| blob | 74f1d0c79e2aab634fa6e55462639fdf040d88c4 |
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 1\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 = 16;\r
39 extern int MA2_Period = 8;\r
40 extern int Time_Frame_Mins = 0;\r
41 extern int Retracement_Look_Back = 12;\r
42 extern double Time_Factor = 0.2;\r
43 extern double Volume_Factor = 0.5;\r
44 extern int Mode_Function = 0;\r
45 extern string _Mode_0 = "Bar to bar weighted hi-lo difference aggregate to volume ratio"; // nakaj stiska\r
46 extern string _Mode_1 = "Bar to bar any tick max difference"; // grid\r
47 extern string _Mode_2 = "Bar to bar tick max difference"; // pletkanje\r
48 extern int Sentiment_Expectation = NEUTRAL;\r
49 extern string _Expectation_0 = "Neutral sentiment";\r
50 extern string _Expectation_1 = "Bullish sentiment";\r
51 extern string _Expectation_2 = "Bearish sentiment";\r
52 \r
53 //--- buffers\r
54 double ExtMapBuffer1[];\r
55 double ExtMapBuffer2[];\r
56 double ExtMapBuffer3[];\r
57 double ExtMapBuffer4[];\r
58 double ExtMapBuffer5[];\r
59 double ExtMapBuffer6[];\r
60 \r
61 \r
62 \r
63 int time_frame;\r
64 double index_factor = 1.0;\r
65 int hTrendLine = -1;\r
66 int ind_window_handle;\r
67 double prev_best_step;\r
68 datetime prev_calc_time;\r
69 \r
70 void\r
71 create_trendline()\r
72 {\r
73 ind_window_handle = WindowFind("jmarket_sentiment");\r
74 \r
75 if (hTrendLine == -1 && ind_window_handle > -1) {\r
76 \r
77 hTrendLine = ObjectCreate(\r
78 TRENDLINE_NAME, \r
79 OBJ_TREND, \r
80 ind_window_handle, \r
81 iTime(NULL, time_frame, 0), \r
82 0.0, \r
83 iTime(NULL, time_frame, 0) + Period() * 60, \r
84 0.0);\r
85 \r
86 ObjectSet(TRENDLINE_NAME, OBJPROP_COLOR, indicator_color2);\r
87 ObjectSet(TRENDLINE_NAME, OBJPROP_STYLE, STYLE_SOLID);\r
88 ObjectSet(TRENDLINE_NAME, OBJPROP_WIDTH, indicator_width2);\r
89 }\r
90 }\r
91 \r
92 void\r
93 remove_trendline()\r
94 {\r
95 ObjectDelete(TRENDLINE_NAME);\r
96 }\r
97 \r
98 //+------------------------------------------------------------------+\r
99 //| Custom indicator initialization function |\r
100 //+------------------------------------------------------------------+\r
101 int init()\r
102 {\r
103 IndicatorBuffers(6);\r
104 \r
105 //---- indicators\r
106 SetIndexStyle(0,DRAW_HISTOGRAM);\r
107 SetIndexBuffer(0,ExtMapBuffer1);\r
108 SetIndexLabel(0,"Movement");\r
109 SetIndexEmptyValue(0, EMPTY_VALUE);\r
110 \r
111 SetIndexStyle(1,DRAW_LINE);\r
112 SetIndexBuffer(1,ExtMapBuffer2);\r
113 SetIndexLabel(1,"Movement Sum");\r
114 SetIndexEmptyValue(1, EMPTY_VALUE);\r
115 \r
116 SetIndexStyle(2,DRAW_LINE);\r
117 SetIndexBuffer(2,ExtMapBuffer3);\r
118 SetIndexLabel(2,"Smoothed "+MA_Period);\r
119 SetIndexEmptyValue(2, EMPTY_VALUE);\r
120 \r
121 SetIndexStyle(3,DRAW_LINE);\r
122 SetIndexBuffer(3,ExtMapBuffer4);\r
123 SetIndexLabel(3,"Trend step");\r
124 SetIndexEmptyValue(3, EMPTY_VALUE);\r
125 \r
126 SetIndexStyle(4,DRAW_LINE);\r
127 SetIndexBuffer(4,ExtMapBuffer5);\r
128 SetIndexLabel(4,"Smoothed "+MA2_Period);\r
129 SetIndexEmptyValue(4, EMPTY_VALUE);\r
130 \r
131 SetIndexStyle(5,DRAW_LINE);\r
132 SetIndexBuffer(5,ExtMapBuffer6);\r
133 SetIndexLabel(5,"Absolute movement");\r
