ParabolicRegression_StopAndReverse

//+------------------------------------------------------------------+
//|                        ^X_ParabolicRegression_StopAndReverse.mq4 |
//|                                                      Version 1.1 |
//|                     Copyright © 2007, Mr.WT, Senior Linux Hacker |
//|                                       http://www.metaquotes.net/ |
//+------------------------------------------------------------------+
#property copyright "Copyright © 2007, Mr.WT, Senior Linux Hacker"
#property link      "http://www.metaquotes.net/"
//----
#property indicator_chart_window
#property indicator_buffers 4
#property indicator_color1 Aqua
#property indicator_color2 Orange
#property indicator_color3 DeepSkyBlue
#property indicator_color4 Red
//----
extern int _RegressionDegree = 2;
extern double _K_DeviationChannel = 2;
extern color _TrendLineColor = Gold;
extern color _ResLineColor = OrangeRed;
extern color _SupLineColor = DeepSkyBlue;
extern color _RegressionColor1 = Yellow;
extern color _RegressionColor2 = Lime;
extern color _RegressionColor3 = Red;
extern color _RegressionColor4 = RoyalBlue;
//----
double _K_Fibo1 = 1.618;
double _K_Fibo2 = 2.618;
//----
double fx, fx1;
double a[10,10], b[10], x[10], sx[20];
double sum, sum1, sq; 
int p, nn, kt;
//----
int i0, ip, pn, i0n, ipn;
int t0, tp, te, te1;
int _N_Time, _Cur_Period;
//---- buffers
double Support1[];
double Support2[];
double Resist1[];
double Resist2[];
//+------------------------------------------------------------------+
//| Custom indicator initialization function                         |
//+------------------------------------------------------------------+
int init() 
  {
//----
   IndicatorBuffers(4);
   SetIndexStyle(0, DRAW_ARROW);
   SetIndexArrow(0, 159);
   SetIndexBuffer(0, Support1);
//----
   SetIndexStyle(1, DRAW_ARROW);
   SetIndexArrow(1, 159);
   SetIndexBuffer(1, Resist1);
//----
   SetIndexStyle(2, DRAW_ARROW);
   SetIndexArrow(2, 159);
   SetIndexBuffer(2, Support2);
//----
   SetIndexStyle(3, DRAW_ARROW);
   SetIndexArrow(3, 159);
   SetIndexBuffer(3, Resist2);
//----
   SetIndexDrawBegin(0, p);
   SetIndexDrawBegin(1, p);
   SetIndexDrawBegin(2, p);
   SetIndexDrawBegin(3, p);
//----
   SetIndexLabel(0, "1-st Level Stop/Reverse");
   SetIndexLabel(1, "1-st Level Stop/Reverse");
   SetIndexLabel(2, "2-nd Level Stop/Reverse");
   SetIndexLabel(3, "2-nd Level Stop/Reverse");
//----   
   IndicatorShortName("Stop And Reverse");
//----
   if(Period() == PERIOD_MN1) 
     {
       p = 13;
     } 
   else 
       if(Period() == PERIOD_W1) 
         {
           p = 21;
         } 
       else 
           if(Period() == PERIOD_D1) 
             {
               p = 89;
             } 
           else 
               if(Period() == PERIOD_H4) 
                 {
                   p = 144;
                 } 
               else 
                   p = 233;
//--- too small history
   if(p > Bars) 
     {
       Comment("\n\n                    ERROR - TOO SMALL HISTORY, RETURN NOW!");
       return(-1);  // then exit
     }
//  ar
   kt = Period()*60;
   nn = _RegressionDegree + 1; 
//----
   t0 = Time[0];
   i0 = iBarShift(Symbol(), Period(), t0);
   ip = i0 + p;
   tp = Time[ip];
   pn = p;
//  ar
   for(int j = -p / 2; j < p; j++)
     {
       ObjectCreate("ar" + j, 2, 0, Time[i0+1+j], 0, Time[i0+j], 0); 
       ObjectSet("ar" + j, OBJPROP_RAY, 0);  
       ObjectCreate("arH" + j, 2, 0, Time[i0+1+j], 0, Time[i0+j], 0); 
       ObjectSet("arH" + j, OBJPROP_RAY, 0);
       ObjectCreate("arL" + j, 2, 0, Time[i0+1+j], 0, Time[i0+j], 0); 
