R Squared Indicator with MQH by jetaro
65638 downloads / 10221 views / Created: 10.02.2017
Average Rating: 0
Indicator Description
I created the MQL for the R Squared indicator by zuijaideai. Here's both the C# and mql together so it can be downloaded from FSB directly.
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//==============================================================
// Forex Strategy Builder
// Copyright � Miroslav Popov. All rights reserved.
//==============================================================
// THIS CODE IS PROVIDED "AS IS" WITHOUT WARRANTY OF ANY KIND,
// EITHER EXPRESSED OR IMPLIED, INCLUDING BUT NOT LIMITED TO
// THE IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR
// A PARTICULAR PURPOSE.
//==============================================================
using System;
using System.Drawing;
using ForexStrategyBuilder.Infrastructure.Entities;
using ForexStrategyBuilder.Infrastructure.Enums;
using ForexStrategyBuilder.Infrastructure.Interfaces;
namespace ForexStrategyBuilder.Indicators.Store
{
public class RSquared : Indicator
{
public RSquared()
{
// General properties
IndicatorName = "RSquared";
PossibleSlots = SlotTypes.OpenFilter | SlotTypes.CloseFilter;
SeparatedChart = true;
IndicatorAuthor = "Denny Imanuel";
IndicatorVersion = "2.1";
IndicatorDescription = "A custom indicator for FSB and FST.";
}
public override void Initialize(SlotTypes slotType)
{
SlotType = slotType;
IndParam.IndicatorType = TypeOfIndicator.Additional;
// The ComboBox parameters
IndParam.ListParam[0].Caption = "Logic";
IndParam.ListParam[0].ItemList = new string[]
{
"The R-Squared rises",
"The R-Squared falls",
"The R-Squared is higher than the Level line",
"The R-Squared is lower than the Level line",
"The R-Squared crosses the Level line upward",
"The R-Squared crosses the Level line downward",
"The R-Squared changes its direction upward",
"The R-Squared changes its direction downward"
};
IndParam.ListParam[0].Index = 0;
IndParam.ListParam[0].Text = IndParam.ListParam[0].ItemList[IndParam.ListParam[0].Index];
IndParam.ListParam[0].Enabled = true;
IndParam.ListParam[0].ToolTip = "Logic of application of the indicator.";
IndParam.ListParam[1].Caption = "Smoothing method";
IndParam.ListParam[1].ItemList = Enum.GetNames(typeof(MAMethod));
IndParam.ListParam[1].Index = (int)MAMethod.Simple;
IndParam.ListParam[1].Text = IndParam.ListParam[1].ItemList[IndParam.ListParam[1].Index];
IndParam.ListParam[1].Enabled = true;
IndParam.ListParam[1].ToolTip = "The method of Moving Average used for the calculations.";
IndParam.ListParam[2].Caption = "Base price";
IndParam.ListParam[2].ItemList = Enum.GetNames(typeof(BasePrice));
IndParam.ListParam[2].Index = (int)BasePrice.Close;
IndParam.ListParam[2].Text = IndParam.ListParam[2].ItemList[IndParam.ListParam[2].Index];
IndParam.ListParam[2].Enabled = true;
IndParam.ListParam[2].ToolTip = "The price the indicator is based on.";
// The NumericUpDown parameters
IndParam.NumParam[0].Caption = "R-Squared Period";
IndParam.NumParam[0].Value = 30;
IndParam.NumParam[0].Min = 2;
IndParam.NumParam[0].Max = 200;
IndParam.NumParam[0].Enabled = true;
IndParam.NumParam[0].ToolTip = "The period of R-Squared calculation.";
IndParam.NumParam[1].Caption = "Smoothing Period";
IndParam.NumParam[1].Value = 3;
IndParam.NumParam[1].Min = 2;
IndParam.NumParam[1].Max = 200;
IndParam.NumParam[1].Enabled = true;
IndParam.NumParam[1].ToolTip = "The period of Smoothing calculation.";
IndParam.NumParam[2].Caption = "Level";
IndParam.NumParam[2].Value = 0;
IndParam.NumParam[2].Min = 0;
IndParam.NumParam[2].Max = 100;
IndParam.NumParam[2].Point = 4;
IndParam.NumParam[2].Enabled = true;
IndParam.NumParam[2].ToolTip = "A critical level (for the appropriate logic).";
