Pearson coeficcient

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

#property copyright   "© mladen, 2018"

#property link        "mladenfx@gmail.com"

#property description "Pearson coeficcient"

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

#property indicator_separate_window

#property indicator_buffers 7

#property indicator_plots   4

#property indicator_label1  "Level up"

#property indicator_type1   DRAW_LINE

#property indicator_color1  clrForestGreen

#property indicator_style1  STYLE_DOT

#property indicator_label2  "Middle level"

#property indicator_type2   DRAW_LINE

#property indicator_color2  clrDarkGray

#property indicator_style2  STYLE_DOT

#property indicator_label3  "Level down"

#property indicator_type3   DRAW_LINE

#property indicator_color3  clrCrimson

#property indicator_style3  STYLE_DOT

#property indicator_label4  "Pearson coeficcient"

#property indicator_type4   DRAW_COLOR_LINE

#property indicator_color4  clrDarkGray,clrCrimson,clrForestGreen

#property indicator_width4  2

//--- input parameters

enum enColorMode

{

   col_onZero, // Change color on middle line cross

   col_onOuter // Change color on outer levels cross

};

input string             inpSymbol      = "";          // Second symbol

input int                inpPeriod      = 30;          // Period

input int                inpLag         = 1;           // Lag of the second symbol

input ENUM_APPLIED_PRICE inpPrice       = PRICE_CLOSE; // Price

input enColorMode        inpColorMode   = col_onOuter; // Change color mode 

//--- indicator buffers

double val[],valc[],flup[],flmi[],fldn[],diff[],difl[];

string _forSymbol;

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

//| Custom indicator initialization function                         | 

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

int OnInit()

  {

//--- indicator buffers mapping

   SetIndexBuffer(0,flup,INDICATOR_DATA);

   SetIndexBuffer(1,flmi,INDICATOR_DATA);

   SetIndexBuffer(2,fldn,INDICATOR_DATA);

   SetIndexBuffer(3,val,INDICATOR_DATA);

   SetIndexBuffer(4,valc,INDICATOR_COLOR_INDEX);

   SetIndexBuffer(5,diff,INDICATOR_CALCULATIONS);

   SetIndexBuffer(6,difl,INDICATOR_CALCULATIONS);

//--- indicator short name assignment

   _forSymbol = (inpSymbol=="") ? _Symbol : inpSymbol;

   IndicatorSetString(INDICATOR_SHORTNAME,"Pearson "+_Symbol+" to "+_forSymbol+" coeficcient ("+(string)inpPeriod+","+(string)inpLag+")");

//---

   return (INIT_SUCCEEDED);

  }

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

//| Custom indicator de-initialization function                      |

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

void OnDeinit(const int reason)

  {

  }

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

//| 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[])

  {

   if(Bars(_Symbol,_Period)<rates_total) return(prev_calculated);

   

   //

   //---

   //



   double pers = MathSqrt(inpPeriod);

      MqlRates _ratesf[1];

      MqlRates _ratesl[1];

      for(int i=(int)MathMax(prev_calculated-1,0); i<rates_total && !_StopFlag; i++)

      {

         int _ratesfCopied =               CopyRates(_Symbol   ,0,time[i       ],1,_ratesf);

         int _rateslCopied = (i>=inpLag) ? CopyRates(_forSymbol,0,time[i-inpLag],1,_ratesl) : CopyRates(_forSymbol,0,time[i],1,_ratesl);

         diff[i] = (_ratesfCopied == 1) ? getPrice(inpPrice,_ratesf) : 0;

         difl[i] = (_rateslCopied == 1) ? getPrice(inpPrice,_ratesl) : 0;

            double dev1 = iDeviation(diff,inpPeriod,i);

            double dev2 = iDeviation(difl,inpPeriod,i);

                   val[i]  = (dev1!=0 && dev2!=0) ? iCovariance(diff,difl,inpPeriod,i)/(dev1*dev2) : 0;

            double pe      = 0.6745*(1.0-val[i]*val[i])/pers;

            flup[i] =  6.0*pe;

            fldn[i] = -6.0*pe;

            flmi[i] =       0;

            switch (inpColorMode)

            {

               case col_onOuter : valc[i] = (val[i]>flup[i]) ? 2 :(val[i]<fldn[i]) ? 1 : 0; break;

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

            }            

      }

   return(rates_total);

  }

  

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

//| Custom functions                                                 |

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

double iDeviation(double& array[], int size, int i, bool isSample = false)

{

   double avg = array[i]; for (int k=1; k<size && (i-k)>=0; k++) avg  += array[i-k];  avg /= (double)size;

   double sum = 0;

      for (int k=0; k<size&& (i-k)>=0; k++) sum += (array[i-k]-avg)*(array[i-k]-avg);

   

      if (isSample)         

            return(MathSqrt(sum/(double)(size-1)));

      else  return(MathSqrt(sum/(double)(size)));

}

//

//---

//

double iCovariance(double& indep[], double& depen[], int size, int i, bool isSample = false)

{

   double avgi = indep[i]; for (int k=1; k<size && (i-k)>=0; k++) avgi += indep[i-k]; avgi /= size;

   double avgd = depen[i]; for (int k=1; k<size && (i-k)>=0; k++) avgd += depen[i-k]; avgd /= size;

   double sum = 0;

      for (int k=0; k<size && (i-k)>=0; k++) sum += (indep[i-k]-avgi)*(depen[i-k]-avgd);



      if (isSample)         

            return(sum/(size-1));

      else  return(sum/(size));

} 

//

//---

//

double getPrice(ENUM_APPLIED_PRICE tprice, MqlRates& _rates[])

  {

      switch(tprice)

        {

         case PRICE_CLOSE:     return(_rates[0].close);

         case PRICE_OPEN:      return(_rates[0].open);

         case PRICE_HIGH:      return(_rates[0].high);

         case PRICE_LOW:       return(_rates[0].low);

         case PRICE_MEDIAN:    return((_rates[0].high+_rates[0].low)/2.0);

         case PRICE_TYPICAL:   return((_rates[0].high+_rates[0].low+_rates[0].close)/3.0);

         case PRICE_WEIGHTED:  return((_rates[0].high+_rates[0].low+_rates[0].close+_rates[0].close)/4.0);

        }

        return(0);

  }

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