       ObjectSet("arL" + j, OBJPROP_RAY, 0);  
     }
//  LR
   ObjectCreate("LR", OBJ_TREND, 0, Time[0], 0, Time[0], 0);
   ObjectSet("LR", OBJPROP_COLOR, _TrendLineColor); 
   ObjectSet("LR", OBJPROP_RAY, 1);
   ObjectSet("LR", OBJPROP_STYLE, STYLE_DASH);
//----
   ObjectCreate("2-nd Level ResLine", OBJ_TREND, 0, Time[0], 0, 
                Time[0], 0);
   ObjectSet("2-nd Level ResLine", OBJPROP_COLOR, _ResLineColor);
   ObjectSet("2-nd Level ResLine", OBJPROP_RAY, 1);
   ObjectSet("2-nd Level ResLine", OBJPROP_STYLE, STYLE_DASH);
//----
   ObjectCreate("2-nd Level SupLine", OBJ_TREND, 0, Time[0], 0, 
                Time[0], 0);
   ObjectSet("2-nd Level SupLine", OBJPROP_COLOR, _SupLineColor);
   ObjectSet("2-nd Level SupLine", OBJPROP_RAY,1);
   ObjectSet("2-nd Level SupLine", OBJPROP_STYLE, STYLE_DASH);
//----
   _N_Time = 0;
   _Cur_Period = 0;
   return(0);
 }
//+------------------------------------------------------------------+
//|                                                                  |
//+------------------------------------------------------------------+
int deinit() 
  {
   for(int j = p; j >= -p / 2; j--)
     { 
       ObjectDelete("ar" + j);
       ObjectDelete("arH" + j);
       ObjectDelete("arL" + j);
     }
   ObjectDelete("LR");
   ObjectDelete("2-nd Level ResLine");
   ObjectDelete("2-nd Level SupLine");
   Comment("");
   return(0);
  }
//+------------------------------------------------------------------+
//|                                                                  |
//+------------------------------------------------------------------+
int start() 
  {
   if(_N_Time != Time[0] || _Cur_Period != Period()) 
     {
       int i, n, k;
       //---- 
       if(i0n!=i0 || ipn!=ip)
         {
           p = ip - i0;
           i0n = ip;
           ipn = ip;
           //----
           if(pn < p)
             {
               for(int j = pn; j <= p; j++) 
                 {
                   ObjectCreate("ar" + j, 2, 0, Time[i0+1+j], 0, 
                                Time[i0+j], 0);
                   ObjectSet("ar" + j, OBJPROP_RAY, 0);
                   ObjectCreate("arH" + j, 2, 0, Time[i0+1+j], 0, 
                                Time[i0+j], 0);
                   ObjectSet("arH" + j, OBJPROP_RAY, 0);
                   ObjectCreate("arL" + j, 2, 0, Time[i0+1+j], 0,
                                Time[i0+j], 0);
                   ObjectSet("arL" + j, OBJPROP_RAY, 0);
                 }  
               //----
               for(j = -pn / 2; j >= -p / 2; j--) 
                 {
                   ObjectCreate("ar" + j, 2, 0, Time[i0+1+j], 0, 
                                Time[i0+j], 0); 
                   ObjectSet("ar" + j, OBJPROP_RAY, 0); 
                   ObjectCreate("arH" + j, 2, 0, Time[i0+1+j], 0,
                                Time[i0+j], 0); 
                   ObjectSet("arH" + j, OBJPROP_RAY, 0); 
                   ObjectCreate("arL" + j, 2, 0, Time[i0+1+j], 0,
                                Time[i0+j], 0); 
                   ObjectSet("arL" + j, OBJPROP_RAY, 0);
                 } 
               pn = p;    
             }
           if(pn > p)
             {
               for(j = pn; j >= p; j--) 
                 {
                   ObjectDelete("ar" + j); 
                   ObjectDelete("arH" + j); 
                   ObjectDelete("arL" + j);
                 }
               for(j = -p / 2; j >= -pn / 2; j--) 
                 {
                   ObjectDelete("ar" + j); 
                   ObjectDelete("arH" + j); 
                   ObjectDelete("arL" + j);
                 }   
               pn = p;