// The CheckBox parameters
IndParam.CheckParam[0].Caption = "Use previous bar value";
IndParam.CheckParam[0].Enabled = true;
IndParam.CheckParam[0].ToolTip = "Use the indicator value from the previous bar.";
}
public override void Calculate(IDataSet dataSet)
{
DataSet = dataSet;
// Reading the parameters
MAMethod maMethod = (MAMethod)IndParam.ListParam[1].Index;
BasePrice basePrice = (BasePrice)IndParam.ListParam[2].Index;
int iRSPeriod = (int)IndParam.NumParam[0].Value;
int iMAPeriod = (int)IndParam.NumParam[1].Value;
double dLevel = IndParam.NumParam[2].Value;
int iPrvs = IndParam.CheckParam[0].Checked ? 1 : 0;
// Calculation
double[] adPrice = Price(basePrice);
double[] adR = RCoefficient(adPrice, iRSPeriod);
double[] adRR = new double[Bars];
double[] adAvgRR = new double[Bars];
int iFirstBar = iRSPeriod + iMAPeriod + 1;
for (int iBar=iFirstBar; iBar< Bars; iBar++)
{
adRR[iBar] = Math.Pow(adR[iBar],2);
}
adAvgRR = MovingAverage(iMAPeriod, 0, maMethod, adRR);;
// Saving the components
Component = new IndicatorComp[3];
Component[0] = new IndicatorComp();
Component[0].CompName = "R-Squared";
Component[0].DataType = IndComponentType.IndicatorValue;
Component[0].ChartType = IndChartType.Line;
Component[0].ChartColor = Color.Blue;
Component[0].FirstBar = iFirstBar;
Component[0].Value = adAvgRR;
Component[1] = new IndicatorComp();
Component[1].ChartType = IndChartType.NoChart;
Component[1].FirstBar = iFirstBar;
Component[1].Value = new double[Bars];
Component[2] = new IndicatorComp();
Component[2].ChartType = IndChartType.NoChart;
Component[2].FirstBar = iFirstBar;
Component[2].Value = new double[Bars];
// 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;
switch (IndParam.ListParam[0].Text)
{
case "The R-Squared rises":
indLogic = IndicatorLogic.The_indicator_rises;
break;
case "The R-Squared falls":
indLogic = IndicatorLogic.The_indicator_falls;
break;
case "The R-Squared is higher than the Level line":
indLogic = IndicatorLogic.The_indicator_is_higher_than_the_level_line;
SpecialValues = new double[1] { dLevel };
break;
case "The R-Squared is lower than the Level line":
indLogic = IndicatorLogic.The_indicator_is_lower_than_the_level_line;
SpecialValues = new double[1] { dLevel };
break;
case "The R-Squared crosses the Level line upward":
indLogic = IndicatorLogic.The_indicator_crosses_the_level_line_upward;
SpecialValues = new double[1] { dLevel };
break;
case "The R-Squared crosses the Level line downward":
indLogic = IndicatorLogic.The_indicator_crosses_the_level_line_downward;
SpecialValues = new double[1] { dLevel };
break;
case "The R-Squared changes its direction upward":
indLogic = IndicatorLogic.The_indicator_changes_its_direction_upward;
break;
case "The R-Squared changes its direction downward":
indLogic = IndicatorLogic.The_indicator_changes_its_direction_downward;
break;
default:
break;
}
NoDirectionOscillatorLogic(iFirstBar, iPrvs, adAvgRR, dLevel, ref Component[1], indLogic);
Component[2].Value = Component[1].Value;
}
public override void SetDescription()
{
string sLevelLong = IndParam.NumParam[1].ValueToString;
string sLevelShort = sLevelLong;
EntryFilterLongDescription = "the " + ToString() + " ";
EntryFilterShortDescription = "the " + ToString() + " ";
ExitFilterLongDescription = "the " + ToString() + " ";
ExitFilterShortDescription = "the " + ToString() + " ";
switch (IndParam.ListParam[0].Text)
{
case "The R-Squared rises":
EntryFilterLongDescription += "rises";
EntryFilterShortDescription += "rises";
ExitFilterLongDescription += "rises";
ExitFilterShortDescription += "rises";
break;
case "The R-Squared falls":
EntryFilterLongDescription += "falls";
EntryFilterShortDescription += "falls";
ExitFilterLongDescription += "falls";
ExitFilterShortDescription += "falls";
