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Fractional_Bands
ÿþ//+------------------------------------------------------------------+
//| Fractional_Bands.mq5 |
//| Copyright © 2008, jppoton@yahoo.com |
//| http://fractalfinance.blogspot.com/ |
//+------------------------------------------------------------------+
#property copyright "Copyright © 2008, jppoton@yahoo.com"
#property link "http://fractalfinance.blogspot.com/"
#property description "$@0:B0;L=K9 Bollinger Bands"
//---- =><5@ 25@A88 8=48:0B>@0
#property version "1.00"
//---- >B@8A>2:0 8=48:0B>@0 2 3;02=>< >:=5
#property indicator_chart_window
//---- :>;8G5AB2> 8=48:0B>@=KE 1CD5@>2 4
#property indicator_buffers 4
//---- 8A?>;L7>20=> 2A53> 5 3@0D8G5A:8E ?>AB@>5=89
#property indicator_plots 3
//+--------------------------------------------+
//| 0@0<5B@K >B@8A>2:8 8=48:0B>@0 |
//+--------------------------------------------+
//---- >B@8A>2:0 8=48:0B>@0 2 2845 ;8=88
#property indicator_type1 DRAW_LINE
//---- 2 :0G5AB25 F25B0 ;8=88 8=48:0B>@0 8A?>;L7>20= 1;54=>-D8>;5B>2K9 F25B
#property indicator_color1 clrMediumOrchid
//---- ;8=8O 8=48:0B>@0 - A?;>H=0O
#property indicator_style1 STYLE_SOLID
//---- B>;I8=0 ;8=88 8=48:0B>@0 @02=0 2
#property indicator_width1 2
//---- >B>1@065=85 <5B:8 8=48:0B>@0
#property indicator_label1 "Frasma"
//+--------------------------------------------+
//| 0@0<5B@K >B@8A>2:8 8=48:0B>@0 BB C@>2=59 |
//+--------------------------------------------+
//---- >B@8A>2:0 C@>2=59 >;;8=465@0 2 2845 ;8=89
#property indicator_type2 DRAW_LINE
#property indicator_type3 DRAW_LINE
//---- 22K1>@ F25B>2 C@>2=59 >;;8=465@0
#property indicator_color2 clrRoyalBlue
#property indicator_color3 clrDeepPink
//---- C@>2=8 >;;8=465@0 - A?;>H=K5
#property indicator_style2 STYLE_SOLID
#property indicator_style3 STYLE_SOLID
//---- B>;I8=0 C@>2=59 >;;8=465@0 @02=0 2
#property indicator_width2 2
#property indicator_width3 2
//---- >B>1@065=85 <5B>: C@>2=59 >;;8=465@0
#property indicator_label2 "+2Sigma"
#property indicator_label3 "-2Sigma"
//+--------------------------------------------+
//| >1JO2;5=85 ?5@5G8A;5=89 |
//+--------------------------------------------+
enum ENUM_APPLIED_PRICE_ //"8? :>=AB0=BK
{
PRICE_CLOSE_ = 1, //Close
PRICE_OPEN_, //Open
PRICE_HIGH_, //High
PRICE_LOW_, //Low
PRICE_MEDIAN_, //Median Price (HL/2)
PRICE_TYPICAL_, //Typical Price (HLC/3)
PRICE_WEIGHTED_, //Weighted Close (HLCC/4)
PRICE_SIMPL_, //Simpl Price (OC/2)
PRICE_QUARTER_, //Quarted Price (HLOC/4)
PRICE_TRENDFOLLOW0_, //TrendFollow_1 Price
PRICE_TRENDFOLLOW1_, //TrendFollow_2 Price
PRICE_DEMARK_ //Demark Price
};
//+--------------------------------------------+
//| % + " + " |
//+--------------------------------------------+
input uint e_period=30; //3;C18=0 CA@54=5=8O
input uint normal_speed=30;
input uint PIP_Convertor=10000;
input double alpha=2.0; //45280F8O
input ENUM_APPLIED_PRICE_ IPC=PRICE_CLOSE_;//F5=>20O :>=AB0=B0
input int Shift=0; // A4283 8=48:0B>@0 ?> 3>@87>=B0;8 2 10@0E
input int PriceShift=0; // c4283 8=48:0B>@0 ?> 25@B8:0;8 2 ?C=:B0E
