emapredictive2

//+------------------------------------------------------------------+ 
//|                                               EMAPredictive2.mq5 | 
//|                      Copyright © 2006, Matthew (Dr Chaos) Kennel | 
//|                            ftp://lyapunov.ucsd.edu/pub/nonlinear | 
//+------------------------------------------------------------------+ 
/*
 Goal of this indicator:

    Given three EMA's of varying lengths, use their values
    for a estimator of "where we are now" or will be in the near future.
    This is a very simplistic method, better ones are probably found
    in the signal processing and target tracking literature.
    A Kalman filter has been known since the 1950's 1960's and there
    is better still.   Nevertheless this is easily programmable in the
    typical environments of a retail trading application like Metatrader4.

 Method:

     An an exponential moving average (EMA) or a simple moving average (SMA), for that
     matter, have a bandwidth parameter 'L', the effective length of the window.  This
     is in units of time or, really, inverse of frequency.  Higher L means a lower
     frequency effect. 

     With a parameter L, the weighted time index of the EMA and SMA is (L-1)/2.  Example:
     take an SMA of the previous 5 values:  -5 -4 -3 -2 -1 now.   The average "amount of time"
     back in the past of the data which go in to the SMA is hence -3, or (L-1)/2.  Same applies
     for an EMA.  The standard parameterization makes this correspondence between EMA
     and SMA.

     Therefore the idea here is to take two different EMA's, a longer, and
     a shorter of lengths L1 and L2  (L2 <L1).     Now take the pairs:
           [ -(L1-1)/2, EMA(L1) ]  [ -(L2-1)/2, EMA(L2) ]  which defines a line.


     Extrapolate to [ExtraTimeForward, y], solve for y and that is the predictive EMA estimate.  

 Application:
     Traditional moving averages, as simple-minded linear filters, have significant group delay.
     In engineering that isn't so important as nobody cares if your sound from your iPod is delayed
     a few milliseconds after it is first processed.  But in markets, you can't
     trade on the smoothed price, only the actual noisy, market price now.   Hence you 
     ought to estimate better.

     This statistic (what math/science people call what technical analysts call an 'indicator')
     may be useful as the "fast" moving average in a moving average crossover trading system.
     It could also be useful for the slow moving average as well.

     For instance, on a 5 minute chart:

       try for the fast: (will be very wiggly, note)

                           LongPeriod 25.0
                           ShortPeriod 8.0 
                           ExtraTimeForward 1.0

       and for the slow:
 
                           LongPeriod 500.0
                           ShortPeriod 50.0 to 200.0 
                           ExtraTimeForward 0.0
     
  But often a regular MA for the slow can work as well or better, it appears from visual inspection.
 
  Enjoy.   
  
  In chaos there is order, and in that order there is chaos and order inside again. 