break;
case "The R-Squared is higher than the Level line":
EntryFilterLongDescription += "is higher than the Level " + sLevelLong;
EntryFilterShortDescription += "is higher than the Level " + sLevelShort;
ExitFilterLongDescription += "is higher than the Level " + sLevelLong;
ExitFilterShortDescription += "is higher than the Level " + sLevelShort;
break;
case "The R-Squared is lower than the Level line":
EntryFilterLongDescription += "is lower than the Level " + sLevelLong;
EntryFilterShortDescription += "is lower than the Level " + sLevelShort;
ExitFilterLongDescription += "is lower than the Level " + sLevelLong;
ExitFilterShortDescription += "is lower than the Level " + sLevelShort;
break;
case "The R-Squared crosses the Level line upward":
EntryFilterLongDescription += "crosses the Level " + sLevelLong + " upward";
EntryFilterShortDescription += "crosses the Level " + sLevelShort + " upward";
ExitFilterLongDescription += "crosses the Level " + sLevelLong + " upward";
ExitFilterShortDescription += "crosses the Level " + sLevelShort + " upward";
break;
case "The R-Squared crosses the Level line downward":
EntryFilterLongDescription += "crosses the Level " + sLevelLong + " downward";
EntryFilterShortDescription += "crosses the Level " + sLevelShort + " downward";
ExitFilterLongDescription += "crosses the Level " + sLevelLong + " downward";
ExitFilterShortDescription += "crosses the Level " + sLevelShort + " downward";
break;
case "The R-Squared changes its direction upward":
EntryFilterLongDescription += "changes its direction upward";
EntryFilterShortDescription += "changes its direction upward";
ExitFilterLongDescription += "changes its direction upward";
ExitFilterShortDescription += "changes its direction upward";
break;
case "The R-Squared changes its direction downward":
EntryFilterLongDescription += "changes its direction downward";
EntryFilterShortDescription += "changes its direction downward";
ExitFilterLongDescription += "changes its direction downward";
ExitFilterShortDescription += "changes its direction downward";
break;
}
}
public override string ToString()
{
return IndicatorName +
(IndParam.CheckParam[0].Checked ? "* (" : " (") +
IndParam.ListParam[1].Text + ", " + // Smoothing method
IndParam.ListParam[2].Text + ", " + // Base price
IndParam.NumParam[0].ValueToString + ")"; // Period
}
protected double[] RCoefficient(double[] adPrice, int iLength)
{
double[] RCoeff = new double[Bars];
double[] X = new double[Bars];
double[] Y = new double[Bars];
double AvgX;
double AvgP;
double SumXP;
double SumXX;
double SumPP;
double LowerEQ1;
double LowerEQ2;
double UpperEQ;
double LowerEQ;
for (int iBar=iLength; iBar
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 140 141 142 143 144 145 146 147 148 149 150 151 152 153 154 155 156 157 158 159 160 161 162 163 164 165 166 167 168 169 170 171 172 173 174 175 176 177 178 179 180 181 182 183 184 185 186 187//+--------------------------------------------------------------------+ //| 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 <Forexsb.com/Indicator.mqh> #include <Forexsb.com/Enumerations.mqh> //+------------------------------------------------------------------+ //| | //+------------------------------------------------------------------+ class RSquared : public Indicator { public: RSquared(SlotTypes slotType) { SlotType=slotType; IndicatorName="R-Squared"; WarningMessage = ""; IsAllowLTF = false; ExecTime = ExecutionTime_AtBarOpening; IsSeparateChart = true; IsDiscreteValues = false; IsDeafultGroupAll = false; } virtual void Calculate(DataSet &dataSet); }; //+------------------------------------------------------------------+ //| | //+------------------------------------------------------------------+ void RSquared::Calculate(DataSet &dataSet) { Data=GetPointer(dataSet); // Reading the parameters MAMethod maMethod=(MAMethod)ListParam[1].Index; BasePrice basePrice=(BasePrice)ListParam[2].Index; int iRSPeriod = (int)NumParam[0].Value; int iMAPeriod= (int)NumParam[1].Value; double dLevel = NumParam[2].Value; int iPrvs=CheckParam[0].Checked ? 