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MTF_FractalDispersion11
//+------------------------------------------------------------------------------------------------------------------+
//| MTF_FractalDispersion11.mqh |
//| jppoton [jppoton@yahoo.com] |
//| |
//| |
//| This indicator provides with an estimation of the dispersion of several timeframes'Fractal Dimensions (computed |
//| by FGDI.mq4) around the value of the fractal dimension taken from the longest timeframe. |
//| It is pretty obvious why the dipersion is taken around this value and not around the mean for instance, anyway, |
//| I provide all the theoretical details and justifications on my blog (http://fractalfinance.blogspot.com/). | |
//| |
//| The TimeFrames covered are from 5mn to the day (i.e. 5,15,30,60,240,1440), any of these TimeFrame can be |
//| excluded (by setting its weight to 0) or weighted to make one TimeFrame more significant, by default, all |
//| the weights (which must be integer) are set to 1. |
//| |
//| |
//| 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, within the TF you are trading in. |
//| |
//| 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) M5w => 1 |
//| 4) M15w => 1 |
//| 5) M30w => 1 |
//| 6) M60w => 1 |
//| 7) M240w => 0 |
//| 8) M1440w => 0 |
//| Defines the weights to be applied to the given timeframe value of the fractal dimension |
//| |
//| v1.1 - April 2010 |
//+------------------------------------------------------------------------------------------------------------------+
#property link "jppoton@yahoo.com"
//---
#property indicator_separate_window
#property indicator_buffers 1
#property indicator_color1 Orange
#property indicator_width1 2
//************************************************************
// Private vars
//************************************************************
//---- input buffer
double InputBuffer[];
//---- output buffer
double OutputBuffer[];
int N;
//************************************************************
// Constant
//************************************************************
string INDICATOR_NAME="MTF_FracDisp";
string FILENAME ="MTF_FractalDispersion11.mq4";
//************************************************************
// Input parameters
//************************************************************
extern int e_period =30;
extern int e_type_data =PRICE_CLOSE;
extern int M5w =1;
extern int M15w =1;
extern int M30w =1;
extern int M60w =1;
extern int M240w =0;
extern int M1440w =0;
//+-----------------------------------------------------------------------+
//| 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 );
}
N=M1440w+M240w+M60w+M30w+M15w+M5w;
if (N==0||N==1)
{
Alert( "At least two timeframes must be selected" );
return(-1);
}
IndicatorBuffers( 1 );
SetIndexBuffer( 0, OutputBuffer );
SetIndexStyle( 0, DRAW_LINE, STYLE_SOLID, 2 );
IndicatorShortName( INDICATOR_NAME );
SetIndexLabel( 0, INDICATOR_NAME );
SetIndexDrawBegin( 0, 2 * e_period );
//----
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 countedBars=IndicatorCounted();
//---- check for possible errors
if(countedBars < 0)
{
return(-1);
}
_computeLastNbBars( Bars - countedBars - 1 );
//----
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 )
{
int pos;
switch( e_type_data )
{
case PRICE_CLOSE : FractalDispersion( lastBars, Close ); break;
case PRICE_OPEN : FractalDispersion( lastBars, Open ); break;
case PRICE_HIGH : FractalDispersion( lastBars, High ); break;
case PRICE_LOW : FractalDispersion( lastBars, Low ); break;
case PRICE_MEDIAN :
for( pos=lastBars; pos>=0; pos--)InputBuffer[pos]=(High[pos]+Low[pos])/2.0; FractalDispersion( lastBars, InputBuffer );
break;
case PRICE_TYPICAL :
for( pos=lastBars; pos>=0; pos--)InputBuffer[pos]=(High[pos]+Low[pos]+Close[pos])/3.0; FractalDispersion( lastBars, InputBuffer );
break;
case PRICE_WEIGHTED :
for( pos=lastBars; pos>=0; pos--)InputBuffer[pos]=(High[pos]+Low[pos]+Close[pos]+Close[pos])/4.0; FractalDispersion( lastBars, InputBuffer );
break;
default :
