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fractal_dimension_v2
//+------------------------------------------------------------------------------------------------------------------+
//| fractal_dimension.mq4 |
//| iliko [arcsin5@netscape.net] |
//| |
//| |
//| The Fractal Dimension Index determines the amount of market volatility. The easiest way to use this indicator is|
//| to understand that a value of 1.5 suggests the market is acting in a completely random fashion. |
//| As the market deviates from 1.5, the opportunity for earning profits is increased in proportion |
//| to the amount of deviation. |
//| But be carreful, the indicator does not show the direction of trends !! |
//| |
//| The indicator is RED when the market is in a trend. And it is blue when there is a high volatility. |
//| When the FDI changes its color from red to blue, it means that a trend is finishing, the market becomes |
//| erratic and a high volatility is present. Usually, these "blue times" do not go for a long time.They come before|
//| a new trend. |
//| |
//| For more informations, see |
//| http://www.forex-tsd.com/suggestions-trading-systems/6119-tasc-03-07-fractal-dimension-index.html |
//| |
//| |
//| HOW TO USE INPUT PARAMETERS : |
//| ----------------------------- |
//| |
//| 1) e_period [ integer >= 1 ] => 30 |
//| |
//| The indicator will compute the historical market volatility over this period. |
//| Choose its value according to the average of trend lengths. |
//| |
//| 2) e_type_data [ int = {PRICE_CLOSE = 0, |
//| PRICE_OPEN = 1, |
//| PRICE_HIGH = 2, |
//| PRICE_LOW = 3, |
//| PRICE_MEDIAN (high+low)/2 = 4, |
//| PRICE_TYPICAL (high+low+close)/3 = 5, |
//| PRICE_WEIGHTED (high+low+close+close)/4 = 6} => PRICE_CLOSE |
//| |
//| Defines on which price type the Fractal Dimension is computed. |
//| |
//| 3) e_random_line [ 0.0 < double < 2.0 ] => 1.5 |
//| |
//| Defines your separation betwen a trend market (red) and an erratic/high volatily one. |
//| |
//| v1.0 - February 2007 |
//+------------------------------------------------------------------------------------------------------------------+
#property link "arcsin5@netscape.net"
//----
#property indicator_separate_window
#property indicator_levelcolor LimeGreen
#property indicator_levelwidth 1
#property indicator_levelstyle STYLE_DASH
#property indicator_buffers 2
#property indicator_color1 Blue
#property indicator_color2 Red
#property indicator_width1 2
#property indicator_width2 2
//************************************************************
// Input parameters
//************************************************************
extern int e_period =30;
extern int e_type_data =PRICE_CLOSE;
extern double e_random_line =1.5;
//************************************************************
// Constant
//************************************************************
string INDICATOR_NAME="FDI";
string FILENAME ="___fractal_dimension.mq4";
double LOG_2;
//************************************************************
// Private vars
//************************************************************
//---- input buffer
double ExtInputBuffer[];
//---- output buffer
double ExtOutputBufferUp[];
double ExtOutputBufferDown[];
int g_period_minus_1;
//+-----------------------------------------------------------------------+
//| FUNCTION : init |
//| Initialization function |
//| Check the user input parameters and convert them in appropriate types.|
//+-----------------------------------------------------------------------+
int init()
{
// Check e_period input parameter
if(e_period<2)
{
Alert("[ 10-ERROR "+FILENAME+" ] input parameter \"e_period\" must be >= 1 ("+e_period+")");
return(-1);
}
if(e_type_data<PRICE_CLOSE || e_type_data>PRICE_WEIGHTED)
{
Alert("[ 20-ERROR "+FILENAME+" ] input parameter \"e_type_data\" unknown ("+e_type_data+")");
return(-1);
}
if(e_random_line<0.0 || e_random_line>2.0)
{
Alert("[ 30-ERROR "+FILENAME+" ] input parameter \"e_random_line\" = "+e_random_line+" out of range ( 0.0 < e_random_line < 2.0 )");
return(-1);
}
IndicatorBuffers(3);
SetIndexBuffer(0,ExtOutputBufferUp);
SetIndexStyle(0,DRAW_LINE,STYLE_SOLID,2);
SetIndexBuffer(1,ExtOutputBufferDown);
SetIndexStyle(1,DRAW_LINE,STYLE_SOLID,2);
SetIndexBuffer(2,ExtInputBuffer);
SetLevelValue(0,e_random_line);
IndicatorShortName(INDICATOR_NAME);
SetIndexLabel(0,INDICATOR_NAME);
SetIndexDrawBegin(0,2*e_period);
g_period_minus_1=e_period-1;
LOG_2=MathLog(2.0);
//----
return(0);
}
//+------------------------------------------------------------------+
//| FUNCTION : deinit |
//| Custor indicator deinitialization function |
//+------------------------------------------------------------------+
int deinit()
{
return(0);
}
//+------------------------------------------------------------------+
//| FUNCTION : start |
//| This callback is fired by metatrader for each tick |
//+------------------------------------------------------------------+
