| blob | 93dfc94ac324be53e81243dad9a7f890b3a390c6 |
1 //+------------------------------------------------------------------+\r
2 //| jmarket_sentiment.mq4 |\r
3 //| Copyright 2011, Zarko Asenov |\r
4 //| http://jaltoh.6x.to |\r
5 //+------------------------------------------------------------------+\r
6 #property copyright "Copyright 2011, Zarko Asenov"\r
7 #property link "http://jaltoh.6x.to"\r
8 \r
9 #property indicator_separate_window\r
10 #property indicator_buffers 5\r
11 #property indicator_color1 Red\r
12 #property indicator_color2 OrangeRed\r
13 #property indicator_color3 Gold\r
14 #property indicator_color4 SteelBlue\r
15 #property indicator_color5 Lime\r
16 #property indicator_width1 1\r
17 #property indicator_width2 1\r
18 #property indicator_width3 2\r
19 #property indicator_width4 2\r
20 #property indicator_width5 1\r
21 #property indicator_level1 1.0\r
22 #property indicator_level2 -1.0\r
23 \r
24 #define DEBUG 0\r
25 \r
26 \r
27 #define WEIGHT_MOVE 0\r
28 #define ABS_MOVE 1\r
29 #define ABS_PUSH 2\r
30 #define TRENDLINE_NAME "jnextbar_predict"\r
31 #define INVALID_VOLUME 50\r
32 \r
33 #define NEUTRAL 0\r
34 #define BULLISH 1\r
35 #define BEARISH 2\r
36 \r
37 \r
38 extern int MA_Period = 32;\r
39 extern int MA2_Period = 64;\r
40 extern int Time_Frame_Mins = 0;\r
41 extern int Retracement_Look_Back = 32;\r
42 extern int Mode_Function = ABS_MOVE;\r
43 extern bool Normalize_MA = true;\r
44 extern string _Mode_0 = "Bar to bar weighted hi-lo difference aggregate to volume ratio"; // nakaj stiska\r
45 extern string _Mode_1 = "Bar to bar any tick max difference"; // grid\r
46 extern string _Mode_2 = "Bar to bar tick max difference"; // pletkanje\r
47 extern int Sentiment_Expectation = NEUTRAL;\r
48 extern string _Expectation_0 = "Neutral sentiment";\r
49 extern string _Expectation_1 = "Bullish sentiment";\r
50 extern string _Expectation_2 = "Bearish sentiment";\r
51 \r
52 //--- buffers\r
53 double ExtMapBuffer1[];\r
54 double ExtMapBuffer2[];\r
55 double ExtMapBuffer3[];\r
56 double ExtMapBuffer4[];\r
57 double ExtMapBuffer5[];\r
58 double ExtMapBuffer6[];\r
59 \r
60 \r
61 \r
62 int time_frame;\r
63 double index_factor = 1.0;\r
64 int hTrendLine = -1;\r
65 int ind_window_handle;\r
66 double prev_best_step;\r
67 datetime prev_calc_time;\r
68 \r
69 void\r
70 create_trendline()\r
71 {\r
72 ind_window_handle = WindowFind("jmarket_sentiment");\r
73 \r
74 if (hTrendLine == -1 && ind_window_handle > -1) {\r
75 \r
76 hTrendLine = ObjectCreate(\r
77 TRENDLINE_NAME, \r
78 OBJ_TREND, \r
79 ind_window_handle, \r
80 iTime(NULL, time_frame, 0), \r
81 0.0, \r
82 iTime(NULL, time_frame, 0) + Period() * 60, \r
83 0.0);\r
84 \r
85 ObjectSet(TRENDLINE_NAME, OBJPROP_COLOR, indicator_color2);\r
86 ObjectSet(TRENDLINE_NAME, OBJPROP_STYLE, STYLE_SOLID);\r
87 ObjectSet(TRENDLINE_NAME, OBJPROP_WIDTH, indicator_width2);\r
88 }\r
89 }\r
90 \r
91 void\r
92 remove_trendline()\r
93 {\r
94 ObjectDelete(TRENDLINE_NAME);\r
95 }\r
96 \r
97 //+------------------------------------------------------------------+\r
98 //| Custom indicator initialization function |\r
99 //+------------------------------------------------------------------+\r
100 int init()\r
101 {\r
102 IndicatorBuffers(6);\r
103 \r
