Histo ranges_v0.10
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This script is designed to provide a comprehensive statistical analysis of daily price volatility for a specific financial instrument over a user-defined historical period. Instead of just looking at raw prices, it focuses on the "range"—the distance between the highest and lowest price reached during each trading day.
Core Functionality
1. Custom Timeframe Selection The script allows you to define exactly where your historical analysis should begin. You can set parameters for years, months, weeks, or days in the past. It automatically calculates the starting point based on these inputs, ensuring that the data gathered is relevant to the specific period you are interested in studying.
2. Data Collection and Range Identification Once the timeframe is established, the script scans every daily candle within that period. For each day, it calculates the "Range" (the difference between that day's high and low). From this collection of data, it identifies two key milestones:
- The Minimum Range: The smallest price movement recorded in the history.
- The Maximum Range: The largest price movement recorded in the history.
3. Logarithmic Distribution Modeling One of the more sophisticated features of this script is how it organizes the data. Rather than simply listing prices, it uses a mathematical logarithmic progression to create "buckets" or categories.
- It takes the gap between your Minimum and Maximum ranges and divides it into a specific number of intervals (defined by the user).
- By using a logarithmic scale, the script creates a more balanced distribution of these ranges, which is often more useful for identifying patterns in market volatility than a standard linear list.
4. Frequency Analysis After creating these buckets, the script performs a "census" of the historical data. It looks back at every single day in your chosen period and counts how many times the daily range fell into each specific bucket.
User Output
Once the calculations are complete, the script displays a detailed summary box on your screen containing:
- Summary Stats: The specific currency pair analyzed, the date range covered, the absolute Minimum and Maximum ranges found, and the Average range of the entire period.
- Frequency Table: A structured list showing each volatility "bucket" (the range of price movement) alongside the number of times that specific type of movement occurred.
Essentially, this tool tells you not just how much the market can move, but how often it moves within specific volatility zones, helping you understand the typical behavior of a currency pair over time.
//+------------------------------------------------------------------+
//| Histo ranges_v001.mq4 |
//| Rafaell (okfar) |
//| http: |
//+------------------------------------------------------------------+
#property copyright "Rafaell (okfar)"
#property link "http:"
#property show_inputs
extern int agoYear=1,
agoMonth=0,
agoWeek=0,
agoDays=0,
nrange=12;
//+------------------------------------------------------------------+
//| script program start function |
//+------------------------------------------------------------------+
int start()
{
//----
int sDataBar;
int i,j, rangeMax, rangeMin;
int typHist = 1;
int OpenTime = 0;
double range[];
datetime dateRangeMax,
dateRangeMin,
dateRangeS,
dateRangeF;
double dRange;
double hrange[];
int n[];
int nBarD = iBars(Symbol(), PERIOD_D1);
ArrayResize(hrange, nrange+1);