             }
         }
       //  PR
       sx[1] = p + 1;
       //  sx
       for(i=1; i<=nn*2-2; i++) 
         {
           sum = 0.0; 
           for(n = i0; n <= i0 + p; n++) 
               sum += MathPow(n, i); 
           sx[i+1] = sum;
         }  
       //  syx
       for(i=1; i<=nn; i++) 
         {
           sum = 0.0; 
           for(n = i0; n <= i0 + p; n++) 
             {
               if(i == 1) 
                   sum += Close[n]; 
               else 
                   sum += Close[n]*MathPow(n, i - 1);
             } 
           b[i] = sum;
         } 
       //  Matrix
       for(j = 1; j <= nn; j++) 
         {
           for(i = 1; i <= nn; i++) 
             {
               k = i + j - 1; 
               a[i,j] = sx[k];
             }
         }  
       // Gauss
       af_Gauss(nn, a, b, x);
       //  SQ
       sq = 0.0;
       for(n = p; n >= 0; n--)
         {
           sum = 0.0;
           for(k = 1; k <= _RegressionDegree; k++) 
             {
               sum += x[k+1]*MathPow(i0 + n, k); 
               sum1 += x[k+1]*MathPow(i0 + n + 1, k);
             }
           fx = x[1] + sum;
           sq += MathPow(Close[n+i0] - fx, 2);
         }
       sq = _K_DeviationChannel*MathSqrt(sq / (p + 1));
       //----
       for(n = p; n >= -p / 2; n--) 
         {
           sum = 0.0; 
           sum1 = 0.0; 
           //----
           for(k = 1; k <= _RegressionDegree; k++) 
             {
               sum += x[k+1]*MathPow(i0 + n, k); 
               sum1 += x[k+1]*MathPow(i0 + n + 1, k);
             }  
           fx = x[1] + sum;
           fx1 = x[1] + sum1;
           //----
           if(n >= 0 && n < p)
             {
               ObjectMove("ar" + n, 0, Time[n+i0+1], fx1); 
               ObjectMove("ar" + n, 1, Time[n+i0], fx);
               ObjectMove("arH" + n, 0, Time[n+i0+1], fx1 + sq); 
               ObjectMove("arH" + n, 1, Time[n+i0], fx + sq);
               ObjectMove("arL" + n, 0, Time[n+i0+1], fx1 - sq); 
               ObjectMove("arL" + n, 1, Time[n+i0], fx - sq);
               //----
               if(fx > fx1) 
                 {
                   ObjectSet("ar" + n, OBJPROP_COLOR, _RegressionColor1); 
                   ObjectSet("arH" + n, OBJPROP_COLOR, _RegressionColor1); 
                   ObjectSet("arL" + n, OBJPROP_COLOR, _RegressionColor1);
                 }
               //----
               if(fx < fx1) 
                 {
                   ObjectSet("ar" + n, OBJPROP_COLOR, _RegressionColor2); 
                   ObjectSet("arH" + n, OBJPROP_COLOR, _RegressionColor2); 
                   ObjectSet("arL" + n, OBJPROP_COLOR, _RegressionColor2);
                 }  
             }
           if(n < 0)
             {
               if((n + i0) >= 0) 
                 {
                   ObjectMove("ar" + n, 0, Time[n+i0+1], fx1); 
                   ObjectMove("ar" + n, 1, Time[n+i0], fx);
                   ObjectMove("arH" + n, 0, Time[n+i0+1], fx1 + sq); 
                   ObjectMove("arH" + n, 1, Time[n+i0], fx + sq);
                   ObjectMove("arL" + n, 0, Time[n+i0+1], fx1 - sq); 
                   ObjectMove("arL" + n, 1, Time[n+i0], fx - sq);
                 }
               if((n + i0) < 0) 
                 {
                   te = Time[0] - (n + i0)*kt; 
                   te1 = Time[0] - (n + i0 + 1)*kt;
                   ObjectMove("ar" + n, 0, te1, fx1); 
                   ObjectMove("ar" + n, 1, te, fx);
                   ObjectMove("arH" + n, 0, te1, fx1 + sq); 
                   ObjectMove("arH" + n, 1, te, fx + sq);
                   ObjectMove("arL" + n, 0, te1, fx1 - sq); 
