| blob | 5e7bc1747c19430b289ec227d00c7b7523d2c46d |
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 4\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_width1 1\r
16 #property indicator_width2 1\r
17 #property indicator_width3 2\r
18 #property indicator_width4 2\r
19 #property indicator_level1 1.0\r
20 #property indicator_level2 -1.0\r
21 \r
22 #define DEBUG 1\r
23 \r
24 \r
25 #define WEIGHT_MOVE 0\r
26 #define ABS_MOVE 1\r
27 #define ABS_PUSH 2\r
28 #define TRENDLINE_NAME "jnextbar_predict"\r
29 #define INVALID_VOLUME 50\r
30 \r
31 #define NEUTRAL 0\r
32 #define BULLISH 1\r
33 #define BEARISH 2\r
34 \r
35 \r
36 extern int MA_Period = 32;\r
37 extern int Time_Frame_Mins = 0;\r
38 extern int Retracement_Look_Back = 32;\r
39 extern int Mode_Function = ABS_MOVE;\r
40 extern string _Mode_0 = "Bar to bar weighted hi-lo difference aggregate to volume ratio"; // nakaj stiska\r
41 extern string _Mode_1 = "Bar to bar any tick max difference"; // grid\r
42 extern string _Mode_2 = "Bar to bar tick max difference"; // pletkanje\r
43 extern int Sentiment_Expectation = NEUTRAL;\r
44 extern string _Expectation_0 = "Neutral sentiment";\r
45 extern string _Expectation_1 = "Bullish sentiment";\r
46 extern string _Expectation_2 = "Bearish sentiment";\r
47 \r
48 //--- buffers\r
49 double ExtMapBuffer1[];\r
50 double ExtMapBuffer2[];\r
51 double ExtMapBuffer3[];\r
52 double ExtMapBuffer4[];\r
53 double ExtMapBuffer5[];\r
54 \r
55 \r
56 \r
57 int time_frame;\r
58 double index_factor = 1.0;\r
59 int hTrendLine = -1;\r
60 int ind_window_handle;\r
61 double prev_best_step;\r
62 datetime prev_calc_time;\r
63 \r
64 void\r
65 create_trendline()\r
66 {\r
67 ind_window_handle = WindowFind("jmarket_sentiment");\r
68 \r
69 if (hTrendLine == -1 && ind_window_handle > -1) {\r
70 \r
71 hTrendLine = ObjectCreate(\r
72 TRENDLINE_NAME, \r
73 OBJ_TREND, \r
74 ind_window_handle, \r
75 iTime(NULL, time_frame, 0), \r
76 0.0, \r
77 iTime(NULL, time_frame, 0) + Period() * 60, \r
78 0.0);\r
79 \r
80 ObjectSet(TRENDLINE_NAME, OBJPROP_COLOR, indicator_color2);\r
81 ObjectSet(TRENDLINE_NAME, OBJPROP_STYLE, STYLE_SOLID);\r
82 ObjectSet(TRENDLINE_NAME, OBJPROP_WIDTH, indicator_width2);\r
83 }\r
84 }\r
85 \r
86 void\r
87 remove_trendline()\r
88 {\r
89 ObjectDelete(TRENDLINE_NAME);\r
90 }\r
91 \r
92 //+------------------------------------------------------------------+\r
93 //| Custom indicator initialization function |\r
94 //+------------------------------------------------------------------+\r
95 int init()\r
96 {\r
97 IndicatorBuffers(5);\r
98 \r
99 //---- indicators\r
100 SetIndexStyle(0,DRAW_HISTOGRAM);\r
101 SetIndexBuffer(0,ExtMapBuffer1);\r
102 SetIndexLabel(0,"Movement");\r
103 SetIndexEmptyValue(0, EMPTY_VALUE);\r
104 \r
105 SetIndexStyle(1,DRAW_LINE);\r
106 SetIndexBuffer(1,ExtMapBuffer2);\r
107 SetIndexLabel(1,"Movement Sum");\r
108 SetIndexEmptyValue(1, EMPTY_VALUE);\r
109 \r
110 SetIndexStyle(2,DRAW_LINE);\r
111 SetIndexBuffer(2,ExtMapBuffer3);\r
