include/EhlersLib.mqh

   1 //+------------------------------------------------------------------+\r
   2 //|                                                    EhlersLib.mq4 |\r
   3 //|                                   Copyright © 2011, Zarko Asenov |\r
   4 //|                                                                  |\r
   5 //+------------------------------------------------------------------+\r
   6 #property copyright "Copyright © 2011, Zarko Asenov"\r
   7 #property link      ""\r
   8 \r
   9 //+------------------------------------------------------------------+\r
  10 //| defines                                                          |\r
  11 //+------------------------------------------------------------------+\r
  12 // #define MacrosHello   "Hello, world!"\r
  13 // #define MacrosYear    2005\r
  14 \r
  15 //+------------------------------------------------------------------+\r
  16 //| DLL imports                                                      |\r
  17 //+------------------------------------------------------------------+\r
  18 // #import "user32.dll"\r
  19 //   int      SendMessageA(int hWnd,int Msg,int wParam,int lParam);\r
  20 \r
  21 // #import "my_expert.dll"\r
  22 //   int      ExpertRecalculate(int wParam,int lParam);\r
  23 // #import\r
  24 \r
  25 //+------------------------------------------------------------------+\r
  26 //| EX4 imports                                                      |\r
  27 //+------------------------------------------------------------------+\r
  28 // #import "stdlib.ex4"\r
  29 //   string ErrorDescription(int error_code);\r
  30 // #import\r
  31 //+------------------------------------------------------------------+\r
  32 \r
  33 double gdAlpha = 0;\r
  34 \r
  35 void\r
  36 iEhlersMAOnArray(\r
  37      double &in_signal_buffer[], \r
  38      double &in_ema_buffer[],\r
  39      int in_buffer_length, \r
  40      double &out_ec_buffer[], \r
  41      int out_buffer_length, \r
  42      int ma_period,\r
  43      int ma_gain_limit,\r
  44      int value_index)\r
  45 {\r
  46     int    i, j, iCounted, iLimit;\r
  47     double dGain, dBestGain, dError, dLeastError, dEC;\r
  48     \r
  49     iCounted = IndicatorCounted();\r
  50     if(iCounted > 0) iCounted--;\r
  51     iLimit = Bars - iCounted;\r
  52     if (iLimit > out_buffer_length) iLimit = out_buffer_length;\r
  53 \r
  54     if (in_buffer_length < 1 || value_index >= in_buffer_length) return (0.0);\r
  55     \r
  56     gdAlpha = 2.0 / (ma_period + 1.0);\r
  57     \r
  58     for(i = iLimit-1; i >= 0; i--)\r
  59     {\r
  60         double currentPrice = in_signal_buffer[i];\r
  61         in_ema_buffer[i] = gdAlpha * currentPrice + (1.0 - gdAlpha) * in_ema_buffer[i+1];\r
  62         dLeastError = 1000000.0;\r
  63         for(j = -ma_gain_limit; j <= ma_gain_limit; j++)\r
  64         {\r
  65             dGain = j / 10.0;\r
  66             dEC = gdAlpha * (in_ema_buffer[i] + dGain * (currentPrice - out_ec_buffer[i+1])) + (1.0 - gdAlpha) * out_ec_buffer[i+1];\r
  67             dError = currentPrice - dEC;\r
  68             if(MathAbs(dError) < dLeastError)\r
  69             {\r
  70                 dLeastError = MathAbs(dError);\r
  71                 dBestGain = dGain;\r
  72             }\r
  73         }\r
  74         out_ec_buffer[i] = gdAlpha * (in_ema_buffer[i] + dBestGain * (currentPrice - out_ec_buffer[i+1])) + (1.0 - gdAlpha) * out_ec_buffer[i+1];\r
  75         \r
  76         if (i == value_index) break;\r
  77     }\r
  78 }