主图指标 mt4指标类型：趋势指标 是否能用在mt4手机版上：否 是否含有未来函数：无 //+------------------------------------------------------------------------------------------------------------------+ //| FGDI.mq4 | //| jppoton [[email protected]] | //| | //| | //| This is a rework of the program fractal_dimension.mq4 by iliko (http://codebase.mql4.com/2275), it corrects some| //| minor mistakes, and adds a representation of the standard deviation of the estimation of the fractal dimension, | //| renamed here as Graph Dimension, see my blog (http://fractalfinance.blogspot.com/) for more explanantion. | //| | //| The Fractal Dimension Index determines the amount of market volatility. The easiest way to use this indicator is| //| to understand that a value of 1.5 suggests the market is acting in a completely random fashion. | //| As the market deviates from 1.5, the opportunity for earning profits is increased in proportion | //| to the amount of deviation. | //| But be carreful, the indicator does not show the direction of trends !! | //| | //| The indicator is RED when the market is in a trend. And it is blue when there is a high volatility. | //| When the FDI changes its color from red to blue, it means that a trend is finishing, the market becomes | //| erratic and a high volatility is present. Usually, these "blue times" do not go for a long time.They come before| //| a new trend. | //| | //| For more information, see: | //| http://fractalfinance.blogspot.com/ | //| | //| | //| HOW TO USE INPUT PARAMETERS : | //| ----------------------------- | //| | //| 1) e_period [ integer >= 1 ] => 30 | //| | //| The indicator will compute the historical market volatility over this period. | //| Choose its value according to the average of trend lengths. | //| | //| 2) e_type_data [ int = {PRICE_CLOSE = 0, | //| PRICE_OPEN = 1, | //| PRICE_HIGH = 2, | //| PRICE_LOW = 3, | //| PRICE_MEDIAN (high+low)/2 = 4, | //| PRICE_TYPICAL (high+low+close)/3 = 5, | //| PRICE_WEIGHTED (high+low+close+close)/4 = 6} => PRICE_CLOSE | //| | //| Defines on which price type the Fractal Dimension is computed. | //| | //| 3) e_random_line [ 0.0 < double < 2.0 ] => 1.5 | //| | //| Defines your separation betwen a trend market (red) and an erratic/high volatily one. | //| | //| v1.0 - February 2007 | //+------------------------------------------------------------------------------------------------------------------+ #property link "[email protected]" //---- #property indicator_separate_window #property indicator_levelcolor LimeGreen #property indicator_levelwidth 1 #property indicator_levelstyle STYLE_DASH #property indicator_buffers 6 #property indicator_color1 Blue #property indicator_color2 Red #property indicator_color3 Blue #property indicator_color4 Red #property indicator_color5 Blue #property indicator_color6 Red #property indicator_width1 2 #property indicator_width2 2 #property indicator_width3 1 #property indicator_width4 1 #property indicator_width5 1 #property indicator_width6 1 //************************************************************ // Input parameters //************************************************************ extern int e_period =30; extern int e_type_data =PRICE_CLOSE; extern double e_random_line =1.5; //************************************************************ // Constant //************************************************************ string INDICATOR_NAME="FGDI"; string FILENAME ="_Fractal_Graph_Dimension.mq4"; double LOG_2; //************************************************************ // Private vars //************************************************************ //---- input buffer double ExtInputBuffer; //---- output buffer double ExtOutputBufferUp; double ExtOutputBufferDown; double UpBufferUp; double UpBufferDown; double DownBufferUp; double DownBufferDown; int g_period_minus_1; //+-----------------------------------------------------------------------+ //| FUNCTION : init | //| Initialization function | //| Check the user input parameters and convert them in appropriate types.| //+-----------------------------------------------------------------------+ int init() { // Check e_period input parameter if(e_period < 2 ) { Alert( "[ 10-ERROR " + FILENAME + " ] input parameter \"e_period\" must be >= 1 (" + e_period + ")" ); return( -1 ); } if(e_type_data < PRICE_CLOSE || e_type_data > PRICE_WEIGHTED ) { Alert( "[ 20-ERROR " + FILENAME + " ] input parameter \"e_type_data\" unknown (" + e_type_data + ")" ); return( -1 ); } if(e_random_line < 0.0 || e_random_line > 2.0 ) { Alert( "[ 30-ERROR " + FILENAME + " ] input parameter \"e_random_line\" = " + e_random_line + " out of range ( 0.0 < e_random_line < 2.0 )" ); return( -1 ); } IndicatorBuffers( 7 ); SetIndexBuffer( 0, ExtOutputBufferUp ); SetIndexStyle( 0, DRAW_LINE, STYLE_SOLID, 2 ); SetIndexBuffer( 1, ExtOutputBufferDown ); SetIndexStyle( 1, DRAW_LINE, STYLE_SOLID, 2 ); SetIndexBuffer( 2, UpBufferUp ); SetIndexStyle( 