R Squared Indicator with MQH by jetaro
62384 downloads / 8724 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.
//==============================================================
// 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
//+--------------------------------------------------------------------+ //| 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]; } //+------------------------------------------------------------------+
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Copyright © 2006 - 2024, Forex Software Ltd.;