                   ObjectMove("arL" + n, 1, te, fx - sq);
                 } 
               if(fx > fx1) 
                 {
                   ObjectSet("ar" + n, OBJPROP_COLOR, _RegressionColor3); 
                   ObjectSet("arH" + n, OBJPROP_COLOR, _RegressionColor3); 
                   ObjectSet("arL" + n, OBJPROP_COLOR, _RegressionColor3);
                 }
               if(fx<fx1) 
                 {
                   ObjectSet("ar" + n, OBJPROP_COLOR, _RegressionColor4); 
                   ObjectSet("arH" + n, OBJPROP_COLOR, _RegressionColor4); 
                   ObjectSet("arL" + n, OBJPROP_COLOR, _RegressionColor4);
                 }
             }
         }
       // regression calculation
       int end.bar = 1, start.bar = p + 1, q = p;
       // calculate price values
       double xvalue, a, b, c, sumy = 0.0, sumx = 0.0, sumxy = 0.0, sumx2 = 0.0;
       for(int x = 0; x < q; x++)
         {
           xvalue = Close[end.bar+x];
           sumy += xvalue;
           sumxy += xvalue*x;
           sumx += x;
           sumx2 += x*x;
         }
       c = sumx2*q - sumx*sumx;
       if(c == 0.0) 
           return;
       b = (sumxy*q - sumx*sumy) / c;
       a = (sumy - sumx*b) / q;
       double LR.price.2 = a;
       double LR.price.1 = a + b*q;
       //--- deviation
       double AvgRange = 0.0, sumq = 0.0, std.dev;
       for(x = end.bar; x < start.bar; x++) 
         {
           AvgRange += (High[x] - Low[x])*(High[x] - Low[x]);
           sumq += (High[x] - Low[x]);
         }
       std.dev = AvgRange / sumq;
       ObjectMove("LR", 0, Time[start.bar], LR.price.1);
       ObjectMove("LR", 1, Time[end.bar], LR.price.2);
       ObjectMove("2-nd Level ResLine", 0, Time[start.bar], 
                  LR.price.1 + _K_Fibo2*std.dev);
       ObjectMove("2-nd Level ResLine", 1, Time[end.bar], 
                  LR.price.2 + _K_Fibo2*std.dev);
       ObjectMove("2-nd Level SupLine", 0, Time[start.bar], 
                  LR.price.1 - _K_Fibo2*std.dev);
       ObjectMove("2-nd Level SupLine", 1, Time[end.bar], 
                  LR.price.2 - _K_Fibo2*std.dev);
       // stop-reverse calculation
       if(Point == 0.01) 
           std.dev /= 100;
       int trend = 0, trend2 = 0;
       if(LR.price.1 < LR.price.2) 
         {
           Support1[start.bar-1] = LR.price.1 - _K_Fibo1*std.dev;
           Support2[start.bar-1] = LR.price.1 - _K_Fibo2*std.dev;
           Resist1[start.bar-1] = 0.0;
           Resist2[start.bar-1] = 0.0;
           trend = 1;
           trend2 = 1;
         } 
       else 
         {
           Resist1[start.bar-1] = LR.price.1 + _K_Fibo1*std.dev;
           Resist2[start.bar-1] = LR.price.1 + _K_Fibo2*std.dev;
           Support1[start.bar-1] = 0.0;
           Support2[start.bar-1] = 0.0;
           trend = -1;
           trend2 = -1;
         }
       double value, price = ObjectGetValueByShift("LR", start.bar - 2), 
                                                   value2, price2 = price;
       for(x = start.bar - 2; x > 0; x--) 
         {
           // First Stop-Reverse
           if(trend > 0) 
             {
               if(Close[x] > price) 
                   price = Close[x];
               value = price * (1 - _K_Fibo1*std.dev);
               if(Close[x] < value) 
                 {
                   price = Close[x];
                   value = price * (1 + _K_Fibo1*std.dev);
                   trend = -1;
                 }
             } 
           else 
               if(trend < 0) 
                 {
                   if(Close[x] < price) 
                       price = Close[x];
