//+------------------------------------------------------------------+
//| |
//| Copyleft © 2007, GammaRatForex |
//| http://www.gammarat.com/Forex |
//+------------------------------------------------------------------+
#property copyright "Copyleft © 2007, GammaRatForex"
#property link "http://www.gammarat.com/Forex/"
//design based on the principles similar to the MetaTrader STD Channel
// LSQ line fitting to the a number of samples.
// The trendline is the leading point in the fit;
// the bands are calculated somewhat differently, check the math below and adapt to
// your own needs as appropriate
// also the point estimate is given by the geometric mean
// MathPow(HCCC,.025) (see function "get_avg" below) rather than
// more standard estimates.
// It's computationally fairly intensive
//
//#property indicator_separate_window
//#property indicator_minimum 0
//#property indicator_maximum 100
#property indicator_chart_window
#property indicator_buffers 5
//----
#property indicator_color1 Aqua
#property indicator_color2 Aqua
#property indicator_color3 Aqua
#property indicator_color4 Red
#property indicator_color5 Red
#property indicator_style1 0
#property indicator_style2 2
#property indicator_style3 2
#property indicator_style4 2
#property indicator_style5 2
//---- input parameters
extern int Samples=60;
extern int LookAhead=0;
extern double StdLevel1=2;
extern double StdLevel2 =4.;
//---- buffers
double LeadingEdgeBuffer[];
double LeadingEdgeBufferPlus1[];
double LeadingEdgeBufferNeg1[];
double LeadingEdgeBufferPlus2[];
double LeadingEdgeBufferNeg2[];
//+------------------------------------------------------------------+
//| Custom indicator initialization function |
//+------------------------------------------------------------------+
int init()
{
//---- indicators
if(LookAhead <0)LookAhead=0;
SetIndexStyle(0,DRAW_LINE);
SetIndexBuffer(0,LeadingEdgeBuffer);
SetIndexShift(0,LookAhead);
SetIndexDrawBegin(0,LookAhead+Samples+1);
SetIndexLabel(0,"LeadingEdge Trend");
if(MathAbs(StdLevel1) > 0)
{
SetIndexStyle(1,DRAW_LINE);
SetIndexBuffer(1,LeadingEdgeBufferPlus1);
SetIndexShift(1,LookAhead);
SetIndexDrawBegin(1,LookAhead+Samples+1);
SetIndexLabel(1,"LeadingEdge +" + DoubleToStr(StdLevel1,1) + " STD");
SetIndexStyle(2,DRAW_LINE);
SetIndexBuffer(2,LeadingEdgeBufferNeg1);
SetIndexShift(2,LookAhead);
SetIndexDrawBegin(2,LookAhead+Samples+1);
SetIndexLabel(2,"LeadingEdge -" + DoubleToStr(StdLevel1,1) + " STD");
}
if(MathAbs(StdLevel2) > 0)
{
SetIndexStyle(3,DRAW_LINE);
SetIndexBuffer(3,LeadingEdgeBufferPlus2);
SetIndexShift(3,LookAhead);
SetIndexDrawBegin(3,LookAhead+Samples+1);
SetIndexLabel(3,"LeadingEdge +" + DoubleToStr(StdLevel2,1) + " STD");
SetIndexStyle(4,DRAW_LINE);
SetIndexBuffer(4,LeadingEdgeBufferNeg2);
SetIndexShift(4,LookAhead);
SetIndexDrawBegin(4,LookAhead+Samples+1);
SetIndexLabel(4,"LeadingEdge -" + DoubleToStr(StdLevel2,1) + " STD");
}
//compute();
//----
return(0);
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
int start()
{
compute();
return(0);
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
int compute()
{
int i,j,counted_bars=IndicatorCounted();
static double a[2][2],b[2][2];
double base_det,c0,c1,v1,v2,alpha,beta;
static int a_loaded=0;
double s0,s1;
double c01,c11;
//----
if(Bars<Samples) return(0);
if(counted_bars==Bars) return(0);
if(a_loaded==0)
{
for(i=0;i<2;i++)
{
for(j=0;j<2;j++)
{
a[i][j]=0;
}
}
for(i=0;i<Samples;i++)
{
a[0][0]+=i*i;
a[0][1]+=i;
a[1][0]+=i;
a[1][1]+=1;
}
a_loaded=1;
}
base_det=det2(a);
//----
for(i=Bars-counted_bars; i>=0;i--)
{
if(i >=Bars-Samples)
{
continue;
}
c0=0;
c1=0;
for(j=0;j<Samples;j++)
{
c0=c0+j*get_avg(i+j);
c1=c1+get_avg(i+j);
}
ArrayCopy(b,a);
b[0][0]=c0;
b[1][0]=c1;
alpha=det2(b)/base_det;
ArrayCopy(b,a);
b[0][1]=c0;
b[1][1]=c1;
beta=det2(b)/base_det;
//----
LeadingEdgeBuffer[i]=(alpha*(-LookAhead)+beta)*Point;
c0=0;
c1=0;
c11 =0;
c01=0;
for(j=0;j<Samples;j++)
{
s0=get_avg(i+j);
s1=j*alpha+beta;
if(s0<s1)
{
c0+=MathPow(s0-s1,2);
c01+=1;
}
else
{
c1+=MathPow(s0-s1,2);
c11+=1;
}
}
if(c01==0) c01=1;
if(c11== 0) c11=1;
//----
c01=MathSqrt(1./(0.5/MathPow(Samples,2) +0.5/c01/c01));
c11=MathSqrt(1./(0.5/MathPow(Samples,2) +0.5/c11/c11));
//c0 = MathSqrt(c0/(Samples-1));
c0=MathSqrt(c0/c01);//MathSqrt(c01*Samples));
//c1 = MathSqrt(c1/(Samples-1));
c1=MathSqrt(c1/c11);//MathSqrt(c11*Samples));
if(MathAbs(StdLevel1)>0)
{
LeadingEdgeBufferPlus1[i]=LeadingEdgeBuffer[i]+StdLevel1*c0*Point;
LeadingEdgeBufferNeg1[i]=LeadingEdgeBuffer[i]-StdLevel1*c1*Point;
}
if(MathAbs(StdLevel2)>0)
{
LeadingEdgeBufferPlus2[i]=LeadingEdgeBuffer[i]+StdLevel2*c0*Point;
LeadingEdgeBufferNeg2[i]=LeadingEdgeBuffer[i]-StdLevel2*c1*Point;
}
}
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
double get_avg(int k)
{
return(MathPow((High[k]*Low[k]*Close[k]*Close[k]),1/4.)/Point);
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
double det2(double a[][])
{
return(a[0][0]*a[1][1]-a[1][0]*a[0][1]);
}
//+------------------------------------------------------------------+
Sample
Analysis
Market Information Used:
Series array that contains close prices for each bar
Series array that contains the highest prices of each bar
Series array that contains the lowest prices of each bar
Indicator Curves created:
Implements a curve of type DRAW_LINE
Indicators Used:
Custom Indicators Used:
Order Management characteristics:
Other Features: