//+--------------------------------------------------------------------+ //| Copyright: (C) 2014, Miroslav Popov - All rights reserved! | //| Website: http://forexsb.com/ | //| Support: http://forexsb.com/forum/ | //| License: Proprietary under the following circumstances: | //| | //| This code is a part of Forex Strategy Builder. It is free for | //| use as an integral part of Forex Strategy Builder. | //| One can modify it in order to improve the code or to fit it for | //| personal use. This code or any part of it cannot be used in | //| another applications without a permission. Contact information | //| cannot be changed. | //| | //| NO LIABILITY FOR CONSEQUENTIAL DAMAGES | //| | //| In no event shall the author be liable for any damages whatsoever | //| (including, without limitation, incidental, direct, indirect and | //| consequential damages, damages for loss of business profits, | //| business interruption, loss of business information, or other | //| pecuniary loss) arising out of the use or inability to use this | //| product, even if advised of the possibility of such damages. | //+--------------------------------------------------------------------+ #property copyright "Copyright 2014, Miroslav Popov" #property link "http://forexsb.com" #property version "1.00" #property strict #include #include //+------------------------------------------------------------------+ //| | //+------------------------------------------------------------------+ class FractalDimensionIndex : public Indicator { public: FractalDimensionIndex(SlotTypes slotType) { SlotType=slotType; IndicatorName="Fractal Dimension Index"; WarningMessage = ""; IsAllowLTF = true; ExecTime = ExecutionTime_DuringTheBar; IsSeparateChart = true; IsDiscreteValues = false; IsDeafultGroupAll = false; } virtual void Calculate(DataSet &dataSet); }; //+------------------------------------------------------------------+ //| | //+------------------------------------------------------------------+ void FractalDimensionIndex::Calculate(DataSet &dataSet) { Data=GetPointer(dataSet); // Reading the parameters BasePrice basePrice = (BasePrice)ListParam[2].Index; int iPeriod = (int)NumParam[0].Value; double dLevel = NumParam[1].Value; int iPrvs = (SlotType == SlotTypes_OpenFilter) ? 1 : 0; //Calculation int iFirstBar=iPeriod+10; double adBasePrice[]; Price(basePrice,adBasePrice); double adFractalDim[]; ArrayResize(adFractalDim,Data.Bars);ArrayInitialize(adFractalDim,0); double adUpperBand[]; ArrayResize(adUpperBand, Data.Bars);ArrayInitialize(adUpperBand,0); double adLowerBand[]; ArrayResize(adLowerBand, Data.Bars);ArrayInitialize(adLowerBand,0); double adLevel[]; ArrayResize(adLevel,Data.Bars); ArrayInitialize(adLevel,0); double dPriceMax; double dPriceMin; double dDiff; double dPriorDiff; double dLength; double dVar; double dStdDev; double dMean; double dSum; double dDelta; for(int iBar=iFirstBar; iBardPriceMax) dPriceMax=adBasePrice[iBar-iBack]; if(adBasePrice[iBar-iBack]0) { dDiff=(adBasePrice[iIteration]-dPriceMin)/(dPriceMax-dPriceMin); if(iIteration>1) { dLength+=MathSqrt(MathPow(dDiff-dPriorDiff,2)+(1/MathPow(iPeriod,2))); } dPriorDiff=dDiff; } } if(dLength>0) { adFractalDim[iBar]=1+(MathLog(dLength)+MathLog(2))/MathLog(2*iPeriod); dMean=dLength/(iPeriod-1); for(int iIteration=1; iIteration0) { dDiff=(adBasePrice[iIteration]-dPriceMin)/(dPriceMax-dPriceMin); if(iIteration>1) { dDelta=MathSqrt(MathPow(dDiff-dPriorDiff,2)+(1/MathPow(iPeriod,2))); dSum+=MathPow(dDelta-(dLength/(iPeriod-1)),2); } dPriorDiff=dDiff; } } dVar=dSum/(MathPow(dLength,2)*MathPow(MathLog(2*(iPeriod-1)),2)); } else { adFractalDim[iBar]=0; dVar=0; } dStdDev=MathSqrt(dVar); adUpperBand[iBar] = adFractalDim[iBar] + dStdDev; adLowerBand[iBar] = adFractalDim[iBar] - dStdDev; adLevel[iBar]=dLevel; } // Saving the components ArrayResize(Component[0].Value,Data.Bars); Component[0].CompName = "FDI"; Component[0].DataType = IndComponentType_IndicatorValue; Component[0].FirstBar = iFirstBar; ArrayCopy(Component[0].Value,adFractalDim); ArrayResize(Component[1].Value,Data.Bars); Component[1].FirstBar=iFirstBar; ArrayResize(Component[2].Value,Data.Bars); Component[2].FirstBar=iFirstBar; ArrayResize(Component[3].Value,Data.Bars); Component[3].CompName = "Upper Band"; Component[3].DataType = IndComponentType_IndicatorValue; Component[3].FirstBar = iFirstBar; ArrayCopy(Component[3].Value,adUpperBand); ArrayResize(Component[4].Value,Data.Bars); Component[4].CompName = "Lower Band"; Component[4].DataType = IndComponentType_IndicatorValue; Component[4].FirstBar = iFirstBar; ArrayCopy(Component[4].Value,adLowerBand); ArrayResize(Component[5].Value,Data.Bars); Component[5].CompName = "Level"; Component[5].DataType = IndComponentType_IndicatorValue; Component[5].FirstBar = iFirstBar; ArrayCopy(Component[5].Value,adLevel); // Sets the Component's type if(SlotType==SlotTypes_OpenFilter) { Component[1].DataType = IndComponentType_AllowOpenLong; Component[1].CompName = "Is long entry allowed"; Component[2].DataType = IndComponentType_AllowOpenShort; Component[2].CompName = "Is short entry allowed"; } else if(SlotType==SlotTypes_CloseFilter) { Component[1].DataType = IndComponentType_ForceCloseLong; Component[1].CompName = "Close out long position"; Component[2].DataType = IndComponentType_ForceCloseShort; Component[2].CompName = "Close out short position"; } // Calculation of the logic IndicatorLogic indLogic=IndicatorLogic_It_does_not_act_as_a_filter; if(ListParam[0].Text=="The FDI rises") { indLogic=IndicatorLogic_The_indicator_rises; } else if(ListParam[0].Text=="The FDI falls") { indLogic=IndicatorLogic_The_indicator_falls; } else if(ListParam[0].Text=="The FDI is higher than the Level line") { indLogic=IndicatorLogic_The_indicator_is_higher_than_the_level_line; } else if(ListParam[0].Text=="The FDI is lower than the Level line") { indLogic=IndicatorLogic_The_indicator_is_lower_than_the_level_line; } else if(ListParam[0].Text=="The FDI crosses the Level line upward") { indLogic=IndicatorLogic_The_indicator_crosses_the_level_line_upward; } else if(ListParam[0].Text=="The FDI crosses the Level line downward") { indLogic=IndicatorLogic_The_indicator_crosses_the_level_line_downward; } else if(ListParam[0].Text=="The FDI changes its direction upward") { indLogic=IndicatorLogic_The_indicator_changes_its_direction_upward; } else if(ListParam[0].Text=="The FDI changes its direction downward") { indLogic=IndicatorLogic_The_indicator_changes_its_direction_downward; } NoDirectionOscillatorLogic(iFirstBar,iPrvs,adFractalDim,dLevel,Component[1],indLogic); ArrayCopy(Component[2].Value,Component[1].Value); } //+------------------------------------------------------------------+