104 //---- indicators\r
105 SetIndexStyle(0,DRAW_HISTOGRAM);\r
106 SetIndexBuffer(0,ExtMapBuffer1);\r
107 SetIndexLabel(0,"Movement");\r
108 SetIndexEmptyValue(0, EMPTY_VALUE);\r
109 \r
110 SetIndexStyle(1,DRAW_LINE);\r
111 SetIndexBuffer(1,ExtMapBuffer2);\r
112 SetIndexLabel(1,"Movement Sum");\r
113 SetIndexEmptyValue(1, EMPTY_VALUE);\r
114 \r
115 SetIndexStyle(2,DRAW_LINE);\r
116 SetIndexBuffer(2,ExtMapBuffer3);\r
117 SetIndexLabel(2,"Smoothed "+MA_Period);\r
118 SetIndexEmptyValue(2, EMPTY_VALUE);\r
119 \r
120 SetIndexStyle(3,DRAW_LINE);\r
121 SetIndexBuffer(3,ExtMapBuffer4);\r
122 SetIndexLabel(3,"Trend step");\r
123 SetIndexEmptyValue(3, EMPTY_VALUE);\r
124 \r
125 SetIndexStyle(4,DRAW_LINE);\r
126 SetIndexBuffer(4,ExtMapBuffer5);\r
127 SetIndexLabel(4,"Smoothed "+MA2_Period);\r
128 SetIndexEmptyValue(4, EMPTY_VALUE);\r
129 \r
130 SetIndexStyle(5,DRAW_LINE);\r
131 SetIndexBuffer(5,ExtMapBuffer6);\r
132 SetIndexLabel(5,"Absolute movement");\r
133 SetIndexEmptyValue(5, EMPTY_VALUE);\r
134 \r
135 if (Time_Frame_Mins == 0)\r
136 time_frame = Period();\r
137 else\r
138 time_frame = Time_Frame_Mins;\r
139 \r
140 if (time_frame < 1) time_frame = 1;\r
141 \r
142 index_factor = Period();\r
143 index_factor = index_factor / time_frame;\r
144 \r
145 prev_calc_time = 0;\r
146 prev_best_step = 0;\r
147 \r
148 if (Mode_Function != WEIGHT_MOVE) remove_trendline();\r
149 else create_trendline(); \r
150 \r
151 //----\r
152 return(0);\r
153 }\r
154 //+------------------------------------------------------------------+\r
155 //| Custom indicator deinitialization function |\r
156 //+------------------------------------------------------------------+\r
157 int deinit()\r
158 {\r
159 //----\r
160 remove_trendline();\r
161 //----\r
162 return(0);\r
163 }\r
164 \r
165 double\r
166 get_delta_ratio(\r
167 double &SignalBuffer[],\r
168 int SignalBufferLen)\r
169 {\r
170 if (DEBUG == 1) Print("Debug get_delta_ratio");\r
171 \r
172 double delta = 0;\r
173 bool going_up = false;\r
174 \r
175 for (int i = 0; i < SignalBufferLen; i++) {\r
176 if (SignalBuffer[i] == 0 || SignalBuffer[i+1] == 0) continue;\r
177 else if (delta != 0 && going_up != (SignalBuffer[i] > SignalBuffer[i+1]) ) break;\r
178 \r
179 if (delta == 0) going_up = (SignalBuffer[i] > SignalBuffer[i+1]);\r
180 \r
181 delta = ( (delta * i) + (SignalBuffer[i] - SignalBuffer[i+1])) / (i + 1.);\r
182 }\r
183 \r
184 return (delta);\r
185 }\r
186 \r
187 double\r
188 get_time_ratio(bool last_bar)\r
189 {\r
190 if (DEBUG == 1) Print("Debug get_time_ratio");\r
191 \r
192 double time_ratio;\r
193 if (last_bar == false) {\r
194 time_ratio = 1;\r
195 } else {\r
196 double frame_delta = TimeCurrent() - iTime(NULL, time_frame, 0);\r
197 if (frame_delta > 0) time_ratio = time_frame * 60. / frame_delta;\r
198 else time_ratio = 0;\r
199 }\r
200 \r
201 return(time_ratio);\r
202 }\r
203 \r
204 double\r
205 get_weighted_move(\r
206 double &hi, \r
207 double &low, \r
208 double &close, \r
209 double &prevhi, \r
210 double &prevlow, \r
211 double &prevclose, \r
212 int ix)\r
213 { \r
214 if (DEBUG == 1) Print("Debug get_weighted_move");\r
215 \r
216 if (hi < prevlow || low > prevhi) return (0); // disconnected bars\r
217 \r
218 //current weighted high minus previous weighted high\r
