Autocorrelation

ÿþ//+------------------------------------------------------------------+

//|                                              Autocorrelation.mq5 |

//|                        Copyright 2018, MetaQuotes Software Corp. |

//|                                                 https://mql5.com |

//+------------------------------------------------------------------+

#property copyright "Copyright 2018, MetaQuotes Software Corp."

#property link      "https://mql5.com"

#property version   "1.00"

#property indicator_separate_window

#property indicator_buffers 1

#property indicator_plots   1

//--- plot CRL

#property indicator_label1  "CRL"

#property indicator_type1   DRAW_LINE

#property indicator_color1  clrRed

#property indicator_style1  STYLE_SOLID

#property indicator_width1  1

//--- input parameters

input uint     InpPeriod=100;  // Period

//--- indicator buffers

double         BufferCRL[];

//--- global variables

int            period;

//+------------------------------------------------------------------+

//| Custom indicator initialization function                         |

//+------------------------------------------------------------------+

int OnInit()

  {

//--- set global variables

   period=int(InpPeriod<2 ? 2 : InpPeriod);

//--- indicator buffers mapping

   SetIndexBuffer(0,BufferCRL,INDICATOR_DATA);

//--- setting indicator parameters

   IndicatorSetString(INDICATOR_SHORTNAME,"Autocorrelation("+(string)period+")");

   IndicatorSetInteger(INDICATOR_DIGITS,Digits());

//--- setting buffer arrays as timeseries

   ArraySetAsSeries(BufferCRL,true);

//---

   return(INIT_SUCCEEDED);

  }

//+------------------------------------------------------------------+

//| Custom indicator iteration function                              |

//+------------------------------------------------------------------+

int OnCalculate(const int rates_total,

                const int prev_calculated,

                const datetime &time[],

                const double &open[],

                const double &high[],

                const double &low[],

                const double &close[],

                const long &tick_volume[],

                const long &volume[],

                const int &spread[])

  {

//--- @>25@:0 =0 <8=8<0;L=>5 :>;85AB2> 10@>2 4;O @0AGQB0

   int max=period*2;

   if(rates_total<max) return 0;

//--- @>25@:0 8 @0AGQB :>;8G5AB20 ?@>AG8BK205<KE 10@>2

   int limit=rates_total-prev_calculated;

   if(limit>1)

     {

      limit=fmin(max,rates_total-max-1);

      ArrayInitialize(BufferCRL,EMPTY_VALUE);

     }

//--- #AB0=>2:0 8=45:A0F88 <0AA82>2 :0: B09<A5@89

   ArraySetAsSeries(close,true);

   ArraySetAsSeries(time,true);

//--- >43>B>2:0 40==KE

   double sko=0,sum=0,sumx=0,sumy=0,v1=0,v2=0;

   for(int j=0; j<=period; j++)

     {

      sko+=close[j]*close[j];

      sumx+=double(time[j]-time[period]);

      sumy+=close[j];

     }

   sko=sko/period;

   sumx/=(period+1);

   sumy/=(period+1);

   for(int j=0; j<period; j++)

     {

      v1+=(time[j]-time[period]-sumx)*(close[j]-sumy);

      v2+=(time[j]-time[period]-sumx)*(time[j]-time[period]-sumx);

     }

   v1/=v2;

   v2=sumy-v1*sumx;

   for(int j=0; j<=period; j++)

     {

      sum=0;

      for(int n=0; n<=period; n++)

        {

         if(j+n<=period)

            sum+=(close[n]-v1*(time[n]-time[period])-v2)*(close[n+j]-v1*(time[n+j]-time[period])-v2);

        }

      BufferCRL[j]=sum/sko;

     }

//---  0AGQB 8=48:0B>@0

   for(int i=period; i>=0 && !IsStopped(); i--)

     {

      BufferCRL[i]=BufferCRL[i]/BufferCRL[0];

     }

//--- return value of prev_calculated for next call

   return(rates_total);

  }

//+------------------------------------------------------------------+