Linear regression

ÿþ//------------------------------------------------------------------

#property copyright "© mladen, 2018"

#property link      "mladenfx@gmail.com"

//------------------------------------------------------------------

#property indicator_chart_window

#property indicator_buffers 2

#property indicator_plots   1

#property indicator_label1  "Liner regression value"

#property indicator_type1   DRAW_COLOR_LINE

#property indicator_color1  clrDarkGray,clrDeepPink,clrMediumSeaGreen

#property indicator_width1  2



//

//--- input parameters

//



input int                inpPeriod = 20;          // Period

input ENUM_APPLIED_PRICE inpPrice  = PRICE_CLOSE; // Price



//

//--- indicator buffers

//

double val[],valc[]; 



//------------------------------------------------------------------

// Custom indicator initialization function

//------------------------------------------------------------------



int OnInit()

{

   //--- indicator buffers mapping

         SetIndexBuffer(0,val,INDICATOR_DATA);

         SetIndexBuffer(1,valc,INDICATOR_COLOR_INDEX);

   //--- indicator short name assignment

         IndicatorSetString(INDICATOR_SHORTNAME,"Linear regression value ("+(string)inpPeriod+")");

   return (INIT_SUCCEEDED);

}

void OnDeinit(const int reason)

{

}



//------------------------------------------------------------------

// Custom indicator iteration function

//------------------------------------------------------------------

//

//---

//



#define _setPrice(_priceType,_target,_index) \

   { \

   switch(_priceType) \

   { \

      case PRICE_CLOSE:    _target = close[_index];                                              break; \

      case PRICE_OPEN:     _target = open[_index];                                               break; \

      case PRICE_HIGH:     _target = high[_index];                                               break; \

      case PRICE_LOW:      _target = low[_index];                                                break; \

      case PRICE_MEDIAN:   _target = (high[_index]+low[_index])/2.0;                             break; \

      case PRICE_TYPICAL:  _target = (high[_index]+low[_index]+close[_index])/3.0;               break; \

      case PRICE_WEIGHTED: _target = (high[_index]+low[_index]+close[_index]+close[_index])/4.0; break; \

      default : _target = 0; \

   }}

   

//

//---

//



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[])

{

   int i=(prev_calculated>0?prev_calculated-1:0); for (; i<rates_total && !_StopFlag; i++)

   {

      double _price; _setPrice(inpPrice,_price,i);

         val[i]  = iLinr(_price,inpPeriod,i,rates_total);

         valc[i] = (i>0) ?(val[i]>val[i-1]) ? 2 :(val[i]<val[i-1]) ? 1 : valc[i-1]: 0;

   }

   return(i);

}



//------------------------------------------------------------------

// Custom function(s)

//------------------------------------------------------------------

//

//---

//



double iLinr(double price, int period, int i, int bars, int instance=0)

{

   #define ¤ instance

      #define _functionInstances 1

      struct sLinrArrayStruct

         {

            double price;

            double wsumm;

            double psumm;

            double weight;

         };

      static sLinrArrayStruct m_array[][_functionInstances];

      static int m_arraySize=0;

             if (m_arraySize<bars)

             {

                 int _res = ArrayResize(m_array,bars+500);

                 if (_res<=bars) return(0);

                     m_arraySize = _res;

             }



      //

      //---

      //

      

      m_array[i][¤].price=price;

      if (i>period)

      {

            m_array[i][¤].weight = m_array[i-1][¤].weight;

            m_array[i][¤].wsumm  = m_array[i-1][¤].wsumm+price*period-m_array[i-1][¤].psumm;

            m_array[i][¤].psumm  = m_array[i-1][¤].psumm+price-m_array[i-period][¤].price;

      }

      else

      {

            m_array[i][¤].wsumm  = 0;

            m_array[i][¤].psumm  = 0;

            m_array[i][¤].weight = 0;

            for(int k=0,w=period; k<period && i>=k; k++,w--)

            {

               m_array[i][¤].wsumm  += m_array[i-k][¤].price*w;

               m_array[i][¤].psumm  += m_array[i-k][¤].price;

               m_array[i][¤].weight += w;

            }

      }         

      return(3.0*m_array[i][¤].wsumm/m_array[i][¤].weight-2.0*m_array[i][¤].psumm/(double)period);



   #undef ¤ #undef _functionInstances

}

//------------------------------------------------------------------