input color Upper_color=clrRoyalBlue;
input color Middle_color=clrMediumOrchid;
input color Lower_color=clrDeepPink;
input uint FontSize=2; // @07<5@ F5=>2KE <5B>:
//+--------------------------------------------+
//---- >1JO2;5=85 48=0<8G5A:>3> <0AA820, :>B>@K9 1C45B 2
// 40;L=59H5< 8A?>;L7>20= 2 :0G5AB25 8=48:0B>@=>3> 1CD5@0
double ExtLineBuffer0[];
//---- >1JO2;5=85 48=0<8G5A:8E <0AA82>2, :>B>@K5 1C4CB 2
// 40;L=59H5< 8A?>;L7>20=K 2 :0G5AB25 8=48:0B>@=KE 1CD5@>2 C@>2=59 >;;8=465@0
double ExtLineBuffer1[],ExtLineBuffer2[];
//---- >1JO2;5=85 48=0<8G5A:>3> <0AA820, :>B>@K9 1C45B 2
// 40;L=59H5< 8A?>;L7>20= 2 :0G5AB25 1CD5@0 40==KE
double ExtLineBuffer3[];
//---- 1JO2;5=85 ?5@5<5==>9 7=0G5=8O 25@B8:0;L=>3> A42830 <C28=30
double dPriceShift;
double LOG_2;
//---- 1JO2;5=85 F5;KE ?5@5<5==KE =0G0;0 >BAGQB0 40==KE
int min_rates_total,g_period_minus_1;
//---- 1JO2;5=85 AB@8=3>2 4;O B5:AB>2KE <5B>:
string upper_name,middle_name,lower_name;
//+------------------------------------------------------------------+
//| XMA BBx3 indicator initialization function |
//+------------------------------------------------------------------+
void OnInit()
{
//---- =8F80;870F8O ?5@5<5==KE =0G0;0 >BAGQB0 40==KE
min_rates_total=int(MathMax(e_period,normal_speed));
g_period_minus_1=int(e_period-1);
LOG_2=MathLog(2.0);
//---- =8F80;870F8O A42830 ?> 25@B8:0;8
dPriceShift=_Point*PriceShift;
//---- =8F80;870F8O AB@8=3>2
upper_name="Fractional_Bands upper text lable";
middle_name="Fractional_Bands middle text lable";
lower_name="Fractional_Bands lower text lable";
//---- ?@52@0I5=85 48=0<8G5A:>3> <0AA820 2 8=48:0B>@=K9 1CD5@
SetIndexBuffer(0,ExtLineBuffer0,INDICATOR_DATA);
//---- >ACI5AB2;5=85 A42830 8=48:0B>@0 1 ?> 3>@87>=B0;8
PlotIndexSetInteger(0,PLOT_SHIFT,Shift);
//---- >ACI5AB2;5=85 A42830 =0G0;0 >BAGQB0 >B@8A>2:8 8=48:0B>@0
PlotIndexSetInteger(0,PLOT_DRAW_BEGIN,min_rates_total);
//---- CAB0=>2:0 7=0G5=89 8=48:0B>@0, :>B>@K5 =5 1C4CB 2848<K =0 3@0D8:5
PlotIndexSetDouble(0,PLOT_EMPTY_VALUE,EMPTY_VALUE);
//---- ?@52@0I5=85 48=0<8G5A:8E <0AA82>2 2 8=48:0B>@=K5 1CD5@K
SetIndexBuffer(1,ExtLineBuffer1,INDICATOR_DATA);
SetIndexBuffer(2,ExtLineBuffer2,INDICATOR_DATA);
SetIndexBuffer(3,ExtLineBuffer3,INDICATOR_DATA);
//---- CAB0=>2:0 ?>78F88, A :>B>@>9 =0G8=05BAO >B@8A>2:0 C@>2=59
PlotIndexSetInteger(1,PLOT_DRAW_BEGIN,min_rates_total);
PlotIndexSetInteger(2,PLOT_DRAW_BEGIN,min_rates_total);
//---- 70?@5B =0 >B@8A>2:C 8=48:0B>@>< ?CABKE 7=0G5=89
PlotIndexSetDouble(1,PLOT_EMPTY_VALUE,EMPTY_VALUE);
PlotIndexSetDouble(2,PLOT_EMPTY_VALUE,EMPTY_VALUE);
//--- >ACI5AB2;5=85 A42830 8=48:0B>@>2 ?> 3>@87>=B0;8 =0 Shift
PlotIndexSetInteger(1,PLOT_SHIFT,Shift);
PlotIndexSetInteger(2,PLOT_SHIFT,Shift);
//---- 8=8F80;870F88 ?5@5<5==>9 4;O :>@>B:>3> 8<5=8 8=48:0B>@0
string shortname="";
StringConcatenate(shortname,"Fractional_Bands(",e_period,", ",normal_speed,", ",DoubleToString(alpha,2),")");
//--- A>740=85 8<5=8 4;O >B>1@065=8O 2 >B45;L=>< ?>4>:=5 8 2> 2A?;K20NI59 ?>4A:07:5
IndicatorSetString(INDICATOR_SHORTNAME,shortname);