134 SetIndexEmptyValue(5, EMPTY_VALUE);\r
135 \r
136 if (Time_Frame_Mins == 0)\r
137 time_frame = Period();\r
138 else\r
139 time_frame = Time_Frame_Mins;\r
140 \r
141 if (time_frame < 1) time_frame = 1;\r
142 \r
143 index_factor = Period();\r
144 index_factor = index_factor / time_frame;\r
145 \r
146 prev_calc_time = 0;\r
147 prev_best_step = 0;\r
148 \r
149 if (Mode_Function != WEIGHT_MOVE) {\r
150 remove_trendline();\r
151 SetIndexStyle(2, DRAW_LINE, STYLE_SOLID, indicator_width3, indicator_color3);\r
152 SetIndexStyle(4, DRAW_LINE, STYLE_SOLID, indicator_width5, indicator_color5);\r
153 } else {\r
154 create_trendline(); \r
155 SetIndexStyle(2, DRAW_LINE, STYLE_DOT, indicator_width3, CLR_NONE);\r
156 SetIndexStyle(4, DRAW_LINE, STYLE_DOT, indicator_width5, indicator_color5);\r
157 }\r
158 //----\r
159 return(0);\r
160 }\r
161 //+------------------------------------------------------------------+\r
162 //| Custom indicator deinitialization function |\r
163 //+------------------------------------------------------------------+\r
164 int deinit()\r
165 {\r
166 //----\r
167 remove_trendline();\r
168 //----\r
169 return(0);\r
170 }\r
171 \r
172 double\r
173 get_delta_ratio(\r
174 double &SignalBuffer[],\r
175 int SignalBufferLen)\r
176 {\r
177 if (DEBUG == 1) Print("Debug get_delta_ratio");\r
178 \r
179 double delta = 0;\r
180 bool going_up = false;\r
181 \r
182 for (int i = 0; i < SignalBufferLen; i++) {\r
183 if (SignalBuffer[i] == 0 || SignalBuffer[i+1] == 0) continue;\r
184 else if (delta != 0 && going_up != (SignalBuffer[i] > SignalBuffer[i+1]) ) break;\r
185 \r
186 if (delta == 0) going_up = (SignalBuffer[i] > SignalBuffer[i+1]);\r
187 \r
188 delta = ( (delta * i) + (SignalBuffer[i] - SignalBuffer[i+1])) / (i + 1.);\r
189 }\r
190 \r
191 return (delta);\r
192 }\r
193 \r
194 double\r
195 get_time_ratio(bool last_bar)\r
196 {\r
197 if (DEBUG == 1) Print("Debug get_time_ratio");\r
198 return (1);\r
199 \r
200 double time_ratio;\r
201 if (last_bar == false) {\r
202 time_ratio = 1;\r
203 } else {\r
204 double frame_delta = TimeCurrent() - (60. * iTime(NULL, time_frame, 0));\r
205 if (frame_delta > 0) time_ratio = (time_frame * 60.) / frame_delta;\r
206 else time_ratio = 0;\r
207 }\r
208 \r
209 return(time_ratio);\r
210 }\r
211 \r
212 \r
213 double\r
214 get_weighted_move(\r
215 double &hi, \r
216 double &low, \r
217 double &close, \r
218 double &prevhi, \r
219 double &prevlow, \r
220 double &prevclose, \r
221 int ix, int prev_ix)\r
222 { \r
223 if (DEBUG == 1) Print("Debug get_weighted_move");\r
224 \r
225 if (hi < prevlow || low > prevhi) return (0); // disconnected bars\r
226 \r
227 //current weighted high minus previous weighted high\r
228 double hidiff = ((3. * hi + close) / 4.) - ((3. * prevhi + prevclose) / 4.);\r
229 double lowdiff = ((3. * low + close) / 4.) - ((3. * prevlow + prevclose) / 4.);\r
230 double absdiff = hidiff + lowdiff;\r
231 \r
232 double volume_ratio;\r
233 double vol = iVolume(NULL, time_frame, ix);\r
234 double prevol = iVolume(NULL, time_frame, prev_ix);\r
235 \r
236 if (vol < INVALID_VOLUME) {\r
237 volume_ratio = 0;\r
238 } else if (prevol < INVALID_VOLUME) {\r
