#_i_FFT_separate_EURUSD_USDCHF

//+------------------------------------------------------------------+
//|                                            #_i_SpecktrAnalis.mq4 |
//|                                          Copyright © 2006, klot. |
//|                                                     klot@mail.ru |
//+------------------------------------------------------------------+
#property copyright "Copyright © 2006, klot."
#property link      "klot@mail.ru"

/*
In signal processing, the cross-correlation (or sometimes "cross-covariance") is a measure 
of similarity of two signals, commonly used to find features in an unknown signal by comparing 
it to a known one. It is a function of the relative time between the signals, is sometimes called 
the sliding dot product, and has applications in pattern recognition and cryptanalysis.
*/

#import "#_lib_FFT.ex4"
void realfastfouriertransform(double& a[], int tnn, bool inversefft);
void fastcorellation(double& signal[], int signallen,  double& pattern[],  int patternlen);
void tworealffts(double a1[], double a2[],  double& a[],  double& b[], int tn); 
void fastconvolution(double& signal[], int signallen, double& response[], int negativelen, int positivelen);   
#import

#property indicator_separate_window
#property indicator_buffers 4
#property indicator_color1 Red
#property indicator_color2 Lime
#property indicator_color3 Blue
#property indicator_color4 Aqua
#property indicator_level1 0.0
//#property indicator_level1 0.0
//#property indicator_level1 0.0
//---- buffers
double Buffer1[];
double Buffer2[];
double Buffer3[];
double Buffer4[];

//---
extern int n=7; // Äëèíà ðÿäà
extern int Fmin=2;//2; // Ãðíèöà Ôèëüòðà ïî Í×.
extern int Fmax=30;//128; // Ãðàíèöà Ôèëüòðà ïî Â×.
extern string sym1="EURUSD";
extern string sym2="USDCHF";
extern int MaPeriod=6;

double aa[];
double bb[];
double cc[];
double dd[];
int N;

//+------------------------------------------------------------------+
//| Custom indicator initialization function                         |
//+------------------------------------------------------------------+
int init()
  {
  
   if(StringFind(Symbol(),"m",0)>0)
   {
      sym1=sym1+"m";
      sym2=sym2+"m";
   }   
        
//---- indicators
SetIndexStyle(0,DRAW_HISTOGRAM);
SetIndexBuffer(0,Buffer1);
SetIndexEmptyValue(0,0);
SetIndexStyle(1,DRAW_LINE,0,2);
SetIndexBuffer(1,Buffer2);
SetIndexEmptyValue(1,0);
SetIndexStyle(2,DRAW_LINE,0,1);
SetIndexBuffer(2,Buffer3);
SetIndexEmptyValue(2,0);
SetIndexStyle(3,DRAW_LINE,2,1);
SetIndexBuffer(3,Buffer4);
SetIndexEmptyValue(3,0);


//---
   N=MathPow(2,n);
   ArrayResize(aa,N);
   ArrayResize(bb,N);
   ArrayResize(cc,N);
   ArrayResize(dd,N);

if( Fmax>=N ) Fmax=N;
if( Fmin<=2 ) Fmin=2;

//----
   return(0);
  }
//+------------------------------------------------------------------+
//| Custom indicator deinitialization function                       |
//+------------------------------------------------------------------+
int deinit()
  {
//----
   
//----
   return(0);
  }
//+------------------------------------------------------------------+
//| Custom indicator iteration function                              |
//+------------------------------------------------------------------+
int start()
  {

   if( Bars<N) return(0);
   
   //---
   for(int i=N-1; i>=0; i--) 
   { 
     aa[i]=iClose(sym1,0,i);
     bb[i]=iClose(sym2,0,i);
     cc[i]=iClose(sym1,0,i);
     dd[i]=iClose(sym2,0,i); 
   }
  
   realfastfouriertransform(aa, N, false);
   realfastfouriertransform(bb, N, false);
   realfastfouriertransform(cc, N, false);
   realfastfouriertransform(dd, N, false);
   
   
   N=ArraySize(aa);
   //Comment("n= ",N);
   //---
   for( i=0; i<=N-1; i++) 
   { 
      if( i<Fmin || i>Fmax) 
      { 
        aa[i]=0.0;
        bb[i]=0.0;
        cc[i]=0.0;
        dd[i]=0.0; 
      }
   }
   //---
   realfastfouriertransform(aa, N, true);
   realfastfouriertransform(bb, N, true);
    double t1;
    double t2;
    cc[0] = cc[0]*dd[0];
    cc[1] = cc[1]*dd[1];
    for(i = 1; i <= N-1; i++)
    {
        t1 = cc[2*i];
        t2 = cc[2*i+1];
        cc[2*i] = t1*dd[2*i]+t2*dd[2*i+1];
        cc[2*i+1] = t2*dd[2*i]-t1*dd[2*i+1];
    }   
   
   realfastfouriertransform(cc, N, true);
   //   fastcorellation(cc,N,dd,N);
   //fastconvolution(cc, N, dd, N, N);   
   //tworealffts(aa, bb,  cc,  dd, N); 

   
   //---
   SetIndexDrawBegin(0,Bars-N);
   SetIndexDrawBegin(1,Bars-N);
   SetIndexDrawBegin(2,Bars-N);
   SetIndexDrawBegin(3,Bars-N);
   //---
   for( i=0; i<=N-1; i++)
   {
      Buffer2[i]=aa[i];
      Buffer3[i]=bb[i];
      Buffer1[i]=cc[i];
   }
   //----
   //----
   for( i=0; i<=N-1; i++)
   {  
     Buffer4[i]=iMAOnArray(Buffer1,0,MaPeriod,0,MODE_SMA,i);  
   }     
   
   return(0);
  }
//-------------------------------------------------------------------+