219 double hidiff = ((2. * hi + close) / 3.) - ((2. * prevhi + prevclose) / 3.);\r
220 double lowdiff = ((2. * low + close) / 3.) - ((2. * prevlow + prevclose) / 3.);\r
221 double absdiff = hidiff + lowdiff;\r
222 \r
223 double volume_ratio;\r
224 double vol = iVolume(NULL, time_frame, ix);\r
225 double prevol = iVolume(NULL, time_frame, ix+1);\r
226 \r
227 if (vol < INVALID_VOLUME) {\r
228 volume_ratio = 0;\r
229 } else if (prevol < INVALID_VOLUME) {\r
230 volume_ratio = 1;\r
231 } else { \r
232 volume_ratio = vol / prevol;\r
233 }\r
234 \r
235 double time_ratio = get_time_ratio( (ix == 0) );\r
236 \r
237 return (absdiff * time_ratio * volume_ratio);\r
238 }\r
239 \r
240 \r
241 double\r
242 get_absolute_diff(\r
243 double &hi, \r
244 double &low, \r
245 double &prevhi, \r
246 double &prevlow, \r
247 int ix)\r
248 { \r
249 if (DEBUG == 1) Print("Debug get_absolute_diff");\r
250 \r
251 //current weighted high minus previous weighted high\r
252 double hidiff = MathAbs(hi - prevhi);\r
253 double lowdiff = MathAbs(low - prevlow);\r
254 double absdiff = hidiff + lowdiff;\r
255 \r
256 double time_ratio = get_time_ratio(ix);\r
257 \r
258 return (absdiff * time_ratio);\r
259 }\r
260 \r
261 /* largest price difference between two bars */\r
262 double\r
263 get_absolute_move(\r
264 double hi, \r
265 double low, \r
266 double close, \r
267 double prevhi, \r
268 double prevlow, \r
269 double prevclose)\r
270 {\r
271 if (DEBUG == 1) Print("Debug get_absolute_move");\r
272 \r
273 double abs_move = 0.0;\r
274 \r
275 double cur_hlc[3];\r
276 cur_hlc[0] = hi;\r
277 cur_hlc[1] = low;\r
278 cur_hlc[2] = close;\r
279 \r
280 double prev_hlc[3];\r
281 prev_hlc[0] = prevhi;\r
282 prev_hlc[1] = prevlow;\r
283 prev_hlc[2] = prevclose;\r
284 \r
285 for (int i = 0; i < 3; i++) \r
286 for (int j = 0; j < 3; j++) \r
287 if ( MathAbs(cur_hlc[i] - prev_hlc[j]) > MathAbs(abs_move) )\r
288 abs_move = cur_hlc[i] - prev_hlc[j];\r
289 \r
290 if ( (hi - low) > abs_move ) {\r
291 if (close > prevclose) abs_move = hi - low; \r
292 else abs_move = low - hi;\r
293 }\r
294 \r
295 return (abs_move);\r
296 }\r
297 \r
298 void\r
299 get_bar_move(\r
300 int now_bar, \r
301 int ref_bar, \r
302 double &max_move)\r
303 {\r
304 if (DEBUG == 1) Print("Debug get_bar_move");\r
305 \r
306 for (int ix = now_bar - 1; ix >= ref_bar; ix--) {\r
307 double now_move = get_absolute_move(\r
308 iHigh(NULL, time_frame, ix),\r
309 iLow(NULL, time_frame, ix),\r
310 iClose(NULL, time_frame, ix),\r
311 iHigh(NULL, time_frame, now_bar),\r
312 iLow(NULL, time_frame, now_bar),\r
313 iClose(NULL, time_frame, now_bar) );\r
314 \r
315 if ( MathAbs(now_move) > MathAbs(max_move) ) max_move = now_move;\r
316 }\r
317 }\r
318 \r
319 /* largest price difference since start_bar trend */\r
320 double\r
321 get_max_move(int ref_bar)\r
322 {\r
323 if (DEBUG == 1) Print("Debug get_max_move");\r
324 \r
325 double max_move = 0;\r
326 bool ref_bull = (ExtMapBuffer1[ref_bar] > 0);\r
327 \r
328 for (int now_bar = ref_bar + 1; \r
329 (ref_bull == (ExtMapBuffer1[now_bar] > 0)) && (now_bar < Bars); \r
330 now_bar++) {\r
331 \r
332 get_bar_move(now_bar, ref_bar, max_move);\r
333 }\r
334 \r
335 get_bar_move(now_bar, ref_bar, max_move);\r
336 \r
337 return (max_move);\r