239 volume_ratio = 1;\r
240 } else { \r
241 volume_ratio = MathPow(vol / prevol, Volume_Factor);\r
242 }\r
243 \r
244 double time_ratio = get_time_ratio( (ix == 0) );\r
245 \r
246 return (absdiff * time_ratio * volume_ratio);\r
247 }\r
248 \r
249 \r
250 double\r
251 get_absolute_diff(\r
252 double &hi, \r
253 double &low, \r
254 double &prevhi, \r
255 double &prevlow, \r
256 int ix)\r
257 { \r
258 if (DEBUG == 1) Print("Debug get_absolute_diff");\r
259 \r
260 //current weighted high minus previous weighted high\r
261 double hidiff = MathAbs(hi - prevhi);\r
262 double lowdiff = MathAbs(low - prevlow);\r
263 double absdiff = hidiff + lowdiff;\r
264 \r
265 double time_ratio = get_time_ratio( (ix == 0) );\r
266 \r
267 return (absdiff * time_ratio);\r
268 }\r
269 \r
270 /* largest price difference between two bars */\r
271 double\r
272 get_absolute_move(\r
273 double hi, \r
274 double low, \r
275 double close, \r
276 double prevhi, \r
277 double prevlow, \r
278 double prevclose)\r
279 {\r
280 if (DEBUG == 1) Print("Debug get_absolute_move");\r
281 \r
282 double abs_move = 0.0;\r
283 \r
284 double cur_hlc[3];\r
285 cur_hlc[0] = hi;\r
286 cur_hlc[1] = low;\r
287 cur_hlc[2] = close;\r
288 \r
289 double prev_hlc[3];\r
290 prev_hlc[0] = prevhi;\r
291 prev_hlc[1] = prevlow;\r
292 prev_hlc[2] = prevclose;\r
293 \r
294 for (int i = 0; i < 3; i++) \r
295 for (int j = 0; j < 3; j++) \r
296 if ( MathAbs(cur_hlc[i] - prev_hlc[j]) > MathAbs(abs_move) )\r
297 abs_move = cur_hlc[i] - prev_hlc[j];\r
298 \r
299 if ( (hi - low) > abs_move ) {\r
300 if (close > prevclose) abs_move = hi - low; \r
301 else abs_move = low - hi;\r
302 }\r
303 \r
304 return (abs_move);\r
305 }\r
306 \r
307 void\r
308 get_bar_move(\r
309 int now_bar, \r
310 int ref_bar, \r
311 double &max_move)\r
312 {\r
313 if (DEBUG == 1) Print("Debug get_bar_move");\r
314 \r
315 for (int ix = now_bar - 1; ix >= ref_bar; ix--) {\r
316 double now_move = get_absolute_move(\r
317 iHigh(NULL, time_frame, ix),\r
318 iLow(NULL, time_frame, ix),\r
319 iClose(NULL, time_frame, ix),\r
320 iHigh(NULL, time_frame, now_bar),\r
321 iLow(NULL, time_frame, now_bar),\r
322 iClose(NULL, time_frame, now_bar) );\r
323 \r
324 if ( MathAbs(now_move) > MathAbs(max_move) ) max_move = now_move;\r
325 }\r
326 }\r
327 \r
328 /* largest price difference since start_bar trend */\r
329 double\r
330 get_max_move(int ref_bar)\r
331 {\r
332 if (DEBUG == 1) Print("Debug get_max_move");\r
333 \r
334 double max_move = 0;\r
335 bool ref_bull = (ExtMapBuffer1[ref_bar] > 0);\r
336 \r
337 for (int now_bar = ref_bar + 1; \r
338 (ref_bull == (ExtMapBuffer1[now_bar] > 0)) && (now_bar < Bars); \r
339 now_bar++) {\r
340 \r
341 get_bar_move(now_bar, ref_bar, max_move);\r
342 }\r
343 \r
344 get_bar_move(now_bar, ref_bar, max_move);\r
345 \r
346 return (max_move);\r
347 }\r
348 \r
349 #define MAXLEN 1024\r
350 \r
351 double bears_array[MAXLEN];\r
352 double bulls_array[MAXLEN];\r
353 \r
354 \r
355 /* sorted arrays expected ! */\r
356 double\r
357 calc_pips(\r
358 double &trending[],\r
359 int trending_len,\r
360 double &retracements[],\r
361 int retracements_len\r
362 )\r
363 {\r
364 if (DEBUG == 1) Print("Debug calc_pips");\r