112 SetIndexLabel(2,"Smoothed "+MA_Period);\r
113 SetIndexEmptyValue(2, EMPTY_VALUE);\r
114 \r
115 SetIndexStyle(3,DRAW_LINE);\r
116 SetIndexBuffer(3,ExtMapBuffer4);\r
117 SetIndexLabel(3,"Trend step");\r
118 SetIndexEmptyValue(3, EMPTY_VALUE);\r
119 \r
120 SetIndexStyle(4,DRAW_LINE);\r
121 SetIndexBuffer(4,ExtMapBuffer5);\r
122 SetIndexLabel(4,"Absolute movement");\r
123 SetIndexEmptyValue(4, EMPTY_VALUE);\r
124 \r
125 if (Time_Frame_Mins == 0)\r
126 time_frame = Period();\r
127 else\r
128 time_frame = Time_Frame_Mins;\r
129 \r
130 if (time_frame < 1) time_frame = 1;\r
131 \r
132 index_factor = Period();\r
133 index_factor = index_factor / time_frame;\r
134 \r
135 prev_calc_time = 0;\r
136 prev_best_step = 0;\r
137 \r
138 if (Mode_Function == ABS_MOVE) remove_trendline();\r
139 else create_trendline(); \r
140 \r
141 //----\r
142 return(0);\r
143 }\r
144 //+------------------------------------------------------------------+\r
145 //| Custom indicator deinitialization function |\r
146 //+------------------------------------------------------------------+\r
147 int deinit()\r
148 {\r
149 //----\r
150 remove_trendline();\r
151 //----\r
152 return(0);\r
153 }\r
154 \r
155 double\r
156 get_delta_ratio(\r
157 double &SignalBuffer[],\r
158 int SignalBufferLen)\r
159 {\r
160 if (DEBUG == 1) Print("Debug get_delta_ratio");\r
161 \r
162 double delta = 0.0;\r
163 bool going_up = false;\r
164 \r
165 for (int i = 0; i < SignalBufferLen; i++) {\r
166 if (SignalBuffer[i] == 0. || SignalBuffer[i+1] == 0.) continue;\r
167 else if (delta != 0. && going_up != (SignalBuffer[i] > SignalBuffer[i+1]) ) break;\r
168 \r
169 if (delta == 0.) going_up = (SignalBuffer[i] > SignalBuffer[i+1]);\r
170 \r
171 delta = (delta * i + (SignalBuffer[i] - SignalBuffer[i+1])) / (i + 1.);\r
172 }\r
173 \r
174 return (delta);\r
175 }\r
176 \r
177 double\r
178 get_time_ratio(bool last_bar)\r
179 {\r
180 if (DEBUG == 1) Print("Debug get_time_ratio");\r
181 \r
182 double time_ratio;\r
183 if (last_bar == false) {\r
184 time_ratio = 1;\r
185 } else {\r
186 double frame_delta = TimeCurrent() - iTime(NULL, time_frame, 0);\r
187 if (frame_delta > 0) time_ratio = time_frame * 60. / frame_delta;\r
188 else time_ratio = 0;\r
189 }\r
190 \r
191 return(time_ratio);\r
192 }\r
193 \r
194 double\r
195 get_weighted_move(\r
196 double &hi, \r
197 double &low, \r
198 double &close, \r
199 double &prevhi, \r
200 double &prevlow, \r
201 double &prevclose, \r
202 int ix)\r
203 { \r
204 if (DEBUG == 1) Print("Debug get_weighted_move");\r
205 \r
206 if (hi < prevlow || low > prevhi) return (0); // disconnected bars\r
207 \r
208 //current weighted high minus previous weighted high\r
209 double hidiff = ((2. * hi + close) / 3.) - ((2. * prevhi + prevclose) / 3.);\r
210 double lowdiff = ((2. * low + close) / 3.) - ((2. * prevlow + prevclose) / 3.);\r
211 double absdiff = hidiff + lowdiff;\r
212 \r
213 double volume_ratio;\r
214 double vol = iVolume(NULL, time_frame, ix);\r
215 double prevol = iVolume(NULL, time_frame, ix+1);\r
216 \r
217 if (vol < INVALID_VOLUME) {\r
218 volume_ratio = 0;\r
219 } else if (prevol < INVALID_VOLUME) {\r
220 volume_ratio = 1;\r
221 } else { \r
222 volume_ratio = vol / prevol;\r
223 }\r
224 \r
225 double time_ratio = get_time_ratio( (ix == 0) );\r
226 \r
227 return (absdiff * time_ratio * volume_ratio);\r
228 }\r
229 \r
230 \r
231 double\r
232 get_absolute_diff(\r
233 double &hi, \r
234 double &low, \r
235 double &prevhi, \r
236 double &prevlow, \r
237 int ix)\r
238 { \r
239 if (DEBUG == 1) Print("Debug get_absolute_diff");\r
240 \r
241 //current weighted high minus previous weighted high\r
242 double hidiff = MathAbs(hi - prevhi);\r
243 double lowdiff = MathAbs(low - prevlow);\r
244 double absdiff = hidiff + lowdiff;\r
245 \r
246 double time_ratio = get_time_ratio(ix);\r
247 \r
248 return (absdiff * time_ratio);\r
249 }\r
250 \r
251 /* largest price difference between two bars */\r
252 double\r
253 get_absolute_move(\r
254 double hi, \r
255 double low, \r
256 double close, \r
257 double prevhi, \r
258 double prevlow, \r
259 double prevclose)\r
260 {\r
261 if (DEBUG == 1) Print("Debug get_absolute_move");\r
262 \r
263 double abs_move = 0.0;\r
264 \r
265 double cur_hlc[3];\r
266 cur_hlc[0] = hi;\r
267 cur_hlc[1] = low;\r
268 cur_hlc[2] = close;\r
269 \r
270 double prev_hlc[3];\r
271 prev_hlc[0] = prevhi;\r
272 prev_hlc[1] = prevlow;\r
273 prev_hlc[2] = prevclose;\r
274 \r
275 for (int i = 0; i < 3; i++) \r
276 for (int j = 0; j < 3; j++) \r
277 if ( MathAbs(cur_hlc[i] - prev_hlc[j]) > MathAbs(abs_move) )\r
278 abs_move = cur_hlc[i] - prev_hlc[j];\r
279 \r
280 if ( (hi - low) > abs_move ) {\r
281 if (close > prevclose) abs_move = hi - low; \r
282 else abs_move = low - hi;\r
283 }\r
284 \r
285 return (abs_move);\r
286 }\r
287 \r
288 void\r
289 get_bar_move(\r
290 int now_bar, \r
291 int ref_bar, \r
292 double &max_move)\r
293 {\r
294 if (DEBUG == 1) Print("Debug get_bar_move");\r
295 \r
296 for (int ix = now_bar - 1; ix >= ref_bar; ix--) {\r
297 double now_move = get_absolute_move(\r
298 iHigh(NULL, time_frame, ix),\r
299 iLow(NULL, time_frame, ix),\r
300 iClose(NULL, time_frame, ix),\r
301 iHigh(NULL, time_frame, now_bar),\r
302 iLow(NULL, time_frame, now_bar),\r
303 iClose(NULL, time_frame, now_bar) );\r
304 \r
305 if ( MathAbs(now_move) > MathAbs(max_move) ) max_move = now_move;\r
306 }\r
307 }\r
308 \r
309 /* largest price difference since start_bar trend */\r
310 double\r
311 get_max_move(int ref_bar)\r
312 {\r
313 if (DEBUG == 1) Print("Debug get_max_move");\r
314 \r
315 double max_move = 0;\r
316 bool ref_bull = (ExtMapBuffer1[ref_bar] > 0);\r
317 \r
318 for (int now_bar = ref_bar + 1; \r
319 (ref_bull == (ExtMapBuffer1[now_bar] > 0)) && (now_bar < Bars); \r
320 now_bar++) {\r
321 \r
322 get_bar_move(now_bar, ref_bar, max_move);\r
323 }\r
324 \r
325 get_bar_move(now_bar, ref_bar, max_move);\r
326 \r
327 return (max_move);\r
328 }\r
329 \r
330 #define MAXLEN 1024\r
331 \r
332 double bears_array[MAXLEN];\r
333 double bulls_array[MAXLEN];\r
334 \r
335 \r
336 /* sorted arrays expected ! */\r
337 double\r
338 calc_pips(\r
339 double &trending[],\r
340 int trending_len,\r
341 double &retracements[],\r
342 int retracements_len\r
343 )\r
344 {\r
345 if (DEBUG == 1) Print("Debug calc_pips");\r
346 \r
347 double best_ratio = 0;\r
348 double best_step = 0;\r
349 \r
350 if ( (TimeCurrent() - prev_calc_time) < (time_frame * Period() * 5) ) return(prev_best_step);\r
351 \r
352 double step_base = 0;\r
353 for (int ix = 1;\r
354 (step_base == 0) && (ix < Bars);\r
355 ix++) \r
356 {\r
357 step_base = ExtMapBuffer5[ix];\r
358 }\r
359 if (step_base == 0) return (prev_best_step);\r
360 \r
361 double interpolation_step = step_base * 0.0312; // 1/16\r
362 \r
363 \r
364 for (int z = 0; z < 64; z++) {\r
365 \r
366 double cur_step = step_base + (z * interpolation_step);\r
367 \r
368 double won_pips = 0;\r
369 double lost_pips = 0;\r
370 \r
371 for (int j = 0; j < retracements_len; j++) {\r
372 lost_pips += cur_step * MathFloor(retracements[j] / cur_step) / Point;\r
373 if (cur_step >= retracements[j]) lost_pips += 1. * MathMod(retracements[j], cur_step) / Point;\r
374 }\r
375 \r
376 for (j = 0; j < trending_len; j++) {\r
377 won_pips += cur_step * MathFloor(trending[j] / cur_step) / Point;\r
378 if (cur_step >= trending[j]) lost_pips += 1. * MathMod(trending[j], cur_step) / Point;\r
379 }\r
380 \r
381 if (won_pips == 0) double cur_ratio = 0;\r
382 else if (lost_pips == 0) cur_ratio = won_pips;\r
383 else cur_ratio = won_pips / lost_pips;\r
384 \r
385 if (cur_ratio > best_ratio) {\r
386 best_step = cur_step;\r
387 best_ratio = cur_ratio;\r
388 }\r
389 \r
390 }\r
391 \r
392 if (best_step == 0) return (prev_best_step);\r
393 \r
394 prev_best_step = best_step;\r
395 prev_calc_time = TimeCurrent();\r
396 \r
397 if (DEBUG == 1) Print(\r
398 "Recomended minimal pip step " + best_step + " past " + \r
399 trending_len + " trending blocks, " + retracements_len + " retracements blocks.");\r
400 \r
401 return (best_step);\r
402 }\r
403 \r
404 int\r
405 gcd(int a, int b)\r
406 {\r
407 if (b == 0) return (a);\r
408 else return ( gcd(b, a % b) );\r
409 }\r
410 \r
411 //+------------------------------------------------------------------+\r
412 //| Custom indicator iteration function |\r
413 //+------------------------------------------------------------------+\r
414 int start()\r
415 {\r
416 int counted_bars = IndicatorCounted();\r
417 //----\r
418 int limit = Bars - counted_bars - 1;\r
419 if (limit < 0) return (0);\r
420 \r
421 for (int i = limit; i >= 0; i--) {\r
422 \r
423 int ix = MathFloor(index_factor * i);\r
424 \r
425 double hi = iHigh(NULL, time_frame, ix);\r
426 double low = iLow(NULL, time_frame, ix);\r
427 double close = iClose(NULL, time_frame, ix);\r
428 \r
429 double prevhi = iHigh(NULL, time_frame, ix+1);\r
430 double prevlow = iLow(NULL, time_frame, ix+1);\r
431 double prevclose = iClose(NULL, time_frame, ix+1);\r
432 \r
433 if (prevhi == 0 || prevlow == 0 || prevclose == 0) continue;\r
434 if (hi == 0 || low == 0 || close == 0) continue;\r
435 \r
436 switch (Mode_Function) {\r
437 case WEIGHT_MOVE:\r
438 ExtMapBuffer1[i] = get_weighted_move(hi, low, close, prevhi, prevlow, prevclose, ix);\r
439 ExtMapBuffer2[i] = ExtMapBuffer1[i];\r
440 break;\r
441 \r
442 case ABS_MOVE:\r
443 ExtMapBuffer1[i] = get_absolute_move(hi, low, close, prevhi, prevlow, prevclose);\r
444 ExtMapBuffer2[i] = get_max_move(i);\r
445 ExtMapBuffer5[i] = MathAbs(ExtMapBuffer1[i]);\r
446 \r
447 // fixup previous bars\r
448 for (int j = i + 1;\r
449 ((ExtMapBuffer2[i] > 0) == (ExtMapBuffer2[j] > 0.0)) && (j < Bars);\r
450 j++)\r
451 ExtMapBuffer2[j] = ExtMapBuffer2[i];\r
452 break;\r
453 \r
454 case ABS_PUSH:\r
455 ExtMapBuffer1[i] = get_absolute_diff(hi, low, prevhi, prevlow, i);\r
456 ExtMapBuffer2[i] = ExtMapBuffer1[i];\r
457 break;\r
458 } \r
459 \r
460 }\r
461 \r
462 if (Mode_Function == WEIGHT_MOVE) {\r
463 double ma_coef = 1;\r
464 for (i = limit; i >= 0; i--) \r
465 ExtMapBuffer3[i] = ma_coef * iMAOnArray(ExtMapBuffer1, Bars, MA_Period, 0, MODE_EMA, i);\r
466 } else { \r
467 ma_coef = 1;\r
468 for (i = limit; i >= 0; i--) \r
469 ExtMapBuffer3[i] = ma_coef * iMAOnArray(ExtMapBuffer5, Bars, MA_Period, 0, MODE_EMA, i);\r
470 }\r
471 \r
472 if (Mode_Function == ABS_MOVE) {\r
473 \r
474 switch (Sentiment_Expectation) {\r
475 case NEUTRAL:\r
476 bool going_bull = (ExtMapBuffer2[0] > 0);\r
477 break;\r
478 \r
479 case BULLISH:\r
480 going_bull = true;\r
481 break;\r
482 \r
483 case BEARISH:\r
484 going_bull = false;\r
485 break;\r
486 }\r
487 \r
488 int bulls_len = 0;\r
489 int bears_len = 0;\r
490 double preval = 0;\r
491 \r
492 /* get unique movements */\r
493 for (i = 0; i < Retracement_Look_Back; i++) {\r
494 if (ExtMapBuffer2[i] == preval) continue;\r
495 preval = ExtMapBuffer2[i];\r
496 \r
497 if (preval > 0) { \r
498 bulls_array[bulls_len] = preval;\r
499 bulls_len++;\r
500 } else if (preval < 0) {\r
501 bears_array[bears_len] = MathAbs(preval);\r
502 bears_len++;\r
503 }\r
504 }\r
505 \r
506 if (going_bull == true)\r
507 double pip_step = calc_pips(bulls_array, bulls_len, bears_array, bears_len);\r
508 else\r
509 pip_step = calc_pips(bears_array, bears_len, bulls_array, bulls_len);\r
510 \r
511 ExtMapBuffer4[0] = pip_step;\r
512 SetLevelValue(0, pip_step);\r
513 SetLevelValue(1, -1.0 * pip_step);\r
514 \r
515 \r
516 } else {\r
517 double delta_sign = get_delta_ratio(ExtMapBuffer1, Bars);\r
518 double predicted_price = delta_sign;\r
519 predicted_price += ExtMapBuffer1[0];\r
520 \r
521 if (hTrendLine != -1) {\r
522 ObjectSet(TRENDLINE_NAME, OBJPROP_TIME1, iTime(NULL, time_frame, 0) );\r
523 ObjectSet(TRENDLINE_NAME, OBJPROP_TIME2, iTime(NULL, time_frame, 0) + Period() * 60);\r
524 ObjectSet(TRENDLINE_NAME, OBJPROP_PRICE1, ExtMapBuffer2[0]);\r
525 ObjectSet(TRENDLINE_NAME, OBJPROP_PRICE2, predicted_price);\r
526 }\r
527 \r
528 }\r
529 \r
530 //----\r
531 return(0);\r
532 }\r
533 //+------------------------------------------------------------------+