s_FlatEfficiency_v1
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This script is designed to analyze and rank various financial instruments (symbols) based on their trading "efficiency" and market characteristics. Instead of just looking at a single price chart, it processes a large list of symbols simultaneously to help a trader determine which assets provide the best conditions for specific trading styles.
How the Logic Works
1. Data Collection and Filtering The script begins by reading a predefined list of financial symbols from a dedicated file. It then filters these symbols based on their "Spread" (the difference between the buy and sell price). Only instruments that meet your specified spread requirements are kept for analysis, ensuring the results focus on tradable assets rather than illiquid ones.
2. Market Analysis Parameters For every valid symbol found, the script calculates five key metrics over a specific historical period (defined by the number of bars):
- Flat Efficiency: Measures how much price movement occurs relative to the total range. This helps identify how "active" or "stable" an instrument is.
- Tick Sum: Tracks the total volume of price changes (ticks) during the period.
- Average Bar Size: Calculates the average physical size of a price candle.
- Bar Size / Spread Ratio: Determines the relationship between the actual movement of a candle and the cost of entering a trade (the spread). A higher ratio often suggests better "value" per trade.
- Deviation: Measures how much the price fluctuates away from its moving average, providing insight into volatility.
3. Automatic Data Validation The script includes a safety check to ensure it has successfully connected to and retrieved data for all symbols in your list. If any data is missing or unreachable, it will notify the user rather than producing inaccurate results.
4. Multi-Layered Reporting and Sorting Once all calculations are complete, the script generates a comprehensive text report. The core feature of this tool is its ability to automatically sort the entire list of symbols multiple times based on different priorities:
- By Flat Efficiency (to find consistent movers).
- By Tick Sum (to find high-activity assets).
- By Average Bar Size (to find high-volatility assets).
- By Bar Size/Spread Ratio (to find the most cost-effective assets).
- By Deviation (to see volatility levels).
Finally, it provides a "Ranking" section that summarizes the findings into a single comprehensive list for easy comparison.
User Summary
In short, this tool takes a "messy" list of many different markets and turns it into an organized laboratory report. It tells you which symbols are moving the most, which ones are the cheapest to trade relative to their movement, and which ones provide the most "efficient" price action for your specific timeframe.
Price Data Components
Indicators Used
Miscellaneous
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s_FlatEfficiency_v1
//+------------------------------------------------------------------+
//| ind_FlatEfficiency_v1.mq4 |
//| * |
//| * |
//+------------------------------------------------------------------+
#property copyright "Integer"
#property link "for-good-letter@yandex.ru"
#property show_inputs
extern int MaxSpread=8; // íå èñïîëçîâàòü ñèìâîëû ñî ñïðåäîì áîëüøå óñòàíîâëåííîãî
extern string SymbolsFile="symbols.set"; // èìÿ ôàéëà ñî ñïèñêîì ñèìâîëîâ (äîëæåí íàõîäèòüñÿ â experts/files)
extern string OutputFile="flateficiensy.txt"; // èìÿ ôàéëà äëÿ ñîõðàíåíèÿ ðåçóëüòàòîâ
extern int iPeriod=10000; // êîëè÷åñòâî èñïîëüçóåìûõ áàðîâ
/*
Èñïîëüçîâàíèå:
1. Ñîõðàíèòü â experts/files ôàéë symbols.set ñ íàáîðîì ñèìâîëîâ îêíà îáçîðà
ðûíêà (ïðàâàÿ êíîïêà â îêíå îáçîðà ðûíêà - íàáîð ñèìâîëîâ - ñîõðàíèòü êàê).
2. Çàïóñòèòü ñêðèïò íà ãðàôèêå ëþáîãî ñèìâîëà òðåáóåìîãî òàéìôðåéìà.
Ñêðèïò ïûòàåòñÿ ñàì ïîäãðóæàòü äàííûå ïî âñåì ñèìâîëàì, íî íå âñåãäà
ïîëó÷àåòñÿ ïîäãðóçèòü óñòàíîâëåííîå â iPeriod êîëè÷åñòâî ñ ïåðâîé ïîïûòêè,
ìîæåò ïîòðåáîâàòüñÿ ïîâòîðíûé çàïóñê ñêðèïòà.