338 }\r
339 \r
340 #define MAXLEN 1024\r
341 \r
342 double bears_array[MAXLEN];\r
343 double bulls_array[MAXLEN];\r
344 \r
345 \r
346 /* sorted arrays expected ! */\r
347 double\r
348 calc_pips(\r
349 double &trending[],\r
350 int trending_len,\r
351 double &retracements[],\r
352 int retracements_len\r
353 )\r
354 {\r
355 if (DEBUG == 1) Print("Debug calc_pips");\r
356 \r
357 double best_ratio = 0;\r
358 double best_step = 0;\r
359 \r
360 if ( (TimeCurrent() - prev_calc_time) < (time_frame * Period() * 5) ) return(prev_best_step);\r
361 \r
362 double step_base = 0;\r
363 for (int ix = 1;\r
364 (step_base == 0) && (ix < Bars);\r
365 ix++) \r
366 {\r
367 step_base = ExtMapBuffer6[ix];\r
368 }\r
369 if (step_base == 0) return (prev_best_step);\r
370 \r
371 double interpolation_step = step_base * 0.0312; // 1/16\r
372 \r
373 \r
374 for (int z = 0; z < 64; z++) {\r
375 \r
376 double cur_step = step_base + (z * interpolation_step);\r
377 \r
378 double won_pips = 0;\r
379 double lost_pips = 0;\r
380 \r
381 for (int j = 0; j < retracements_len; j++) {\r
382 lost_pips += cur_step * MathFloor(retracements[j] / cur_step) / Point;\r
383 if (cur_step >= retracements[j]) lost_pips += 1. * MathMod(retracements[j], cur_step) / Point;\r
384 }\r
385 \r
386 for (j = 0; j < trending_len; j++) {\r
387 won_pips += cur_step * MathFloor(trending[j] / cur_step) / Point;\r
388 if (cur_step >= trending[j]) lost_pips += 1. * MathMod(trending[j], cur_step) / Point;\r
389 }\r
390 \r
391 if (won_pips == 0) double cur_ratio = 0;\r
392 else if (lost_pips == 0) cur_ratio = won_pips;\r
393 else cur_ratio = won_pips / lost_pips;\r
394 \r
395 if (cur_ratio > best_ratio) {\r
396 best_step = cur_step;\r
397 best_ratio = cur_ratio;\r
398 }\r
399 \r
400 }\r
401 \r
402 if (best_step == 0) return (prev_best_step);\r
403 \r
404 prev_best_step = best_step;\r
405 prev_calc_time = TimeCurrent();\r
406 \r
407 if (DEBUG == 1) Print(\r
408 "Recomended minimal pip step " + best_step + " past " + \r
409 trending_len + " trending blocks, " + retracements_len + " retracements blocks.");\r
410 \r
411 return (best_step);\r
412 }\r
413 \r
414 int\r
415 gcd(int a, int b)\r
416 {\r
417 if (b == 0) return (a);\r
418 else return ( gcd(b, a % b) );\r
419 }\r
420 \r
421 //+------------------------------------------------------------------+\r
422 //| Custom indicator iteration function |\r
423 //+------------------------------------------------------------------+\r
424 int start()\r
425 {\r
426 int counted_bars = IndicatorCounted();\r
427 //----\r
428 int limit = Bars - counted_bars - 1;\r
429 if (limit < 0) return (0);\r
430 \r
431 for (int i = limit; i >= 0; i--) {\r
432 \r
433 int ix = MathFloor(index_factor * i);\r
434 \r
435 double hi = iHigh(NULL, time_frame, ix);\r
436 double low = iLow(NULL, time_frame, ix);\r
437 double close = iClose(NULL, time_frame, ix);\r
438 \r
439 double prevhi = iHigh(NULL, time_frame, ix+1);\r
440 double prevlow = iLow(NULL, time_frame, ix+1);\r
441 double prevclose = iClose(NULL, time_frame, ix+1);\r
442 \r
443 if (prevhi == 0 || prevlow == 0 || prevclose == 0) continue;\r
444 if (hi == 0 || low == 0 || close == 0) continue;\r
445 \r
446 switch (Mode_Function) {\r
447 case WEIGHT_MOVE:\r