//--- >?@545;5=85 B>G=>AB8 >B>1@065=8O 7=0G5=89 8=48:0B>@0
IndicatorSetInteger(INDICATOR_DIGITS,_Digits+1);
//---- 7025@H5=85 8=8F80;870F88
}
//+------------------------------------------------------------------+
//| Custom indicator deinitialization function |
//+------------------------------------------------------------------+
void OnDeinit(const int reason)
{
//----
ObjectDelete(0,upper_name);
ObjectDelete(0,middle_name);
ObjectDelete(0,lower_name);
//----
ChartRedraw(0);
}
//+------------------------------------------------------------------+
//| Custom iteration function |
//+------------------------------------------------------------------+
int OnCalculate(
const int rates_total, // :>;8G5AB2> 8AB>@88 2 10@0E =0 B5:CI5< B8:5
const int prev_calculated,// :>;8G5AB2> 8AB>@88 2 10@0E =0 ?@54K4CI5< B8:5
const datetime &time[],
const double &open[],
const double &high[],
const double &low[],
const double &close[],
const long &tick_volume[],
const long &volume[],
const int &spread[]
)
{
//---- ?@>25@:0 :>;8G5AB20 10@>2 =0 4>AB0B>G=>ABL 4;O @0AGQB0
if(rates_total<min_rates_total) return(0);
//---- 1JO2;5=85 ?5@5<5==KE A ?;020NI59 B>G:>9
double ;
//---- 1JO2;5=85 F5;KE ?5@5<5==KE 8 ?>;CG5=85 C65 ?>AG8B0==KE 10@>2
int first,bar;
//---- @0AGQB AB0@B>2>3> =><5@0 first 4;O F8:;0 ?5@5AGQB0 10@>2
if(prev_calculated>rates_total || prev_calculated<=0) // ?@>25@:0 =0 ?5@2K9 AB0@B @0AGQB0 8=48:0B>@0
first=0; // AB0@B>2K9 =><5@ 4;O @0AGQB0 2A5E 10@>2
else first=prev_calculated-1; // AB0@B>2K9 =><5@ 4;O @0AGQB0 =>2KE 10@>2
//---- 03@C7:0 40==KE 4;O @0AGQB0 8=48:0B>@0
for(bar=first; bar<rates_total && !IsStopped(); bar++) ExtLineBuffer3[bar]=PriceSeries(IPC,bar,open,low,high,close);
//---- A=>2=>9 F8:; @0AGQB0 8=48:0B>@0
if(prev_calculated>rates_total || prev_calculated<=0) first=min_rates_total; // AB0@B>2K9 =><5@ 4;O @0AGQB0 2A5E 10@>2
FRACTAL_BANDS(first,rates_total);
//---- #AB0=>2:0 F5=>2KE <5B>:
int bar0=rates_total-1;
SetRightPrice(0,upper_name,0,time[bar0],ExtLineBuffer1[bar0],Upper_color,FontSize);
SetRightPrice(0,middle_name,0,time[bar0],ExtLineBuffer0[bar0],Middle_color,FontSize);
SetRightPrice(0,lower_name,0,time[bar0],ExtLineBuffer2[bar0],Lower_color,FontSize);
//----
ChartRedraw(0);
return(rates_total);
}
//+================================================================================================================+
//+=== FUNCTION : _computeLastNbBars ===+
//+=== ===+
//+=== ===+
//+=== This callback is fired by metatrader for each tick ===+
//+=== ===+
//+=== In : ===+
//+=== - lastBars : these "n" last bars must be repainted ===+
//+=== ===+
//+================================================================================================================+
//+------------------------------------------------------------------+
//| FUNCTION : FRACTAL_BANDS |
//| Compute the Fractal Bands for input data |
//| In : |
//| - lastBars : these "n" last bars are considered for |
//| calculating the fractal dimension |
//| - inputData : data array on which the computation is applied |