3. Ñìîòðåòü â experts/files ôàéë _[TimeFrame]_flateficiensy.txt
*/
//+------------------------------------------------------------------+
//| Custom indicator initialization function |
//+------------------------------------------------------------------+
int init()
{
//----
return(0);
}
//+------------------------------------------------------------------+
//| Custom indicator deinitialization function |
//+------------------------------------------------------------------+
int deinit(){
return(0);
}
//+------------------------------------------------------------------+
//| Custom indicator iteration function |
//+------------------------------------------------------------------+
int start(){
OutputFile=fTimeFrameName(Period())+"_"+OutputFile;
string AllSymbols[];
double Result[];
int TickSum[];
double BarSize[];
double BarSizeRelative[];
double Deviation[];
int Reiting[];
int h=FileOpen(SymbolsFile,FILE_CSV|FILE_READ);
if(h>0){
while(!FileIsEnding(h)){
string str=FileReadString(h);
if(str!=""){
//if(iBars(str,0)>10000)
if(ND0(MarketInfo(str,MODE_SPREAD))<=MaxSpread){
ArrayResize(AllSymbols,ArraySize(AllSymbols)+1);
AllSymbols[ArraySize(AllSymbols)-1]=str;
}
}
}
}
else{
Alert("Íåò ôàéëà "+SymbolsFile);
return(0);
}
ArrayResize(Result,ArraySize(AllSymbols));
ArrayResize(TickSum,ArraySize(AllSymbols));
ArrayResize(BarSize,ArraySize(AllSymbols));
ArrayResize(BarSizeRelative,ArraySize(AllSymbols));
ArrayResize(Deviation,ArraySize(AllSymbols));
ArrayResize(Reiting,ArraySize(AllSymbols));
int BarC=0;
datetime daytimes[];
bool err=false;
while(!IsStopped()){
err=false;
for(int i=0;i<ArraySize(AllSymbols);i++){
ArrayCopySeries(daytimes,MODE_TIME,AllSymbols[i],0);
if(GetLastError()==4066 || iClose(AllSymbols[i],0,0)==0){
Comment("...æäó îáíîâëåíèÿ äàííûõ "+AllSymbols[i]);
Sleep(1000);
err=true;
break;
}
}
if(!err){
Comment("...äàííûå OK!");
Sleep(400);
Comment("...ïðîöåññ");
break;
}
}
if(err)return(0);
BarC=iBars(AllSymbols[0],0);
for(i=1;i<ArraySize(AllSymbols);i++){
BarC=MathMin(BarC,iBars(AllSymbols[i],0));
}
iPeriod=MathMin(iPeriod+2,BarC);
iPeriod-=2;
for(i=0;i<ArraySize(AllSymbols);i++){
Result[i]=0;
TickSum[i]=0;
BarSize[i]=0;
Deviation[i]=0;
for(int j=1;j<=iPeriod;j++){
Result[i]+=MathAbs(iClose(AllSymbols[i],0,j)-iClose(AllSymbols[i],0,j+1));
TickSum[i]+=iVolume(AllSymbols[i],0,j);
BarSize[i]+=iHigh(AllSymbols[i],0,j)-iLow(AllSymbols[i],0,j+1);
Deviation[i]+=MathPow(iClose(AllSymbols[i],0,j)-iMA(AllSymbols[i],0,iPeriod,0,0,0,1),2);
}
//Deviation[i]/=iPeriod;
Deviation[i]=MathSqrt(Deviation[i]/iPeriod);
//Alert(AllSymbols[i]," ",Deviation[i]);
Result[i]/=
(iHigh(AllSymbols[i],0,iHighest(AllSymbols[i],0,MODE_HIGH,iPeriod,1))-
iLow(AllSymbols[i],0,iLowest(AllSymbols[i],0,MODE_LOW,iPeriod,1)));
BarSize[i]/=iPeriod;
BarSize[i]/=MarketInfo(AllSymbols[i],MODE_POINT);
BarSizeRelative[i]= BarSize[i]/MarketInfo(AllSymbols[i],MODE_SPREAD);
}
h=FileOpen(OutputFile,FILE_CSV|FILE_WRITE,"\t");
if(h>0){
FileWrite(h,"Ñïðåä:");
FileWrite(h,"");
for(i=0;i<ArraySize(AllSymbols);i++){
FileWrite(h,AllSymbols[i],MarketInfo(AllSymbols[i],MODE_SPREAD));
}
FileWrite(h,"");
FileWrite(h,"Èñïîëüçîâàëîñü "+iPeriod+" (áàðîâ) "+fTimeFrameName(Period()));