  Then, surrounding everything, pointy haired bosses.  
*/
#property copyright "Matthew (Dr Chaos) Kennel"
#property link "ftp://lyapunov.ucsd.edu/pub/nonlinear" 
//---- íîìåð âåðñèè èíäèêàòîðà
#property version   "1.00"
//---- îòðèñîâêà èíäèêàòîðà â ãëàâíîì îêíå
#property indicator_chart_window 
//---- êîëè÷åñòâî èíäèêàòîðíûõ áóôåðîâ
#property indicator_buffers 1 
//---- èñïîëüçîâàíî âñåãî îäíî ãðàôè÷åñêîå ïîñòðîåíèå
#property indicator_plots   1
//+-----------------------------------+
//| Ïàðàìåòðû îòðèñîâêè èíäèêàòîðà    |
//+-----------------------------------+
//---- îòðèñîâêà èíäèêàòîðà â âèäå ëèíèè
#property indicator_type1   DRAW_LINE
//---- â êà÷åñòâå öâåòà ëèíèè èíäèêàòîðà èñïîëüçîâàí ðîçîâûé öâåò
#property indicator_color1 clrMagenta
//---- ëèíèÿ èíäèêàòîðà - íåïðåðûâíàÿ êðèâàÿ
#property indicator_style1  STYLE_SOLID
//---- òîëùèíà ëèíèè èíäèêàòîðà ðàâíà 1
#property indicator_width1  1
//---- îòîáðàæåíèå ìåòêè èíäèêàòîðà
#property indicator_label1  "EMAPredictive2"
//+-----------------------------------+
//| Âõîäíûå ïàðàìåòðû èíäèêàòîðà      |
//+-----------------------------------+
input double LongPeriod=25.0;
input double ShortPeriod=8.0;
input double ExtraTimeForward=1.0; // How much to further extrapolate location
input int    Shift=0;              // Ñäâèã èíäèêàòîðà ïî ãîðèçîíòàëè â áàðàõ
input int    PriceShift=0;         // Ñäâèã èíäèêàòîðà ïî âåðòèêàëè â ïóíêòàõ
//+-----------------------------------+
//---- èíäèêàòîðíûé áóôåð
double IndBuffer[];
double dPriceShift,p1,p3,t1,t3,t;
//---- îáúÿâëåíèå öåëî÷èñëåííûõ ïåðåìåííûõ íà÷àëà îòñ÷åòà äàííûõ
int min_rates_total;
//+------------------------------------------------------------------+    
//| Custom indicator initialization function                         | 
//+------------------------------------------------------------------+  
void OnInit()
  {
//---- èíèöèàëèçàöèÿ êîíñòàíò
   min_rates_total=2;
//---- ïðåâðàùåíèå äèíàìè÷åñêîãî ìàññèâà â èíäèêàòîðíûé áóôåð
   SetIndexBuffer(0,IndBuffer,INDICATOR_DATA);
//---- îñóùåñòâëåíèå ñäâèãà èíäèêàòîðà ïî ãîðèçîíòàëè íà Shift
   PlotIndexSetInteger(0,PLOT_SHIFT,Shift);
//---- îñóùåñòâëåíèå ñäâèãà íà÷àëà îòñ÷åòà îòðèñîâêè èíäèêàòîðà
   PlotIndexSetInteger(0,PLOT_DRAW_BEGIN,min_rates_total);
//---- óñòàíîâêà çíà÷åíèé èíäèêàòîðà, êîòîðûå íå áóäóò âèäèìû íà ãðàôèêå
   PlotIndexSetDouble(0,PLOT_EMPTY_VALUE,EMPTY_VALUE);
//--- ñîçäàíèå èìåíè äëÿ îòîáðàæåíèÿ â îòäåëüíîì ïîäîêíå è âî âñïëûâàþùåé ïîäñêàçêå
   IndicatorSetString(INDICATOR_SHORTNAME,"EMAPredictive2");
//--- îïðåäåëåíèå òî÷íîñòè îòîáðàæåíèÿ çíà÷åíèé èíäèêàòîðà
   IndicatorSetInteger(INDICATOR_DIGITS,_Digits+1);
//---- èíèöèàëèçàöèÿ ñäâèãà ïî âåðòèêàëè
   dPriceShift=_Point*PriceShift;
//---- main loop
   p1=2.0/(LongPeriod+1.0);
   p3=2.0/(ShortPeriod+1.0);
//----
   t1=(LongPeriod-1.0)/2.0;
   t3=(ShortPeriod-1.0)/2.0;
   t=ShortPeriod+ExtraTimeForward;
//---- çàâåðøåíèå èíèöèàëèçàöèè
  }
//+------------------------------------------------------------------+  
//| Custom indicator iteration function                              | 
//+------------------------------------------------------------------+  
int OnCalculate(const int rates_total,    // êîëè÷åñòâî èñòîðèè â áàðàõ íà òåêóùåì òèêå
                const int prev_calculated,// êîëè÷åñòâî èñòîðèè â áàðàõ íà ïðåäûäóùåì òèêå
                const int begin,          // íîìåð íà÷àëà äîñòîâåðíîãî îòñ÷åòà áàðîâ
                const double &price[]) // öåíîâîé ìàññèâ äëÿ ðàñ÷åòà èíäèêàòîðà
  {
//---- ïðîâåðêà êîëè÷åñòâà áàðîâ íà äîñòàòî÷íîñòü äëÿ ðàñ÷åòà
   if(rates_total<min_rates_total+begin)return(0);
//---- îáúÿâëåíèå ëîêàëüíûõ ïåðåìåííûõ
   int first,bar;
   double ma1,ma3,val,slope1,predict;
   static double ma1_,ma3_;
//----
   if(prev_calculated==0) // ïðîâåðêà íà ïåðâûé ñòàðò ðàñ÷åòà èíäèêàòîðà
     {
      first=min_rates_total+begin; // ñòàðòîâûé íîìåð äëÿ ðàñ÷åòà âñåõ áàðîâ
      //---- îñóùåñòâëåíèå ñäâèãà íà÷àëà îòñ÷åòà îòðèñîâêè èíäèêàòîðà
      PlotIndexSetInteger(0,PLOT_DRAW_BEGIN,first);
      ma1_=price[first-1];
      ma3_=ma1_;
     }
   else first=prev_calculated-1; // ñòàðòîâûé íîìåð äëÿ ðàñ÷åòà íîâûõ áàðîâ
//----
   ma1=ma1_;
   ma3=ma3_;
//---- îñíîâíîé öèêë ðàñ÷åòà èíäèêàòîðà
   for(bar=first; bar<rates_total && !IsStopped(); bar++)
     {
      val=price[bar];
      //----
      ma1=p1*val+(1.0-p1)*ma1;
      ma3=p3*val+(1.0-p3)*ma3;
      //----
      slope1=(ma3-ma1)/(t1-t3);
      //----
      predict=ma3+slope1*t;
      IndBuffer[bar]=predict+dPriceShift;
      //----
      if(bar<rates_total-1)
        {
         ma1_=ma1;
         ma3_=ma3;
        }
     }
//----
   return(rates_total);
  }
//+------------------------------------------------------------------+