//| For further theoretical explanations, see my blog: |
//| http://fractalfinance.blogspot.com/ |
//+------------------------------------------------------------------+
void FRACTAL_BANDS(int lastBar,int Rates_Total)
{
double diff,priorDiff;
double length;
double priceMax,priceMin;
double fdi,trail_dim,beta,sum,newres,deviation,frasma,hurst;
int speed,rrr;
//----
for(int index=lastBar; index<Rates_Total; index++)
{
priceMax=_highest(e_period,index,ExtLineBuffer3);
priceMin=_lowest(e_period,index,ExtLineBuffer3);
length=NULL;
priorDiff=NULL;
//----
for(int kkk=0; kkk<=g_period_minus_1; kkk++)
{
if(priceMax-priceMin>0.0)
{
diff=(ExtLineBuffer3[index-kkk]-priceMin)/(priceMax-priceMin);
if(kkk>0)
{
length+=MathSqrt(MathPow(diff-priorDiff,2.0)+(1.0/MathPow(e_period,2.0)));
}
priorDiff=diff;
}
}
if(length>0.0)
{
fdi=1.0+(MathLog(length)+LOG_2)/MathLog(2*g_period_minus_1);
}
else
{
/*
** The FDI algorithm suggests in this case a zero value.
** I prefer to use the previous FDI value.
*/
fdi=NULL;
}
hurst=2-fdi; // The Hurst exponent
trail_dim=1/hurst; // This is the trail dimension, the inverse of the Hurst-Holder exponent
beta=trail_dim/2;
speed=int(MathRound(normal_speed*beta));
sum=NULL;
for(int iii=0; iii<speed; iii++) sum+=ExtLineBuffer3[MathMax(index-iii,0)];
ExtLineBuffer0[index]=sum/speed;
sum=NULL;
rrr=index-g_period_minus_1;
frasma=PIP_Convertor*ExtLineBuffer0[index];
while(rrr<=index)
{
newres=PIP_Convertor*ExtLineBuffer3[MathMax(rrr,0)]-frasma;
sum+=newres*newres;
rrr++;
}
deviation=MathSqrt(sum/e_period); // 2 standard deviations around the frasma
ExtLineBuffer1[index]=(frasma+deviation*MathPow(alpha,2*hurst))/PIP_Convertor+dPriceShift;
ExtLineBuffer2[index]=(frasma-deviation*MathPow(alpha,2*hurst))/PIP_Convertor+dPriceShift;
ExtLineBuffer0[index]+=dPriceShift;
}
}
//+------------------------------------------------------------------+
//| FUNCTION : _highest |
//| Search for the highest value in an array data |
//| In : |
//| - n : find the highest on these n data |
//| - index : begin to search for from this index |
//| - inputData : data array on which the searching for is done |
//| |
//| Return : the highest value |
//+------------------------------------------------------------------+
double _highest(int n,int index,double &inputData[])
{
double highest=0.0;
//----
for(int i=index-n+1; i<=index; i++)
{
if(inputData[i]>highest) highest=inputData[i];
}
return( highest );
}
//+------------------------------------------------------------------+
//| FUNCTION : _lowest |
//| Search for the lowest value in an array data |
//| In : |
//| - n : find the hihest on these n data |
//| - index : begin to search for from this index |
//| - inputData : data array on which the searching for is done |
//| |
//| Return : the highest value |
//+------------------------------------------------------------------+
double _lowest(int n,int index,double &inputData[])
{
double lowest=9999999999.0;
//----
for(int i=index-n+1; i<=index; i++)
{
if(inputData[i]<lowest) lowest=inputData[i];
}
return( lowest );
}