FileWrite(h,"");
FileWrite(h,"Ñèìâîë | Ýôôåêòèâíîñòü ôëåòà | Ñóììà òèêîâ | Ñðåäíèé ðàçìåð áàðà | Ñðåäíèé ðàçìåð áàðà/ñïðåä | Äåâèàöèÿ");
FileWrite(h,"");
//==========================================================================================================================
FileWrite(h,"Îòñîðòèðîâàíî ïî \"Ýôôåêòèâíîñòü ôëåòà\"");
FileWrite(h,"");
for(i=0;i<ArraySize(AllSymbols);i++){
for(j=0;j<ArraySize(AllSymbols);j++){
if(Result[i]>Result[j]){ // ïî âîð
fArrayChangeValues_string(AllSymbols,i,j);
fArrayChangeValues_double(Result,i,j);
fArrayChangeValues_int(TickSum,i,j);
fArrayChangeValues_double(BarSize,i,j);
fArrayChangeValues_double(BarSizeRelative,i,j);
fArrayChangeValues_double(Deviation,i,j);
fArrayChangeValues_int(Reiting,i,j);
}
}
}
for(i=0;i<ArraySize(AllSymbols);i++){
Reiting[i]+=i;
FileWrite(h,AllSymbols[i],DS3(Result[i]),TickSum[i],DS0(BarSize[i]),DS3(BarSizeRelative[i]),DS5(Deviation[i]));
}
//==========================================================================================================================
FileWrite(h,"");
FileWrite(h,"Îòñîðòèðîâàíî ïî \"Ñóììà òèêîâ\"");
FileWrite(h,"");
for(i=0;i<ArraySize(AllSymbols);i++){
for(j=0;j<ArraySize(AllSymbols);j++){
if(TickSum[i]>TickSum[j]){ // ïî âîð
fArrayChangeValues_string(AllSymbols,i,j);
fArrayChangeValues_double(Result,i,j);
fArrayChangeValues_int(TickSum,i,j);
fArrayChangeValues_double(BarSize,i,j);
fArrayChangeValues_double(BarSizeRelative,i,j);
fArrayChangeValues_double(Deviation,i,j);
fArrayChangeValues_int(Reiting,i,j);
}
}
}
for(i=0;i<ArraySize(AllSymbols);i++){
Reiting[i]+=i;
FileWrite(h,AllSymbols[i],DS3(Result[i]),TickSum[i],DS0(BarSize[i]),DS3(BarSizeRelative[i]),DS5(Deviation[i]));
}
//==========================================================================================================================
FileWrite(h,"");
FileWrite(h,"Îòñîðòèðîâàíî ïî \"Ñðåäíèé ðàçìåð áàðà\"");
FileWrite(h,"");
for(i=0;i<ArraySize(AllSymbols);i++){
for(j=0;j<ArraySize(AllSymbols);j++){
if(BarSize[i]>BarSize[j]){ // ïî âîð
fArrayChangeValues_string(AllSymbols,i,j);
fArrayChangeValues_double(Result,i,j);
fArrayChangeValues_int(TickSum,i,j);
fArrayChangeValues_double(BarSize,i,j);
fArrayChangeValues_double(BarSizeRelative,i,j);
fArrayChangeValues_double(Deviation,i,j);
fArrayChangeValues_int(Reiting,i,j);
}
}
}
for(i=0;i<ArraySize(AllSymbols);i++){
Reiting[i]+=i;
FileWrite(h,AllSymbols[i],DS3(Result[i]),TickSum[i],DS0(BarSize[i]),DS3(BarSizeRelative[i]),DS5(Deviation[i]));
}
//==========================================================================================================================
FileWrite(h,"");
FileWrite(h,"Îòñîðòèðîâàíî ïî \"Ñðåäíèé ðàçìåð áàðà/ñïðåä\"");
FileWrite(h,"");
for(i=0;i<ArraySize(AllSymbols);i++){
for(j=0;j<ArraySize(AllSymbols);j++){
if(BarSizeRelative[i]>BarSizeRelative[j]){ // ïî âîð
fArrayChangeValues_string(AllSymbols,i,j);
fArrayChangeValues_double(Result,i,j);
fArrayChangeValues_int(TickSum,i,j);
fArrayChangeValues_double(BarSize,i,j);
fArrayChangeValues_double(BarSizeRelative,i,j);
fArrayChangeValues_double(Deviation,i,j);
fArrayChangeValues_int(Reiting,i,j);