365 \r
366 double best_ratio = 0;\r
367 double best_step = 0;\r
368 \r
369 if ( (TimeCurrent() - prev_calc_time) < (time_frame * Period() * 5) ) return(prev_best_step);\r
370 \r
371 double step_base = 0;\r
372 for (int ix = 1;\r
373 (step_base == 0) && (ix < Bars);\r
374 ix++) \r
375 {\r
376 step_base = ExtMapBuffer6[ix];\r
377 }\r
378 if (step_base == 0) return (prev_best_step);\r
379 \r
380 double interpolation_step = step_base * 0.0312; // 1/16\r
381 \r
382 \r
383 for (int z = 0; z < 64; z++) {\r
384 \r
385 double cur_step = step_base + (z * interpolation_step);\r
386 \r
387 double won_pips = 0;\r
388 double lost_pips = 0;\r
389 \r
390 for (int j = 0; j < retracements_len; j++) {\r
391 won_pips += cur_step * MathFloor(retracements[j] / cur_step) / Point;\r
392 if (cur_step >= retracements[j]) lost_pips += 2. * MathMod(retracements[j], cur_step) / Point;\r
393 }\r
394 \r
395 for (j = 0; j < trending_len; j++) {\r
396 won_pips += cur_step * MathFloor(trending[j] / cur_step) / Point;\r
397 if (cur_step >= trending[j]) lost_pips += 1. * MathMod(trending[j], cur_step) / Point;\r
398 }\r
399 \r
400 if (won_pips == 0) double cur_ratio = 0;\r
401 else if (lost_pips == 0) cur_ratio = won_pips;\r
402 else cur_ratio = won_pips / lost_pips;\r
403 \r
404 if (cur_ratio > best_ratio) {\r
405 best_step = cur_step;\r
406 best_ratio = cur_ratio;\r
407 }\r
408 \r
409 }\r
410 \r
411 if (best_step == 0) return (prev_best_step);\r
412 \r
413 prev_best_step = best_step;\r
414 prev_calc_time = TimeCurrent();\r
415 \r
416 if (DEBUG == 1) Print(\r
417 "Recomended minimal pip step " + best_step + " past " + \r
418 trending_len + " trending blocks, " + retracements_len + " retracements blocks.");\r
419 \r
420 return (best_step);\r
421 }\r
422 \r
423 int\r
424 gcd(int a, int b)\r
425 {\r
426 if (b == 0) return (a);\r
427 else return ( gcd(b, a % b) );\r
428 }\r
429 \r
430 //+------------------------------------------------------------------+\r
431 //| Custom indicator iteration function |\r
432 //+------------------------------------------------------------------+\r
433 int start()\r
434 {\r
435 int counted_bars = IndicatorCounted();\r
436 //----\r
437 int limit = Bars - counted_bars - 1;\r
438 if (limit < 0) return (0);\r
439 \r
440 for (int i = limit; i >= 0; i--) {\r
441 \r
442 int ix = MathFloor(index_factor * i);\r
443 \r
444 double hi = iHigh(NULL, time_frame, ix);\r
445 double low = iLow(NULL, time_frame, ix);\r
446 double close = iClose(NULL, time_frame, ix);\r
447 \r
448 double prevhi = iHigh(NULL, time_frame, ix+1);\r
449 double prevlow = iLow(NULL, time_frame, ix+1);\r
450 double prevclose = iClose(NULL, time_frame, ix+1);\r
451 \r
452 if (prevhi == 0 || prevlow == 0 || prevclose == 0) continue;\r
453 if (hi == 0 || low == 0 || close == 0) continue;\r
454 \r
455 switch (Mode_Function) {\r
456 case WEIGHT_MOVE:\r
457 ExtMapBuffer1[i] = 0;\r
458 for (int j = 1; j < MA_Period; j++) {\r
459 int prev_ix = ix+j;\r
460 prevhi = iHigh(NULL, time_frame, prev_ix);\r
461 prevlow = iLow(NULL, time_frame, prev_ix);\r
462 prevclose = iClose(NULL, time_frame, prev_ix);\r
463 \r
464 double time_coef = (1. * j) / MA_Period;\r