1 : 0; int iFirstBar=iRSPeriod+iMAPeriod+1; double adPrice[];Price(basePrice,adPrice); double adR[]; ArrayResize(adR,Data.Bars); ArrayInitialize(adR, 0); double adRR[]; ArrayResize(adRR,Data.Bars); ArrayInitialize(adRR, 0); double adAvgRR[]; ArrayResize(adAvgRR,Data.Bars); ArrayInitialize(adAvgRR, 0); double RCoeff[]; ArrayResize(RCoeff,Data.Bars); ArrayInitialize(RCoeff, 0); double X[];ArrayResize(X,Data.Bars); ArrayInitialize(X, 0); double Y[];ArrayResize(Y,Data.Bars); ArrayInitialize(Y, 0); double AvgX; double AvgP; double SumXP; double SumXX; double SumPP; double LowerEQ1; double LowerEQ2; double UpperEQ; double LowerEQ; for(int iBar=iFirstBar; iBar<Data.Bars; iBar++) { adRR[iBar] = MathPow(adR[iBar],2); } MovingAverage(iMAPeriod, 0, maMethod, adRR, adAvgRR); for (int iBar=iRSPeriod; iBar<Data.Bars; iBar++) { X[iBar] = iBar; Y[iBar] = adPrice[iBar]; AvgX = 0; AvgP = 0; SumXP=0; SumXX =0; SumPP=0; for (int iBack=0; iBack<iRSPeriod; iBack++) { AvgX = AvgX + X[iBar-iBack]/iRSPeriod; AvgP = AvgP + Y[iBar-iBack]/iRSPeriod; SumXP = SumXP + X[iBar-iBack]*Y[iBar-iBack]; SumXX = SumXX + X[iBar-iBack]*X[iBar-iBack]; SumPP = SumPP + Y[iBar-iBack]*Y[iBar-iBack]; } LowerEQ1 = SumXX - (iRSPeriod*AvgX*AvgX); LowerEQ2 = SumPP - (iRSPeriod*AvgP*AvgP); UpperEQ = SumXP - (iRSPeriod*AvgX*AvgP); LowerEQ = MathSqrt(MathAbs(LowerEQ1*LowerEQ2)); if (LowerEQ!=0) adR[iBar] = UpperEQ/LowerEQ; } // Saving the components ArrayResize(Component[0].Value,Data.Bars); Component[0].CompName = "R-Squared"; Component[0].DataType = IndComponentType_IndicatorValue; Component[0].FirstBar = iFirstBar; ArrayCopy(Component[0].Value,adAvgRR); ArrayResize(Component[1].Value,Data.Bars); Component[1].FirstBar=iFirstBar; ArrayResize(Component[2].Value,Data.Bars); Component[2].FirstBar=iFirstBar; // 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 R-Squared rises") indLogic = IndicatorLogic_The_indicator_rises; else if(ListParam[0].Text=="The R-Squared falls") indLogic = IndicatorLogic_The_indicator_falls; else if(ListParam[0].Text== "The R-Squared is higher than the Level line") indLogic = IndicatorLogic_The_indicator_is_higher_than_the_level_line; else if(ListParam[0].Text== "The R-Squared is lower than the Level line") indLogic = IndicatorLogic_The_indicator_is_lower_than_the_level_line; else if(ListParam[0].Text== "The R-Squared crosses the Level line upward") indLogic = IndicatorLogic_The_indicator_crosses_the_level_line_upward; else if(ListParam[0].Text=="The R-Squared crosses the Level line downward") indLogic = IndicatorLogic_The_indicator_crosses_the_level_line_downward; else if(ListParam[0].Text=="The R-Squared changes its direction upward") indLogic = IndicatorLogic_The_indicator_changes_its_direction_upward; else if(ListParam[0].Text=="The R-Squared changes its direction downward") indLogic = IndicatorLogic_The_indicator_changes_its_direction_downward; NoDirectionOscillatorLogic(iFirstBar, iPrvs, adAvgRR, dLevel, Component[1],indLogic); Component[2] = Component[1]; } //+------------------------------------------------------------------+
Risk warning: Forex, spread bets and CFD are leveraged products. They may not be suitable for you as they carry a high degree of risk to your capital and you can lose more than your initial investment. You should ensure you understand all of the risks.
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Copyright © 2006 - 2025, Forex Software Ltd.;