Mean_Reversion

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

//|                                               Mean_Reversion.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 description "Mean reversion indicator"

#property indicator_chart_window

#property indicator_buffers 4

#property indicator_plots   4

//--- plot DU

#property indicator_label1  "Highest"

#property indicator_type1   DRAW_LINE

#property indicator_color1  clrGreen

#property indicator_style1  STYLE_SOLID

#property indicator_width1  1

//--- plot DN

#property indicator_label2  "Lowest"

#property indicator_type2   DRAW_LINE

#property indicator_color2  clrRed

#property indicator_style2  STYLE_SOLID

#property indicator_width2  1

//--- plot DM

#property indicator_label3  "Median"

#property indicator_type3   DRAW_LINE

#property indicator_color3  clrBlue

#property indicator_style3  STYLE_SOLID

#property indicator_width3  1

//--- plot MA

#property indicator_label4  "MovAvg"

#property indicator_type4   DRAW_LINE

#property indicator_color4  clrOrange

#property indicator_style4  STYLE_SOLID

#property indicator_width4  1

//--- input parameters

input uint     InpPeriod   =  20;   // Range

input uint     InpPeriodMA =  50;   // MA period

//--- indicator buffers

double         BufferDU[];

double         BufferDN[];

double         BufferDM[];

double         BufferMA[];

//--- global variables

int            period;

int            period_ma;

int            period_max;

int            handle_ma;

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

//| Custom indicator initialization function                         |

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

int OnInit()

  {

//--- set global variables

   period=int(InpPeriod<1 ? 1 : InpPeriod);

   period_ma=int(InpPeriodMA<1 ? 1 : InpPeriodMA);

   period_max=fmax(period,period_ma);

//--- indicator buffers mapping

   SetIndexBuffer(0,BufferDU,INDICATOR_DATA);

   SetIndexBuffer(1,BufferDN,INDICATOR_DATA);

   SetIndexBuffer(2,BufferDM,INDICATOR_DATA);

   SetIndexBuffer(3,BufferMA,INDICATOR_DATA);

//--- setting indicator parameters

   IndicatorSetString(INDICATOR_SHORTNAME,"Mean reversion ("+(string)period+","+(string)period_ma+")");

   IndicatorSetInteger(INDICATOR_DIGITS,Digits());

//--- setting plot buffer parameters

   PlotIndexSetString(0,PLOT_LABEL,"Highest at "+(string)period);

   PlotIndexSetString(1,PLOT_LABEL,"Lowest at "+(string)period);

   PlotIndexSetString(2,PLOT_LABEL,"Median at "+(string)period);

   PlotIndexSetString(3,PLOT_LABEL,"MovAvg "+(string)period_ma);

//--- setting buffer arrays as timeseries

   ArraySetAsSeries(BufferDU,true);

   ArraySetAsSeries(BufferDN,true);

   ArraySetAsSeries(BufferDM,true);

   ArraySetAsSeries(BufferMA,true);

//--- create handles

   ResetLastError();

   handle_ma=iMA(NULL,PERIOD_CURRENT,period_ma,0,MODE_SMA,PRICE_CLOSE);

   if(handle_ma==INVALID_HANDLE)

     {

      Print("The iMA(",(string)period_ma,") object was not created: Error ",GetLastError());

      return INIT_FAILED;

     }

//---

   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[])

  {

//--- #AB0=>2:0 <0AA82>2 1CD5@>2 :0: B09<A5@89

   ArraySetAsSeries(high,true);

   ArraySetAsSeries(low,true);

//--- @>25@:0 :>;8G5AB20 4>ABC?=KE 10@>2

   if(rates_total<fmax(period_max,4)) return 0;

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

   int limit=rates_total-prev_calculated;

   if(limit>1)

     {

      limit=rates_total-period-1;

      ArrayInitialize(BufferDU,EMPTY_VALUE);

      ArrayInitialize(BufferDN,EMPTY_VALUE);

      ArrayInitialize(BufferDM,EMPTY_VALUE);

      ArrayInitialize(BufferMA,0);

     }

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

   int count=(limit>1 ? rates_total : 1);

   int copied=CopyBuffer(handle_ma,0,0,count,BufferMA);

   if(copied!=count) return 0;



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

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

     {

      int bl=Lowest(period,i);

      int bh=Highest(period,i);

      if(bl==WRONG_VALUE || bh==WRONG_VALUE)

         continue;

      double min=low[bl];

      double max=high[bh];

      BufferDN[i]=min;

      BufferDU[i]=max;

      BufferDM[i]=(min+max)/2.0;

     }



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

   return(rates_total);

  }

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

//| >72@0I05B 8=45:A <0:A8<0;L=>3> 7=0G5=8O B09<A5@88 High          |

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

int Highest(const int count,const int start,const bool as_series=true)

  {

   double array[];

   ArraySetAsSeries(array,as_series);

   return(CopyHigh(Symbol(),PERIOD_CURRENT,start,count,array)==count ? ArrayMaximum(array)+start : WRONG_VALUE);

  }

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

//| >72@0I05B 8=45:A <8=8<0;L=>3> 7=0G5=8O B09<A5@88 Low            |

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

int Lowest(const int count,const int start,const bool as_series=true)

  {

   double array[];

   ArraySetAsSeries(array,as_series);

   return(CopyLow(Symbol(),PERIOD_CURRENT,start,count,array)==count ? ArrayMinimum(array)+start : WRONG_VALUE);

  }

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