465 time_coef = MathPow(1. - time_coef, Time_Factor);\r
466 \r
467 ExtMapBuffer1[i] += time_coef * get_weighted_move(hi, low, close, prevhi, prevlow, prevclose, ix, prev_ix);\r
468 }\r
469 ExtMapBuffer2[i] = ExtMapBuffer1[i];\r
470 break;\r
471 \r
472 case ABS_MOVE:\r
473 ExtMapBuffer1[i] = get_absolute_move(hi, low, close, prevhi, prevlow, prevclose);\r
474 ExtMapBuffer2[i] = get_max_move(i);\r
475 ExtMapBuffer6[i] = MathAbs(ExtMapBuffer1[i]);\r
476 \r
477 // fixup previous bars\r
478 for (j = i + 1;\r
479 ((ExtMapBuffer2[i] > 0) == (ExtMapBuffer2[j] > 0.0)) && (j < Bars);\r
480 j++)\r
481 ExtMapBuffer2[j] = ExtMapBuffer2[i];\r
482 break;\r
483 \r
484 case ABS_PUSH:\r
485 ExtMapBuffer1[i] = get_absolute_diff(hi, low, prevhi, prevlow, i);\r
486 ExtMapBuffer2[i] = ExtMapBuffer1[i];\r
487 break;\r
488 } \r
489 \r
490 }\r
491 \r
492 if (Mode_Function == WEIGHT_MOVE) {\r
493 double ma_coef = 1;\r
494 \r
495 for (i = limit; i >= 0; i--) \r
496 ExtMapBuffer3[i] = MathAbs(ExtMapBuffer1[i]);\r
497 \r
498 for (i = limit; i >= 0; i--) \r
499 ExtMapBuffer5[i] = iMAOnArray(ExtMapBuffer3, Bars, MA2_Period, 0, MODE_EMA, i);\r
500 \r
501 } else { \r
502 for (i = limit; i >= 0; i--) {\r
503 ExtMapBuffer3[i] = iMAOnArray(ExtMapBuffer6, Bars, MA_Period, 0, MODE_EMA, i);\r
504 ExtMapBuffer5[i] = (ExtMapBuffer6[i+1] * (MA2_Period - 1) + ExtMapBuffer6[i]) / (1. * MA2_Period);\r
505 }\r
506 }\r
507 \r
508 if (Mode_Function == ABS_MOVE) {\r
509 \r
510 switch (Sentiment_Expectation) {\r
511 case NEUTRAL:\r
512 bool going_bull = (ExtMapBuffer2[0] > 0);\r
513 break;\r
514 \r
515 case BULLISH:\r
516 going_bull = true;\r
517 break;\r
518 \r
519 case BEARISH:\r
520 going_bull = false;\r
521 break;\r
522 }\r
523 \r
524 int bulls_len = 0;\r
525 int bears_len = 0;\r
526 double preval = 0;\r
527 \r
528 /* get unique movements */\r
529 for (i = 0; i < Retracement_Look_Back; i++) {\r
530 if (ExtMapBuffer2[i] == preval) continue;\r
531 preval = ExtMapBuffer2[i];\r
532 \r
533 if (preval > 0) { \r
534 bulls_array[bulls_len] = preval;\r
535 bulls_len++;\r
536 } else if (preval < 0) {\r
537 bears_array[bears_len] = MathAbs(preval);\r
538 bears_len++;\r
539 }\r
540 }\r
541 \r
542 if (going_bull == true)\r
543 double pip_step = calc_pips(bulls_array, bulls_len, bears_array, bears_len);\r
544 else\r
545 pip_step = calc_pips(bears_array, bears_len, bulls_array, bulls_len);\r
546 \r
547 ExtMapBuffer4[0] = pip_step;\r
548 SetLevelValue(0, pip_step);\r
549 SetLevelValue(1, -1.0 * pip_step);\r
550 \r
551 \r
552 } else {\r
553 double delta_sign = get_delta_ratio(ExtMapBuffer1, Bars);\r
554 double predicted_price = delta_sign;\r
555 predicted_price += ExtMapBuffer1[0];\r
556 \r
557 if (hTrendLine != -1) {\r
558 ObjectSet(TRENDLINE_NAME, OBJPROP_TIME1, iTime(NULL, time_frame, 0) );\r
559 ObjectSet(TRENDLINE_NAME, OBJPROP_TIME2, iTime(NULL, time_frame, 0) + Period() * 60);\r
560 ObjectSet(TRENDLINE_NAME, OBJPROP_PRICE1, ExtMapBuffer2[0]);\r
561 ObjectSet(TRENDLINE_NAME, OBJPROP_PRICE2, predicted_price);\r
562 }\r
563 \r
564 }\r
565 \r
566 //----\r
567 return(0);\r
568 }\r
569 //+------------------------------------------------------------------+