                   value = price * (1 + _K_Fibo1*std.dev);
                   if(Close[x] > value) 
                     {
                       price = Close[x];
                       value = price * (1 - _K_Fibo1*std.dev);
                       trend = 1;
                     }
                 }
           // Second Stop-Reverse
           if(trend2 > 0) 
             {
               if(Close[x] > price2) 
                   price2 = Close[x];
               value2 = price2 * (1 - _K_Fibo2*std.dev);
               if(Close[x] < value2) 
                 {
                   price2 = Close[x];
                   value2 = price2 * (1 + _K_Fibo2*std.dev);
                   trend2 = -1;
                 }
             } 
           else 
               if(trend2 < 0) 
                 {
                   if(Close[x] < price2) 
                       price2 = Close[x];
                   value2 = price2 * (1 + _K_Fibo2*std.dev);
                   if(Close[x] > value2) 
                     {
                       price2 = Close[x];
                       value2 = price2 * (1 - _K_Fibo2*std.dev);
                       trend2 = 1;
                     }
                 }
           //  Show me a Picture please
           if(trend == 1)  
             {
               Support1[x] = value;
               Resist1[x] = 0.0;
             } 
           else 
               if(trend == -1)  
                 {
                   Resist1[x] = value;
                   Support1[x] = 0.0;
                 }
               if(trend2 == 1)  
                 {
                   Support2[x] = value2;
                   Resist2[x] = 0.0;
                 } 
               else 
                   if(trend2 == -1)  
                     {
                       Resist2[x] = value2;
                       Support2[x] = 0.0;
                     }
         }
       Support1[0] = Support1[1];
       Resist1[0] = Resist1[1];
       Support2[0] = Support2[1];
       Resist2[0] = Resist2[1];
       _N_Time = Time[0];
       _Cur_Period = Period();
     }//main if()
   return(0);
  }//end of program
//+------------------------------------------------------------------+
//|                                                                  |
//+------------------------------------------------------------------+
void af_Gauss(int n, double& a[][],double& b[], double& x[]) 
  {
   int i, j, k, l;
   double q, m, t;
//----
   for(k = 1; k <= n - 1; k++) 
     {
       l = 0; 
       m = 0; 
       for(i = k; i <= n; i++) 
         {
           if(MathAbs(a[i,k]) > m) 
             {
               m = MathAbs(a[i,k]); 
               l = i;
             }
         } 
       if(l == 0) 
           return(0);   
       if(l != k) 
         {
           for(j = 1; j <= n; j++) 
             {
               t = a[k,j]; 
               a[k,j] = a[l,j]; 
               a[l,j] = t;
             } 
           t = b[k]; 
           b[k] = b[l]; 
           b[l] = t;
         }  
       for(i = k + 1; i <= n; i++) 
         {
           q = a[i,k] / a[k,k]; 
           for(j = 1; j <= n; j++) 
             {
               if(j == k) 
                   a[i,j] = 0; 
               else 
                   a[i,j] = a[i,j] - q*a[k,j];
             } 
           b[i] = b[i] - q*b[k];
         }
     }  
   x[n] = b[n] / a[n,n]; 
   for(i = n - 1; i >= 1; i--) 
     {
       t = 0; 
       for(j = 1; j <= n - i; j++) 
         {
           t = t + a[i,i+j]*x[i+j]; 
           x[i] = (1 / a[i,i])*(b[i]-t);
         }
     }
  }
//+------------------------------------------------------------------+