
#property indicator_color7 Magenta
#property indicator_color8 Lime

#property indicator_width1 1
#property indicator_width2 2


#property indicator_level1 0.5
#property indicator_level2 0.0
#property indicator_level3 -0.5
#property indicator_levelcolor BlueViolet

#include <stderror.mqh>
#include <stdlib.mqh>


extern int Mode = CLOSE_RELATIVE_MODE;
extern string Pair = "USDCHF";
extern bool ShowCorrelation = false;
extern bool ShowMA = true;
extern int CorrelationRadius = 15;
extern int MA_Period = 10;
extern int ResultingBars = 0;

extern string FontName = "Verdana";
extern int FontSize = 10;
extern color FontColor = Black;

double Correlation[], CorrelationBuffer[], AverageCorrelationBuffer[];
double AverageX, AverageY, AverageXY, DispersionX, DispersionY, CovariationXY;
int CalculateCounter, ValidDataCounter;
string ShortName = "L_Correlation";



//+------------------------------------------------------------------+
//| Custom indicator initialization function                         |
//+------------------------------------------------------------------+

int init()
{
   ShortName = ShortName + " (" + Symbol() + "-" + Pair + ", " + Mode + ", " + CorrelationRadius + ", " + MA_Period + ")";
   IndicatorShortName(ShortName);
   
   SetIndexStyle(0, DRAW_LINE);
   SetIndexBuffer(0, CorrelationBuffer);
   SetIndexEmptyValue(0, 0.0);

   SetIndexStyle(1, DRAW_LINE);
   SetIndexBuffer(1, AverageCorrelationBuffer);
   SetIndexEmptyValue(1, 0.0);
   
   CalculateCounter = 0;
   ValidDataCounter = 0;
   
   return(0);
}


//+------------------------------------------------------------------+
//| Custom indicator deinitialization function                       |
//+------------------------------------------------------------------+
int deinit()
{
   CalculateCounter = 0;
   ValidDataCounter = 0;
   DeleteObjectsByPhrase(ShortName);
   return(0);
}


//+------------------------------------------------------------------+
//| Custom indicator iteration function                              |
//+------------------------------------------------------------------+
int start()
{
   double AverageCorrelation;
   int AverageLength;
   int window = WindowFind(ShortName);
   string ID = ShortName + " Label";
   if(ObjectCreate(ID, OBJ_LABEL, window, 0, 0))
   {
      ObjectSet(ID, OBJPROP_CORNER, 2);
      ObjectSet(ID, OBJPROP_XDISTANCE, 0);
      ObjectSet(ID, OBJPROP_YDISTANCE, FontSize);
   }

   if(CalculateCounter > 0 && Volume[0] > 1)return(0);

   
   int limit = Bars, counter = 0;

   ArrayResize(Correlation, limit);
   ArrayInitialize(Correlation, 0.0);
   ArraySetAsSeries(Correlation, true);

   for(int i = 0; i < limit; i++)
   {
      getAverages(i, CorrelationRadius);
      if(DispersionX*DispersionY > 0 && MathSqrt(DispersionX*DispersionY) > 0)
      {
         counter++;
         Correlation[i] = CovariationXY/MathSqrt(DispersionX*DispersionY);
      }
      else
      {
         Correlation[i] = 0.0;
      }
      if(ShowCorrelation)
         CorrelationBuffer[i] = Correlation[i];
   }
   
   for(i = 0; i < counter; i++)
   {
      AverageCorrelationBuffer[i] = iMAOnArray(Correlation, 0, MA_Period, 0, MODE_SMA, i);
   }
   
   AverageLength = MathMin(ResultingBars, counter);
   if(ResultingBars == 0)
      AverageLength = counter;
   AverageCorrelation = iMAOnArray(Correlation, 0, AverageLength, 0, MODE_SMA, 0);
   
   ObjectSetText(ID, Symbol() + " <-> " + Pair + "   " + DoubleToStr(AverageCorrelation, 2) + " (ïî " + AverageLength + " áàðàì)", FontSize, FontName, FontColor);

   CalculateCounter = MathMin(1, counter);
   return(0);
}


double getX(int shift)
{
   switch(Mode)
   {
      case CLOSE_MODE: return(iClose(Symbol(), 0, shift));
      case OPENCLOSE_MODE: return(iClose(Symbol(), 0, shift) - iOpen(Symbol(), 0, shift));
      case CLOSE_RELATIVE_MODE: return(iClose(Symbol(), 0, shift)/iHigh(Symbol(), 0, shift));
   }
}



double getY(int shift)
{
   switch(Mode)
   {
      case CLOSE_MODE: return(iClose(Pair, 0, shift));
      case OPENCLOSE_MODE: return(iClose(Pair, 0, shift) - iOpen(Pair, 0, shift));
      case CLOSE_RELATIVE_MODE: return(iClose(Pair, 0, shift)/iHigh(Pair, 0, shift));
   }
}



bool isValidTime(int shift)
{
   return(iTime(Symbol(), 0, shift) == iTime(Pair, 0, shift));
}




bool isValidPrice(int shift)
{
   return((iOpen(Symbol(), 0, shift) > 0.0) && (iOpen(Pair, 0, shift) > 0.0));
}



double getAverages(int start, int interval)
{
   double retVal = 0;
   ValidDataCounter = 0;
   AverageX = 0;
   AverageY = 0;
   AverageXY = 0;
   DispersionX = 0;
   DispersionY = 0;
   for(int i = 0; i < interval; i++)
   {
      if(isValidTime(start + i))
      {
         if(!isValidPrice(start + i))
         {
            Sleep(2000);
            if(!isValidPrice(start + i))
               continue;
         }
         ValidDataCounter++;
         AverageX += getX(start + i);
         AverageY += getY(start + i);
         AverageXY += getX(start + i)*getY(start + i);
      }
   }
   if(ValidDataCounter == 0)return;
   AverageX /= ValidDataCounter;
   AverageY /= ValidDataCounter;
   AverageXY /= ValidDataCounter;

   ValidDataCounter = 0;
   for(i = 0; i < interval; i++)
   {
      if(isValidTime(start + i))
      {
         if(!isValidPrice(start + i))
         {
            Sleep(2000);
            if(!isValidPrice(start + i))
               continue;
         }
         ValidDataCounter++;
         DispersionX += (getX(start + i) - AverageX)*(getX(start + i) - AverageX);
         DispersionY += (getY(start + i) - AverageY)*(getY(start + i) - AverageY);
      }
   }
   if(ValidDataCounter == 0)return;
   DispersionX /= ValidDataCounter;
   DispersionY /= ValidDataCounter;
   
   CovariationXY = AverageXY - AverageX*AverageY;
}





/////////////////////////////////////////////////////////
//Óäàëÿþòñÿ âñå îáúåêòû, â èìåíàõ êîòîðûõ ñîäåðæèòñÿ ñòðîêà
//Phrase (ðàñïîëîæåííàÿ â ïðîèçâîëüíîé ïîçèöèè)
/////////////////////////////////////////////////////////
void DeleteObjectsByPhrase(string Phrase)
{
   string ObjName;
   for(int i = ObjectsTotal()-1; i >= 0; i--)
   {
      ObjName = ObjectName(i);
      if(StringFind(ObjName, Phrase, 0) > -1) 
      { 
         ObjectDelete(ObjName);
      }
   }
}



Sample





Analysis



Market Information Used:

Series array that contains tick volumes of each bar
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


Indicator Curves created:

Implements a curve of type DRAW_LINE


Indicators Used:

Moving average indicator


Custom Indicators Used:

Order Management characteristics:

Other Features: