260 lines
16 KiB
Plaintext
260 lines
16 KiB
Plaintext
//+------------------------------------------------------------------+
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//| ATR_Trailing_Stop_1_Buffer.mq5 |
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//| Copyright 2018, MetaQuotes Software Corp. |
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//| https://mql5.com |
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//+------------------------------------------------------------------+
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#property copyright "Copyright 2018, MetaQuotes Software Corp."
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#property link "https://mql5.com"
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#property version "1.00"
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#property description "Modified ATR Trailing Stop indicator"
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#property indicator_chart_window
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#property indicator_buffers 5
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#property indicator_plots 1
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//--- plot UP
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#property indicator_label1 "Level up"
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#property indicator_type1 DRAW_LINE
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#property indicator_color1 clrRed
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#property indicator_style1 STYLE_SOLID
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#property indicator_width1 1
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//--- input parameters
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input uint InpPeriod = 7; // Period
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input double InpCoeff = 2.0; // Coefficient
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//--- indicator buffers
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double BufferMain[];
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double BufferHL[];
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double BufferDiff[];
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double BufferWMA[];
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double BufferTMP[];
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//--- global variables
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int period_ma;
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double K;
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//+------------------------------------------------------------------+
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//| Custom indicator initialization function |
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//+------------------------------------------------------------------+
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int OnInit()
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{
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//--- set global variables
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period_ma=int(InpPeriod<1 ? 1 : InpPeriod);
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double n1=2.0*double(period_ma-1);
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K=2.0/(n1+1);
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//--- indicator buffers mapping
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SetIndexBuffer(0,BufferMain,INDICATOR_DATA);
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SetIndexBuffer(1,BufferHL,INDICATOR_CALCULATIONS);
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SetIndexBuffer(2,BufferDiff,INDICATOR_CALCULATIONS);
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SetIndexBuffer(3,BufferWMA,INDICATOR_CALCULATIONS);
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SetIndexBuffer(4,BufferTMP,INDICATOR_CALCULATIONS);
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//--- setting indicator parameters
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IndicatorSetString(INDICATOR_SHORTNAME,"ModATRTS("+(string)period_ma+")");
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IndicatorSetInteger(INDICATOR_DIGITS,Digits());
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//--- setting buffer arrays as timeseries
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ArraySetAsSeries(BufferMain,true);
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ArraySetAsSeries(BufferHL,true);
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ArraySetAsSeries(BufferDiff,true);
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ArraySetAsSeries(BufferWMA,true);
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ArraySetAsSeries(BufferTMP,true);
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//---
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return(INIT_SUCCEEDED);
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}
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//+------------------------------------------------------------------+
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//| Custom indicator iteration function |
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//+------------------------------------------------------------------+
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int OnCalculate(const int rates_total,
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const int prev_calculated,
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const datetime &time[],
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const double &open[],
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const double &high[],
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const double &low[],
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const double &close[],
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const long &tick_volume[],
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const long &volume[],
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const int &spread[])
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{
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//--- Проверка на минимальное колиество баров для расчёта
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if(rates_total<period_ma)
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return 0;
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//--- Установка массивов буферов как таймсерий
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ArraySetAsSeries(high,true);
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ArraySetAsSeries(low,true);
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ArraySetAsSeries(close,true);
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//--- Проверка и расчёт количества просчитываемых баров
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int limit=rates_total-prev_calculated;
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if(limit>1)
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{
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limit=rates_total-2;
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ArrayInitialize(BufferMain,EMPTY_VALUE);
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ArrayInitialize(BufferHL,0);
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ArrayInitialize(BufferDiff,0);
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ArrayInitialize(BufferWMA,0);
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ArrayInitialize(BufferTMP,0);
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}
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//--- Подготовка данных
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for(int i=limit; i>=0 && !IsStopped(); i--)
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{
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BufferHL[i]=high[i]-low[i];
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double Href=0, Lref=0;
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double SMA=MAOnArray(BufferHL,0,period_ma,0,MODE_SMA,i);
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double HiLo=fmin(BufferHL[i],SMA);
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Href=(low[i]<=high[i+1] ? high[i]-close[i+1] : (BufferHL[i]-close[i+1]+high[i+1])/2);
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Lref=(high[i]>=low[i+1] ? close[i+1]-low[i] : (close[i+1]-low[i+1]+BufferHL[i])/2);
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BufferDiff[i]=fmax(HiLo,fmax(Href,Lref));
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}
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for(int i=limit; i>=0 && !IsStopped(); i--)
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{
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if(i==rates_total-2)
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BufferWMA[i]=MAOnArray(BufferDiff,0,period_ma,0,MODE_EMA,i);
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else
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BufferWMA[i]=(BufferDiff[i]-BufferWMA[i+1])*K+BufferWMA[i+1];
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}
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//--- Расчёт индикатора
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for(int i=limit; i>=0 && !IsStopped(); i--)
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{
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double loss=BufferWMA[i]*InpCoeff;
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if(close[i]>BufferTMP[i+1] && close[i+1]>BufferTMP[i+1])
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{
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BufferTMP[i]=fmax(BufferTMP[i+1],close[i]-loss);
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BufferMain[i]=BufferTMP[i];
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}
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else
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{
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if(close[i]<BufferTMP[i+1] && close[i+1]<BufferTMP[i+1])
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{
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BufferTMP[i]=fmin(BufferTMP[i+1],close[i]+loss);
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BufferMain[i]=BufferTMP[i];
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}
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else
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{
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if(close[i]>BufferTMP[i+1])
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{
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BufferTMP[i]=close[i]-loss;
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BufferMain[i]=BufferTMP[i];
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}
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else
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{
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BufferTMP[i]=close[i]+loss;
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BufferMain[i]=BufferTMP[i];
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}
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}
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}
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}
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//--- return value of prev_calculated for next call
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return(rates_total);
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}
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//+------------------------------------------------------------------+
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//| iMAOnArray() https://www.mql5.com/ru/articles/81 |
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//+------------------------------------------------------------------+
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double MAOnArray(double &array[],int total,int period,int ma_shift,int ma_method,int shift)
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{
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double buf[],arr[];
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if(total==0)
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total=ArraySize(array);
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if(total>0 && total<=period)
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return(0);
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if(shift>total-period-ma_shift)
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return(0);
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//---
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switch(ma_method)
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{
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case MODE_SMA :
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{
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total=ArrayCopy(arr,array,0,shift+ma_shift,period);
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if(ArrayResize(buf,total)<0)
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return(0);
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double sum=0;
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int i,pos=total-1;
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for(i=1; i<period; i++,pos--)
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sum+=arr[pos];
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while(pos>=0)
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{
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sum+=arr[pos];
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buf[pos]=sum/period;
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sum-=arr[pos+period-1];
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pos--;
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}
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return(buf[0]);
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}
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case MODE_EMA :
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{
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if(ArrayResize(buf,total)<0)
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return(0);
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double pr=2.0/(period+1);
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int pos=total-2;
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while(pos>=0)
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{
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if(pos==total-2)
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buf[pos+1]=array[pos+1];
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buf[pos]=array[pos]*pr+buf[pos+1]*(1-pr);
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pos--;
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}
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return(buf[shift+ma_shift]);
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}
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case MODE_SMMA :
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{
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if(ArrayResize(buf,total)<0)
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return(0);
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double sum=0;
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int i,k,pos;
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pos=total-period;
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while(pos>=0)
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{
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if(pos==total-period)
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{
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for(i=0,k=pos; i<period; i++,k++)
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{
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sum+=array[k];
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buf[k]=0;
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}
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}
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else
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sum=buf[pos+1]*(period-1)+array[pos];
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buf[pos]=sum/period;
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pos--;
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}
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return(buf[shift+ma_shift]);
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}
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case MODE_LWMA :
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{
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if(ArrayResize(buf,total)<0)
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return(0);
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double sum=0.0,lsum=0.0;
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double price;
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int i,weight=0,pos=total-1;
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for(i=1; i<=period; i++,pos--)
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{
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price=array[pos];
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sum+=price*i;
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lsum+=price;
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weight+=i;
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}
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pos++;
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i=pos+period;
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while(pos>=0)
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{
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buf[pos]=sum/weight;
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if(pos==0)
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break;
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pos--;
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i--;
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price=array[pos];
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sum=sum-lsum+price*period;
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lsum-=array[i];
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lsum+=price;
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}
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return(buf[shift+ma_shift]);
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}
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default:
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return(0);
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}
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return(0);
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}
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//+------------------------------------------------------------------+
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