//+------------------------------------------------------------------+
//| RightPrice creation |
//+------------------------------------------------------------------+
void CreateRightPrice(long chart_id,// chart ID
string name, // object name
int nwin, // window index
datetime time, // price level time
double price, // price level
color Color, // Text color
int Font // Text font
)
//----
{
//----
ObjectCreate(chart_id,name,OBJ_ARROW_RIGHT_PRICE,nwin,time,price);
ObjectSetInteger(chart_id,name,OBJPROP_COLOR,Color);
ObjectSetInteger(chart_id,name,OBJPROP_WIDTH,Font);
ObjectSetInteger(chart_id,name,OBJPROP_BACK,true);
//----
}
//+------------------------------------------------------------------+
//| RightPrice reinstallation |
//+------------------------------------------------------------------+
void SetRightPrice(long chart_id,// chart ID
string name, // object name
int nwin, // window index
datetime time, // price level time
double price, // price level
color Color, // Text color
int Font // Text font
)
//----
{
//----
if(ObjectFind(chart_id,name)==-1) CreateRightPrice(chart_id,name,nwin,time,price,Color,Font);
else ObjectMove(chart_id,name,0,time,price);
//----
}
//+------------------------------------------------------------------+
//| >;CG5=85 7=0G5=8O F5=>2>9 B09<A5@88 |
//+------------------------------------------------------------------+
double PriceSeries
(
uint applied_price,// &5=>20O :>=AB0=B0
uint bar,// =45:A A42830 >B=>A8B5;L=> B5:CI53> 10@0 =0 C:070==>5 :>;8G5AB2> ?5@8>4>2 =0704 8;8 2?5@Q4).
const double &Open[],
const double &Low[],
const double &High[],
const double &Close[]
)
//PriceSeries(applied_price, bar, open, low, high, close)
//+ - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - - -+
{
//----
switch(applied_price)
{
//---- &5=>2K5 :>=AB0=BK 87 ?5@5G8A;5=8O ENUM_APPLIED_PRICE
case PRICE_CLOSE: return(Close[bar]);
case PRICE_OPEN: return(Open [bar]);
case PRICE_HIGH: return(High [bar]);
case PRICE_LOW: return(Low[bar]);
case PRICE_MEDIAN: return((High[bar]+Low[bar])/2.0);
case PRICE_TYPICAL: return((Close[bar]+High[bar]+Low[bar])/3.0);
case PRICE_WEIGHTED: return((2*Close[bar]+High[bar]+Low[bar])/4.0);
//----
case 8: return((Open[bar] + Close[bar])/2.0);
case 9: return((Open[bar] + Close[bar] + High[bar] + Low[bar])/4.0);
//----
case 10:
{
if(Close[bar]>Open[bar])return(High[bar]);
else
{
if(Close[bar]<Open[bar])
return(Low[bar]);
else return(Close[bar]);
}
}
//----
case 11:
{
if(Close[bar]>Open[bar])return((High[bar]+Close[bar])/2.0);
else
{
if(Close[bar]<Open[bar])
return((Low[bar]+Close[bar])/2.0);
else return(Close[bar]);
}
break;
}
//----
case 12:
{
double res=High[bar]+Low[bar]+Close[bar];
if(Close[bar]<Open[bar]) res=(res+Low[bar])/2;
if(Close[bar]>Open[bar]) res=(res+High[bar])/2;
if(Close[bar]==Open[bar]) res=(res+Close[bar])/2;
return(((res-Low[bar])+(res-High[bar]))/2);
}
//----
default: return(Close[bar]);
}
//----
//return(0);
}
//+------------------------------------------------------------------+
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