448 ExtMapBuffer1[i] = get_weighted_move(hi, low, close, prevhi, prevlow, prevclose, ix);\r
449 ExtMapBuffer2[i] = ExtMapBuffer1[i];\r
450 break;\r
451 \r
452 case ABS_MOVE:\r
453 ExtMapBuffer1[i] = get_absolute_move(hi, low, close, prevhi, prevlow, prevclose);\r
454 ExtMapBuffer2[i] = get_max_move(i);\r
455 ExtMapBuffer6[i] = MathAbs(ExtMapBuffer1[i]);\r
456 \r
457 // fixup previous bars\r
458 for (int j = i + 1;\r
459 ((ExtMapBuffer2[i] > 0) == (ExtMapBuffer2[j] > 0.0)) && (j < Bars);\r
460 j++)\r
461 ExtMapBuffer2[j] = ExtMapBuffer2[i];\r
462 break;\r
463 \r
464 case ABS_PUSH:\r
465 ExtMapBuffer1[i] = get_absolute_diff(hi, low, prevhi, prevlow, i);\r
466 ExtMapBuffer2[i] = ExtMapBuffer1[i];\r
467 break;\r
468 } \r
469 \r
470 }\r
471 \r
472 if (Mode_Function == WEIGHT_MOVE) {\r
473 <<<<<<< HEAD
474 double ma_coef = 10.0;\r
475 =======
476 \r
477 if (Normalize_MA) double ma_coef = 10;\r
478 else ma_coef = 1;\r
479 \r
480 >>>>>>> 5675db9edd8b65061d7441f40114a38e07f453b1
481 for (i = limit; i >= 0; i--) \r
482 ExtMapBuffer3[i] = ma_coef * iMAOnArray(ExtMapBuffer1, Bars, MA_Period, 0, MODE_EMA, i);\r
483 for (i = limit; i >= 0; i--) \r
484 ExtMapBuffer5[i] = iMAOnArray(ExtMapBuffer3, Bars, MA2_Period, 0, MODE_EMA, i);\r
485 \r
486 } else { \r
487 for (i = limit; i >= 0; i--) {\r
488 ExtMapBuffer3[i] = iMAOnArray(ExtMapBuffer6, Bars, MA_Period, 0, MODE_EMA, i);\r
489 ExtMapBuffer5[i] = iMAOnArray(ExtMapBuffer1, Bars, MA2_Period, 0, MODE_EMA, i);\r
490 }\r
491 }\r
492 \r
493 if (Mode_Function == ABS_MOVE) {\r
494 \r
495 switch (Sentiment_Expectation) {\r
496 case NEUTRAL:\r
497 bool going_bull = (ExtMapBuffer2[0] > 0);\r
498 break;\r
499 \r
500 case BULLISH:\r
501 going_bull = true;\r
502 break;\r
503 \r
504 case BEARISH:\r
505 going_bull = false;\r
506 break;\r
507 }\r
508 \r
509 int bulls_len = 0;\r
510 int bears_len = 0;\r
511 double preval = 0;\r
512 \r
513 /* get unique movements */\r
514 for (i = 0; i < Retracement_Look_Back; i++) {\r
515 if (ExtMapBuffer2[i] == preval) continue;\r
516 preval = ExtMapBuffer2[i];\r
517 \r
518 if (preval > 0) { \r
519 bulls_array[bulls_len] = preval;\r
520 bulls_len++;\r
521 } else if (preval < 0) {\r
522 bears_array[bears_len] = MathAbs(preval);\r
523 bears_len++;\r
524 }\r
525 }\r
526 \r
527 if (going_bull == true)\r
528 double pip_step = calc_pips(bulls_array, bulls_len, bears_array, bears_len);\r
529 else\r
530 pip_step = calc_pips(bears_array, bears_len, bulls_array, bulls_len);\r
531 \r
532 ExtMapBuffer4[0] = pip_step;\r
533 SetLevelValue(0, pip_step);\r
534 SetLevelValue(1, -1.0 * pip_step);\r
535 \r
536 \r
537 } else {\r
538 double delta_sign = get_delta_ratio(ExtMapBuffer1, Bars);\r
539 double predicted_price = delta_sign;\r
540 predicted_price += ExtMapBuffer1[0];\r
541 \r
542 if (hTrendLine != -1) {\r
543 ObjectSet(TRENDLINE_NAME, OBJPROP_TIME1, iTime(NULL, time_frame, 0) );\r
544 ObjectSet(TRENDLINE_NAME, OBJPROP_TIME2, iTime(NULL, time_frame, 0) + Period() * 60);\r
545 ObjectSet(TRENDLINE_NAME, OBJPROP_PRICE1, ExtMapBuffer2[0]);\r
546 ObjectSet(TRENDLINE_NAME, OBJPROP_PRICE2, predicted_price);\r
547 }\r
548 \r
549 }\r
550 \r
551 //----\r
552 return(0);\r
553 }\r
554 //+------------------------------------------------------------------+