}
}
}
for(i=0;i<ArraySize(AllSymbols);i++){
Reiting[i]+=i;
FileWrite(h,AllSymbols[i],DS3(Result[i]),TickSum[i],DS0(BarSize[i]),DS3(BarSizeRelative[i]),DS5(Deviation[i]));
}
//==========================================================================================================================
FileWrite(h,"");
FileWrite(h,"Îòñîðòèðîâàíî ïî \"Äåâèàöèÿ\"");
FileWrite(h,"");
for(i=0;i<ArraySize(AllSymbols);i++){
for(j=0;j<ArraySize(AllSymbols);j++){
if(Deviation[i]>Deviation[j]){ // ïî âîð
fArrayChangeValues_string(AllSymbols,i,j);
fArrayChangeValues_double(Result,i,j);
fArrayChangeValues_int(TickSum,i,j);
fArrayChangeValues_double(BarSize,i,j);
fArrayChangeValues_double(BarSizeRelative,i,j);
fArrayChangeValues_double(Deviation,i,j);
fArrayChangeValues_int(Reiting,i,j);
}
}
}
for(i=0;i<ArraySize(AllSymbols);i++){
Reiting[i]+=i;
FileWrite(h,AllSymbols[i],DS3(Result[i]),TickSum[i],DS0(BarSize[i]),DS3(BarSizeRelative[i]),DS5(Deviation[i]));
}
//==========================================================================================================================
FileWrite(h,"");
FileWrite(h,"ÐÅÉÒÈÍÃ");
FileWrite(h,"");
for(i=0;i<ArraySize(AllSymbols);i++){
for(j=0;j<ArraySize(AllSymbols);j++){
if(Reiting[i]<Reiting[j]){ // ïî âîð
fArrayChangeValues_string(AllSymbols,i,j);
fArrayChangeValues_double(Result,i,j);
fArrayChangeValues_int(TickSum,i,j);
fArrayChangeValues_double(BarSize,i,j);
fArrayChangeValues_double(BarSizeRelative,i,j);
fArrayChangeValues_double(Deviation,i,j);
fArrayChangeValues_int(Reiting,i,j);
}
}
}
for(i=0;i<ArraySize(AllSymbols);i++){
Reiting[i]+=i;
FileWrite(h,AllSymbols[i],DS3(Result[i]),TickSum[i],DS0(BarSize[i]),DS3(BarSizeRelative[i]),DS5(Deviation[i]),"R - "+Reiting[i],"(ñïðåä - "+DS0(MarketInfo(AllSymbols[i],MODE_SPREAD))+")");
}
}
else{
Alert("Îøèáêà ôàéëà "+OutputFile);
return(0);
}
Comment("");
Alert("Ãîòîâî "+iPeriod+" (áàðîâ). Ñì. ôàéë "+OutputFile);
return(0);
}
//+------------------------------------------------------------------+
string DS5(double v){return(DoubleToStr(v,5));}
string DS3(double v){return(DoubleToStr(v,3));}
string DS0(double v){return(DoubleToStr(v,0));}
double ND0(double v){return(NormalizeDouble(v,0));}
string fTimeFrameName(int arg){
// fTimeFrameName();
int v;
if(arg==0){
v=Period();
}
else{
v=arg;
}
switch(v){
case 0:
return("0");
case 1:
return("M1");
case 5:
return("M5");
case 15:
return("M15");
case 30:
return("M30");
case 60:
return("H1");
case 240:
return("H4");
case 1440:
return("D1");
case 10080:
return("W1");
case 43200:
return("MN1");
default:
return("Wrong TimeFrame");
}
}
void fArrayChangeValues_int(int & aArray[], int aIndex1,int aIndex2){
//fArrayChangeValues_int(,,);
int tmp;
tmp=aArray[aIndex1];
aArray[aIndex1]=aArray[aIndex2];
aArray[aIndex2]=tmp;
}
void fArrayChangeValues_string(string & aArray[], int aIndex1, int aIndex2){
string tmp;
tmp=aArray[aIndex1];
aArray[aIndex1]=aArray[aIndex2];
aArray[aIndex2]=tmp;
}
void fArrayChangeValues_double(double & aArray[], int aIndex1, int aIndex2){
double tmp;
tmp=aArray[aIndex1];
aArray[aIndex1]=aArray[aIndex2];
aArray[aIndex2]=tmp;
}
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