Alert( "[ 20-ERROR " + FILENAME + " ] the imput parameter e_type_data <" + e_type_data + "> is unknown" );
}
}
//+------------------------------------------------------------------+
//| FUNCTION : FractalDispersion |
//| Compute the dispersion of the fractal dimensions around the |
//| chosen TimeFrame from input data. |
//| In : |
//| - lastBars : these "n" last bars must be repainted |
//| - inputData : data array on which the FGDI will be applied |
//+------------------------------------------------------------------+
void FractalDispersion( int lastBars, double inputData[] )
{
int pos;
double M5fdi[2000];
double M15fdi[2000];
double M30fdi[2000];
double M60fdi[2000];
double M240fdi[2000];
double M1440fdi[2000];
double M5dev,M15dev,M30dev,M60dev,M240dev,M1440dev,sigma;
//----
for( pos=lastBars; pos>=0; pos-- )
{
//----Calculation of the fractal dimension on all the timeframes and storage of their values in M_fdi[] arrays
if (iCustom(Symbol(),5,"FGDI",e_period,e_type_data,1.5,0,pos)==EMPTY_VALUE)
{M5fdi[pos]=iCustom(Symbol(),5,"FGDI",e_period,e_type_data,1.5,1,pos);}
else
{M5fdi[pos]=iCustom(Symbol(),5,"FGDI",e_period,e_type_data,1.5,0,pos);}
if (iCustom(Symbol(),15,"FGDI",e_period,e_type_data,1.5,0,pos)==EMPTY_VALUE)
{M15fdi[pos]=iCustom(Symbol(),15,"FGDI",e_period,e_type_data,1.5,1,pos);}
else
{M15fdi[pos]=iCustom(Symbol(),15,"FGDI",e_period,e_type_data,1.5,0,pos);}
if (iCustom(Symbol(),30,"FGDI",e_period,e_type_data,1.5,0,pos)==EMPTY_VALUE)
{M30fdi[pos]=iCustom(Symbol(),30,"FGDI",e_period,e_type_data,1.5,1,pos);}
else
{M30fdi[pos]=iCustom(Symbol(),30,"FGDI",e_period,e_type_data,1.5,0,pos);}
if (iCustom(Symbol(),60,"FGDI",e_period,e_type_data,1.5,0,pos)==EMPTY_VALUE)
{M60fdi[pos]=iCustom(Symbol(),60,"FGDI",e_period,e_type_data,1.5,1,pos);}
else
{M60fdi[pos]=iCustom(Symbol(),60,"FGDI",e_period,e_type_data,1.5,0,pos);}
if (iCustom(Symbol(),240,"FGDI",e_period,e_type_data,1.5,0,pos)==EMPTY_VALUE)
{M240fdi[pos]=iCustom(Symbol(),240,"FGDI",e_period,e_type_data,1.5,1,pos);}
else
{M240fdi[pos]=iCustom(Symbol(),240,"FGDI",e_period,e_type_data,1.5,0,pos);}
if (iCustom(Symbol(),1440,"FGDI",e_period,e_type_data,1.5,0,pos)==EMPTY_VALUE)
{M1440fdi[pos]=iCustom(Symbol(),1440,"FGDI",e_period,e_type_data,1.5,1,pos);}
else
{M1440fdi[pos]=iCustom(Symbol(),1440,"FGDI",e_period,e_type_data,1.5,0,pos);}
//------------------------------------------------------------------------------------------------------
//----Calculation of the deviation between the fractal dimensions of different timeframes, this
//----necessitates to shift the indexes between different arrays in order to have homogeneous values of
//----the fractal dimension, i.e, values that correspond to the same instant.
//------------------------------------------------------------------------------------------------------
if (M1440w>0)
{M5dev=M5w*MathPow(M5fdi[pos*288]-M1440fdi[pos],2);
M15dev=M15w*MathPow(M15fdi[pos*96]-M1440fdi[pos],2);
M30dev=M30w*MathPow(M30fdi[pos*48]-M1440fdi[pos],2);
M60dev=M60w*MathPow(M60fdi[pos*24]-M1440fdi[pos],2);
M240dev=M240w*MathPow(M240fdi[pos*6]-M1440fdi[pos],2);
M1440dev=0.0;}
else if (M240w>0)
{M5dev=M5w*MathPow(M5fdi[pos*48]-M240fdi[pos],2);
M15dev=M15w*MathPow(M15fdi[pos*16]-M240fdi[pos],2);
M30dev=M30w*MathPow(M30fdi[pos*8]-M240fdi[pos],2);
M60dev=M60w*MathPow(M60fdi[pos*4]-M240fdi[pos],2);
M240dev=0.0;
M1440dev=0.0;}
else if (M60w>0)
{M5dev=M5w*MathPow(M5fdi[pos*12]-M60fdi[pos],2);
M15dev=M15w*MathPow(M15fdi[pos*4]-M60fdi[pos],2);
M30dev=M30w*MathPow(M30fdi[pos*2]-M60fdi[pos],2);
M60dev=0.0;
M240dev=0.0;
M1440dev=0.0;}
else if (M30w>0)
{M5dev=M5w*MathPow(M5fdi[pos*6]-M30fdi[pos],2);
M15dev=M15w*MathPow(M15fdi[pos*2]-M30fdi[pos],2);
M30dev=0.0;
M60dev=0.0;
M240dev=0.0;
M1440dev=0.0;}
else if (M15w>0)
{M5dev=M5w*MathPow(M5fdi[pos*3]-M15fdi[pos],2);
M15dev=0.0;
M30dev=0.0;
M60dev=0.0;
M240dev=0.0;
M1440dev=0.0;}
else
{return(0);}
if (N>1)
{sigma=MathSqrt((M5dev+M15dev+M60dev+M240dev+M1440dev)/(N-1));}
else
{sigma=0;}
OutputBuffer[pos]=10*sigma;
}
}
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