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MP_R-Squared_function
//+------------------------------------------------------------------+
//| r-squared indicator
//| by Onur Sirek
//+------------------------------------------------------------------+
#property copyright "Onur Sirek"
#property link "melihonurs@gmail.com"
#property strict
#property indicator_separate_window
#property indicator_maximum 100
#property indicator_minimum -100
/*
#property indicator_minimum 0
#property indicator_maximum 1
#property indicator_level1 0.2
#property indicator_level2 0.8
*/
#property indicator_buffers 2
#property indicator_color1 Red
#property indicator_color2 Fuchsia
enum onB {BA_ActualBar,BA_PastBar};
extern int RSQPeriod=50;
extern ENUM_APPLIED_PRICE RSQ_Price=PRICE_MEDIAN;
extern onB RSQ_Bar=BA_PastBar;
extern int RSQ_Timer=1;
extern int RSQ_MaxBars=500;
double RSQBuffer[],DegBuffer[];
double Graph[],Data[];
int barsCounted=0,offsetBar=0;
bool flgSeconds=false,flgDoOnce=false;
double stdDev=0,variance=0;
double Slope=0,kOrigin=0,Degrees=0;
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
int init()
{
string short_name;
short_name="r-squared("+(string)RSQPeriod+")";
IndicatorShortName(short_name);
//IndicatorDigits(2);
SetLevelValue(0,calcLevel(RSQPeriod));
SetIndexStyle(0,DRAW_LINE);
SetIndexBuffer(0,RSQBuffer);
SetIndexLabel(0,short_name);
SetIndexDrawBegin(0,RSQPeriod);
SetIndexStyle(1,DRAW_LINE);
SetIndexBuffer(1,DegBuffer);
SetIndexLabel(1,"Degrees");
SetIndexDrawBegin(1,RSQPeriod);
ArrayResize(Graph,RSQPeriod);
ArrayResize(Data,RSQPeriod);
offsetBar=0;
if(RSQ_Bar==BA_PastBar)
offsetBar=1;
if(RSQ_Timer>0)
{
if(EventSetTimer(RSQ_Timer)==false)
Print("No timer!!!!");
}
return(INIT_SUCCEEDED);
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
void OnTimer()
{
flgSeconds=true;
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
int start()
{
//if(flgDoOnce)ExpertRemove();
//Print("OnMainCycle: ",TimeCurrent());
//if(flgSeconds)Print("MainCycle->Secs: ",TimeCurrent());
int bars_count;
int counted_bars=IndicatorCounted();
if((RSQPeriod<2) || (Bars<RSQPeriod))
return(0);
bars_count=Bars-RSQPeriod-1;
if(counted_bars>RSQPeriod)
bars_count=Bars-counted_bars-1;
if(bars_count>RSQ_MaxBars)
bars_count=RSQ_MaxBars;
for(int i=0+offsetBar; i<bars_count+offsetBar; i++)
{
stats_copy_prices(RSQ_Price,RSQPeriod,i,Data);
RSQBuffer[i] = RSquared(RSQPeriod,i,Data,Graph,stdDev,variance,Slope,Degrees,kOrigin,true)*100;
DegBuffer[i] = Degrees;
if(!flgDoOnce || flgSeconds || isNewBar())
{
//Print("Redrawing: ",TimeCurrent());
stats_draw_line(offsetBar,stdDev);
}
}
//flgDoOnce=true;
flgSeconds=false;
return(0);
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
void stats_copy_prices(int price,int period,int shift,double &data[])
{
//Print("Copiando: ",period," Datos");
for(int i=0; i<period; i++)
{
{if(price==PRICE_CLOSE)data[i]=Close[i+shift];}
{if(price==PRICE_HIGH)data[i]=High[i+shift];}
{if(price==PRICE_LOW)data[i]=Low[i+shift];}
{if(price==PRICE_OPEN)data[i]=Open[i+shift];}
{if(price==PRICE_MEDIAN)data[i]=(High[i+shift]+Low[i+shift])/2;}
{if(price==PRICE_TYPICAL)data[i]=(High[i+shift] + Low[i+shift] + Close[i+shift])/3;}
{if(price==PRICE_WEIGHTED)data[i]=(High[i+shift] + Low[i+shift] + Close[i+shift] + Close[i+shift])/4;}
//Print("i: ",i," Dato: ",data[i]);
}
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
void stats_draw_line(int offset,double std_dev)
{
double StdDevUp[],StdDevDn[];
ArrayResize(StdDevUp,RSQPeriod+2);
ArrayResize(StdDevDn,RSQPeriod+2);
ObjectsDeleteAll(0,"TrendLine");