int start()
{
int counted_bars=IndicatorCounted();
if(counted_bars<0) return(-1);
if(counted_bars>0) counted_bars--;
int limit=Bars-counted_bars;
if(counted_bars==0) limit-=1+e_period;
_computeLastNbBars(limit);
//----
return(0);
}
//+================================================================================================================+
//+=== FUNCTION : _computeLastNbBars ===+
//+=== ===+
//+=== ===+
//+=== This callback is fired by metatrader for each tick ===+
//+=== ===+
//+=== In : ===+
//+=== - lastBars : these "n" last bars must be repainted ===+
//+=== ===+
//+================================================================================================================+
//+------------------------------------------------------------------+
//| FUNCTION : _computeLastNbBars |
//| This callback is fired by metatrader for each tick |
//| In : - lastBars : these "n" last bars must be repainted |
//+------------------------------------------------------------------+
void _computeLastNbBars(int lastBars)
{
double tmp_close[],tmp_open[],tmp_high[],tmp_low[];
ArrayCopy(tmp_close,Close);
ArrayCopy(tmp_open,Open);
ArrayCopy(tmp_high,High);
ArrayCopy(tmp_low,Low);
int pos;
switch(e_type_data)
{
case PRICE_CLOSE : _computeFdi( lastBars, tmp_close); break;
case PRICE_OPEN : _computeFdi( lastBars, tmp_open); break;
case PRICE_HIGH : _computeFdi( lastBars, tmp_high); break;
case PRICE_LOW : _computeFdi( lastBars, tmp_low); break;
case PRICE_MEDIAN :
for(pos=lastBars; pos>=0; pos--)ExtInputBuffer[pos]=(tmp_high[pos]+tmp_low[pos])/2.0; _computeFdi(lastBars,ExtInputBuffer);
break;
case PRICE_TYPICAL :
for(pos=lastBars; pos>=0; pos--)ExtInputBuffer[pos]=(tmp_high[pos]+tmp_low[pos]+tmp_close[pos])/3.0; _computeFdi(lastBars,ExtInputBuffer);
break;
case PRICE_WEIGHTED :
for(pos=lastBars; pos>=0; pos--)ExtInputBuffer[pos]=(tmp_high[pos]+tmp_low[pos]+tmp_close[pos]+tmp_close[pos])/4.0; _computeFdi(lastBars,ExtInputBuffer);
break;
default :
Alert("[ 20-ERROR "+FILENAME+" ] the imput parameter e_type_data <"+e_type_data+"> is unknown");
}
}
//+------------------------------------------------------------------+
//| FUNCTION : _computeFdi |
//| Compute FDI values from input data. |
//| In : |
//| - lastBars : these "n" last bars must be repainted |
//| - inputData : data array on which the FDI will be applied |
//+------------------------------------------------------------------+
void _computeFdi(int lastBars,double &inputData[])
{
int pos,iteration;
double diff,priorDiff;
double length;
double priceMax,priceMin;
double fdi;
//----
for(pos=lastBars; pos>=0; pos--)
{
priceMax=_highest( e_period, pos, inputData );
priceMin=_lowest( e_period, pos, inputData );
length =0.0;
priorDiff=0.0;
//----
for(iteration=0; iteration<g_period_minus_1; iteration++)
{
if(( priceMax-priceMin)>0.0)
{
diff=(inputData[pos+iteration]-priceMin)/(priceMax-priceMin);
if(iteration>0)
{
length+=MathSqrt(MathPow(diff-priorDiff,2.0)+(1.0/MathPow(e_period,2.0)));
}
priorDiff=diff;
}
}
if(length>0.0)
{
fdi=1.0+(MathLog(length)+LOG_2)/MathLog(2*e_period);
}
else
{
/*
** The FDI algorithm suggests in this case a zero value.
** I prefer to use the previous FDI value.
*/
fdi=0.0;
}
if(fdi>e_random_line)
{
ExtOutputBufferUp[pos] =fdi;
ExtOutputBufferUp[pos+1]=MathMin( ExtOutputBufferUp[pos+1], ExtOutputBufferDown[pos+1] );
ExtOutputBufferDown[pos]=EMPTY_VALUE;
}
else
{
ExtOutputBufferDown[pos] =fdi;
ExtOutputBufferDown[pos+1]=MathMin( ExtOutputBufferUp[pos+1], ExtOutputBufferDown[pos+1] );
ExtOutputBufferUp[pos]=EMPTY_VALUE;
}
}
}
//+------------------------------------------------------------------+
//| FUNCTION : _highest |
//| Search for the highest value in an array data |
//| In : |
//| - n : find the highest on these n data |
//| - pos : begin to search for from this index |
//| - inputData : data array on which the searching for is done |
//| |
//| Return : the highest value | |
//+------------------------------------------------------------------+
double _highest(int n,int pos,double &inputData[])
{
int length=pos+n;
double highest=0.0;
//----
for(int i=pos; i<length; i++)
{
if(inputData[i]>highest)highest=inputData[i];
}
return(highest);
}
//+------------------------------------------------------------------+
//| FUNCTION : _lowest | ===+
//| Search for the lowest value in an array data |
//| In : |
//| - n : find the hihest on these n data |
//| - pos : begin to search for from this index |
//| - inputData : data array on which the searching for is done |
//| |
//| Return : the highest value |
//+------------------------------------------------------------------+
double _lowest(int n,int pos,double &inputData[])
{
int length=pos+n;
double lowest=9999999999.0;
//----
for(int i=pos; i<length; i++)
{
if(inputData[i]<lowest)lowest=inputData[i];
}
return(lowest);
}
//+------------------------------------------------------------------+
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