ArrayResize(n, nrange);
sDataBar = iBarShift(NULL, PERIOD_D1, StartBar(agoYear, agoMonth, agoWeek, agoDays, typHist, OpenTime), False);
dateRangeS = iTime(Symbol(), PERIOD_D1, sDataBar);
dateRangeF = iTime(Symbol(), PERIOD_D1, 1);
ArrayResize(range, sDataBar);
for (i=sDataBar; i>0; i--) {
range[i-1] = iHigh(Symbol(), PERIOD_D1, i) - iLow(Symbol(), PERIOD_D1, i);
if (range[i-1] == 0)
if (iHigh(Symbol(), PERIOD_D1, i) == 0) {
Alert ("Pleas check your input parameters. History data missing!");
return(0);
}
}
rangeMax = ArrayMaximum(range);
double rangeMaxA = range[rangeMax];
dateRangeMax = iTime(Symbol(), PERIOD_D1, rangeMax+1);
rangeMin = ArrayMinimum(range);
double rangeMinA = range[rangeMin];
dateRangeMin = iTime(Symbol(), PERIOD_D1, rangeMin+1);
// ArraySort(range, WHOLE_ARRAY, 0, MODE_ASCEND);
dRange = (MathLog(rangeMaxA) - MathLog(rangeMinA/*-1*Point*/))/((nrange-1)*1.0);
hrange[0] = rangeMinA-1*Point;
//hrange[0] = range[0]-1*Point;
double sumRange = 0;
for (i=0; i<nrange; i++)
hrange[i+1] = MathLog(hrange[0]) + (i+1)*dRange;
for (i=1; i<=nrange; i++)
hrange[i] = NormalizeDouble(MathExp(hrange[i]), Digits);
int nsum = 0;
for (i=sDataBar-1; i>=0; i--) {
nsum ++;
sumRange += range[i];
for (j=nrange; j>0 ; j--) {
if (range[i] < hrange[j] && range[i] >= hrange[j-1]) {
n[j-1] ++;
// break;
}
}
}
string text = StringConcatenate(" <",hrange[1],"\t\t", n[0], "\n");
for (i=1; i<nrange-1;i++) {
text = StringConcatenate(text, hrange[i] ," - (", hrange[i+1],")\t\t", n[i],"\n");
}
text = StringConcatenate(text, " > " ,hrange[nrange-1] ,"\t\t", n[nrange-1],"\n");
string msg = " Pair: (from - to)\t\t" + Symbol() + " ("+TimeToStr(dateRangeS, TIME_DATE) + " - " +TimeToStr(dateRangeF, TIME_DATE) + ")\n" +
" Min:\t\t" + DoubleToStr(rangeMinA,Digits) + "\t(" + TimeToStr(dateRangeMin, TIME_DATE) + ")\n" +
" Max:\t\t" + DoubleToStr(rangeMaxA,Digits) + "\t(" + TimeToStr(dateRangeMax, TIME_DATE) + ")\n" +
" Avg:\t\t" + DoubleToStr(sumRange/nsum, Digits) + "\tn= "+ nsum +"\n\n" +
" Range\t\t No. \n" +
text + "\n" ;
MessageBox(msg, "Daily range statistics", 0);
//----
return(0);
}
//+------------------------------------------------------------------+
datetime StartBar(int dye, int dmo, int dwe, int dda, int typ, int ot)
{
int ye,mo,da,ho;
datetime ct;
ct=TimeCurrent();
switch (typ) {
case 0: {
ct -= 60*60*(24)*(dda-1);
ct -= 60*60*24*(7)*(dwe);
ye = TimeYear(ct);
mo = TimeMonth(ct);
da = TimeDay(ct);
ho = TimeHour(ct);
if (dda > 0)
ho=0;
if (dwe > 0) {
da -= (TimeDayOfWeek(TimeCurrent())-1);
ho=0;
//da -= DayOfWeek();
}
if (dmo > 0) {
da=1;
ho=0;
mo -= (dmo-1);
while (mo < 0) {
mo +=12;
ye -= 1;
}
}
if (dye > 0) {
da=1;
mo=1;
// da -= DayOfYear()+1 ;
ho=0;
ye -= (dye-1);
}
if (ot != 0) {
ct = StrToTime(da+"."+mo+"."+ye+" "+ho);
if (ot > TimeHour(TimeCurrent()))
ct = ct + (ot-24)*3600;
else
ct += (ot)*3600;
//cd -= (ot)*3600
ye = TimeYear(ct);
mo = TimeMonth(ct);
da = TimeDay(ct);
ho = TimeHour(ct);
}
} break;
case 1: {
ct = TimeCurrent()+3600;
if (dda > 0)
ct -= 60*60*(24)*dda;
if (dwe > 0)
ct -= 60*60*24*(7)*dwe;
ye = TimeYear(ct);
mo = TimeMonth(ct);
da = TimeDay(ct);
ho = TimeHour(ct);
if (dmo > 0) {
mo -= dmo;
while (mo < 0) {
mo +=12;
ye -= 1;
}
}
if (dye > 0) {
ye -= dye;
}
} break;
default: {
ye = Year();
mo = Month();
da = Day();
ho = Hour();
} break;
}
// return (StrToTime(StringConcatenate(/*"D'",*/da,".",mo,".",ye," ",ho/*,"'"*/)));
return (StrToTime(da+"."+mo+"."+ye+" "+ho));
}
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