drawFakeGraph("TrendLine",clrAqua,Graph,offset);
if(std_dev>0)
{
for(int i=0; i<ArraySize(Graph)-0; i++)
{
StdDevUp[i]=Graph[i]+std_dev;
StdDevDn[i]=Graph[i]-std_dev;
}
ObjectsDeleteAll(0,"StdDev_");
drawFakeGraph("StdDev_Up",clrFuchsia,StdDevUp,offset);
drawFakeGraph("StdDev_Dn",clrFuchsia,StdDevDn,offset);
}
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
double calcLevel(double per)
{
double per1=0,lev1=0,lenper=0,levdif=0;
if(per<=5)
return(0.77);
if((per>5) && (per<=10))
{per1=5; lev1=0.77; lenper=5; levdif=0.37;}
if((per>10) && (per<=14))
{per1=10; lev1=0.40; lenper=4; levdif=0.13;}
if((per>14) && (per<=20))
{per1=14; lev1=0.27; lenper=6; levdif=0.07;}
if((per>20) && (per<=25))
{per1=20; lev1=0.20; lenper=5; levdif=0.04;}
if((per>25) && (per<=30))
{per1=25; lev1=0.16; lenper=5; levdif=0.03;}
if((per>30) && (per<=50))
{per1=30; lev1=0.13; lenper=20; levdif=0.05;}
if((per>50) && (per<=60))
{per1=50; lev1=0.08; lenper=10; levdif=0.02;}
if((per>60) && (per<=120))
{per1=60; lev1=0.06; lenper=60; levdif=0.03;}
if(per>120)
return(0.03);
return(lev1 - (per-per1)*(levdif/lenper));
}
// r-squared shows the correlation with its linear regression line
// values close to 1.0 show perfect relation
// values close to 0.0 show poor relation
// See Metastock Help
// To determine if the trend is statistically significant for a given x-period linear regression line,
// plot the r-squared indicator and refer to the following table. This table shows the values of
// r-squared required for a 95% confidence level at various time periods. If the r-squared value
// is less than the critical values shown, you should assume that prices show no statistically
// significant trend.
// Number ofPeriods r-squaredCritical Value(95%confidence)
// 5 0.77
// 10 0.40
// 14 0.27
// 20 0.20
// 25 0.16
// 30 0.13
// 50 0.08
// 60 0.06
// 120 0.03
// You may even consider opening a short-term position opposite the prevailing trend when you
// observe r-squared rounding off at extreme levels. For example, if the slope is positive and
// r-squared is above 0.80 and begins to turn down, you may consider selling or opening a short position.
// There are numerous ways to use the linear regression outputs of r-squared and Slope in trading
// systems. For more detailed coverage, refer to the book The New Technical Trader by Tushar Chande
// and Stanley Kroll.
//+------------------------------------------------------------------+
void drawLineTrendPoints(string name,datetime t1,double price1,datetime t2,double price2,color clr=clrWheat,bool flgExtend=false,int wdth=1,int stle=STYLE_SOLID,bool bkgrnd=true)
{
if(ObjectCreate(name,OBJ_TREND,0,t1,price1,t2,price2))
{
//ObjectSet(name,OBJPROP_RAY,flgExtend);
ObjectSetInteger(ChartID(),name,OBJPROP_COLOR,clr);
ObjectSetInteger(ChartID(),name,OBJPROP_ZORDER,FALSE);
ObjectSetInteger(ChartID(),name,OBJPROP_STYLE,stle);
ObjectSetInteger(ChartID(),name,OBJPROP_WIDTH,wdth);
ObjectSetInteger(ChartID(),name,OBJPROP_RAY,flgExtend);
ObjectSetInteger(ChartID(),name,OBJPROP_BACK,bkgrnd);
}
else
{
ObjectMove(name,0,t1,price1);
ObjectMove(name,1,t2,price2);
//--- forced chart redraw
}
//if(wait>0)Sleep(wait);
ChartRedraw(ChartID());
}
//+------------------------------------------------------------------+
void drawFakeGraph(string name,color fColor,double &points[],int offset)
{
for(int i=0; i<ArraySize(points)-1; i++)
{
if(points[i]>0 && points[i+1]>0)
{
drawLineTrendPoints(name+"_"+IntegerToString(i),Time[i+offset],points[i],Time[i+1+offset],points[i+1],fColor,false,1,STYLE_SOLID,false);
}
}
ChartRedraw();
}
//+------------------------------------------------------------------+
//+------------------------------------------------------------------+
bool isNewBar()
{
bool r=false;
static datetime TempoSalvato=0;
if(TempoSalvato!=Time[0])
{barsCounted++; r=true; TempoSalvato=Time[0];}
return(r);
}
//+------------------------------------------------------------------+
//+------------------------------------------------------------------+
double shifted_data_variance(double &data[])
{
double varianc=0,Ex=0,Ex2=0;
if(ArraySize(data)< 2)
return (0.0);
double K = data[0];
double n = Ex = Ex2 = 0.0;
for(int x=0; x<ArraySize(data); x++)
{
n = n + 1;
Ex += data[x] - K;
Ex2 += (data[x] - K) * (data[x] - K);
}
varianc = (Ex2 - (Ex * Ex) / n) / (n - 1);
// use n instead of (n-1) if want to compute the exact variance of the given data
// use (n-1) if data are samples of a larger population
return (varianc);
}
//+------------------------------------------------------------------+
double two_pass_variance(double &data[])
{
double varianc=0, n = 0,sum1 = 0,sum2 = 0,mean=0;
for(int x=0; x<ArraySize(data); x++)
{
n += 1;
sum1 += data[x];
}
mean = sum1 / n;
for(int x=0; x<ArraySize(data); x++)
{
sum2 += (data[x] - mean) * (data[x] - mean);
}
//varianc = sum2 / (n - 1);
varianc = sum2 / (n - 0);
return (varianc);
}
//+------------------------------------------------------------------+
//+------------------------------------------------------------------+
void label_to_candle(string name,string Text,int candleNo,double price,color Clr=clrWhite,int Win=0,int FSize=10)
{
bool created=ObjectCreate(Win,name,OBJ_TEXT,0,Time[candleNo],price);
if(created)// If set up - let's make tuning for it
{
//--- Point anchor is above in order not to cover bar
ObjectSetInteger(Win,name,OBJPROP_ANCHOR,ANCHOR_TOP);
//--- Final touch - Text
ObjectSetText(name,Text,FSize,"Arial",Clr);
}
ObjectMove(Win,name,0,Time[candleNo],price);
ObjectSetString(Win,name,OBJPROP_TEXT,Text);
}
//+------------------------------------------------------------------+
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
double RSquared(int per,int shift,double &data[],double &graph[],double &StdDeviation,double &varianc,double &slope,double °rees,double &b,bool flgGenerateGraph=true)
{
int i;
double x, y, div;
double Ex=0.0, Ey=0.0, Exy=0.0, Ex2=0.0, Ey2=0.0;
double Ex22, Ey22;
double r=0,rSquared=0;
for(i=1; i<=per; i++)
{
x = i; // x axis value
y = data[i-1]; // y axis value
//y = Close[i-1+shift]; // y axis value
Ex += x;
Ey += y;
Exy += x*y;
Ex2 += MathPow(x,2);
Ey2 += MathPow(y,2);
}
Ex22=MathPow(Ex,2);
Ey22=MathPow(Ey,2);
slope = (per*Exy-Ex*Ey) / (per*Ex2-Ex22); // slope of regression line
b = (Ey-slope*Ex)/per;
if(flgGenerateGraph)
{
{for(i=0; i<per; i++) {graph[i]=((i+1)*slope)+b;}}
}
slope=slope*-1;
degrees=NormalizeDouble(MathArctan(slope)*(180/M_PI),2);
//---
double Deviation=0,Sredn_y=0;
Sredn_y=Ey/per;
for(i=0; i<per; i++)
{Deviation=Deviation+MathPow((data[i]-Sredn_y),2);}
StdDeviation=MathSqrt(Deviation/per);
varianc=Deviation/per;
//---
div = MathSqrt((per*Ex2-Ex22)*(per*Ey2-Ey22));
if(div==0)
return(0);
r = (per*Exy-Ex*Ey) / div;
rSquared=MathPow(r,2);
string cmt="RSquared: "+(string)rSquared+" StdDev: "+(string)StdDeviation+" Variance: "+(string)varianc+" Slope: "+(string)slope+" B: "+(string)b+" Dg: "+(string)degrees+" Lvl: "+(string)calcLevel(RSQPeriod);
Comment(cmt);
//Print(cmt);
return(rSquared);
}
//+------------------------------------------------------------------+
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