2, DRAW_LINE, STYLE_SOLID, 1 ); SetIndexBuffer( 3, UpBufferDown ); SetIndexStyle( 3, DRAW_LINE, STYLE_SOLID, 1 ); SetIndexBuffer( 4, DownBufferUp ); SetIndexStyle( 4, DRAW_LINE, STYLE_SOLID, 1 ); SetIndexBuffer( 5, DownBufferDown ); SetIndexStyle( 5, DRAW_LINE, STYLE_SOLID, 1 ); SetIndexBuffer( 6, ExtInputBuffer ); SetLevelValue( 0, e_random_line ); IndicatorShortName( INDICATOR_NAME ); SetIndexLabel( 0, INDICATOR_NAME ); SetIndexDrawBegin( 0, 2 * e_period ); g_period_minus_1=e_period - 1; LOG_2=MathLog( 2.0 ); //---- return( 0 ); } //+------------------------------------------------------------------+ //| FUNCTION : deinit | //| Custor indicator deinitialization function | //+------------------------------------------------------------------+ int deinit() { return(0); } //+------------------------------------------------------------------+ //| FUNCTION : start | //| This callback is fired by metatrader for each tick | //+------------------------------------------------------------------+ int start() { int countedBars=IndicatorCounted(); //---- check for possible errors if(countedBars < 0) { return(-1); } _computeLastNbBars( Bars - countedBars - 1 ); //---- return( 0 ); } //+================================================================================================================+ //+=== FUNCTION : _computeLastNbBars ===+ //+=== ===+ //+=== ===+ //+=== This callback is fired by metatrader for each tick ===+ //+=== ===+ //+=== In : ===+ //+=== - lastBars : these "n" last bars must be repainted ===+ //+=== ===+ //+================================================================================================================+ //+------------------------------------------------------------------+ //| FUNCTION : _computeLastNbBars | //| This callback is fired by metatrader for each tick | //| In : - lastBars : these "n" last bars must be repainted | //+------------------------------------------------------------------+ void _computeLastNbBars( int lastBars ) { int pos; switch( e_type_data ) { case PRICE_CLOSE : _computeFdi( lastBars, Close ); break; case PRICE_OPEN : _computeFdi( lastBars, Open ); break; case PRICE_HIGH : _computeFdi( lastBars, High ); break; case PRICE_LOW : _computeFdi( lastBars, Low ); break; case PRICE_MEDIAN : for( pos=lastBars; pos>=0; pos--)ExtInputBuffer[pos]=(High[pos]+Low[pos])/2.0; _computeFdi( lastBars, ExtInputBuffer ); break; case PRICE_TYPICAL : for( pos=lastBars; pos>=0; pos--)ExtInputBuffer[pos]=(High[pos]+Low[pos]+Close[pos])/3.0; _computeFdi( lastBars, ExtInputBuffer ); break; case PRICE_WEIGHTED : for( pos=lastBars; pos>=0; pos--)ExtInputBuffer[pos]=(High[pos]+Low[pos]+Close[pos]+Close[pos])/4.0; _computeFdi( lastBars, ExtInputBuffer ); break; default : Alert( "[ 20-ERROR " + FILENAME + " ] the imput parameter e_type_data <" + e_type_data + "> is unknown" ); } } //+------------------------------------------------------------------+ //| FUNCTION : _computeFdi | //| Compute FDI values from input data. | //| In : | //| - lastBars : these "n" last bars must be repainted | //| - inputData : data array on which the FDI will be applied | //+------------------------------------------------------------------+ void _computeFdi( int lastBars, double inputData ) { int pos, iteration; double diff, priorDiff; double length, delta, mean, sum; double priceMax, priceMin; double fdi, variance, stddev; //---- for( pos=lastBars; pos>=0; pos-- ) { priceMax=_highest( e_period, pos, inputData ); priceMin=_lowest( e_period, pos, inputData ); length =0.0; priorDiff=0.0; sum=0.0; //---- for( iteration=0; iteration <= g_period_minus_1; iteration++ ) { if(( priceMax - priceMin)> 0.0 ) { diff =(inputData[pos + iteration] - priceMin )/( priceMax - priceMin ); if(iteration > 0 ) { length+=MathSqrt( MathPow( diff - priorDiff, 2.0)+(1.0/MathPow( e_period, 2.0)) ); } priorDiff=diff; } } if(length > 0.0 ) { fdi=1.0 +(MathLog( length)+ LOG_2 )/MathLog( 2 * g_period_minus_1 ); mean=length/g_period_minus_1; for( iteration=0; iteration <= g_period_minus_1; iteration++ ) { if(( priceMax - priceMin)> 0.0 ) { diff =(inputData[pos + iteration] - priceMin )/( priceMax - priceMin ); if(iteration > 0 ) { delta=MathSqrt( MathPow( diff - priorDiff, 2.0)+(1.0/MathPow( e_period, 2.0)) ); sum+=MathPow(delta-(length/g_period_minus_1),2); } priorDiff=diff; } } variance=sum/(MathPow(length,2)*MathPow(MathLog(2*g_period_minus_1),2)); } else { /* ** The FDI algorithm suggests in this case a zero value. ** I prefer to use the previous FDI value. */ fdi=0.0; variance=0.0; } stddev=MathSqrt(variance); if(fdi > e_random_line ) { ExtOutputBufferUp[pos]=fdi; ExtOutputBufferUp[pos+1]=MathMin( ExtOutputBufferUp[pos+1], ExtOutputBufferDown[pos+1] ); ExtOutputBufferDown[pos]=EMPTY_VALUE; //UpBuffer is clearly above e_random_line, we just have an 'if' case for DownBuffer UpBufferUp[pos] =fdi+stddev; UpBufferUp[pos+1]=ExtOutputBufferUp[pos+1]+stddev; UpBufferDown[pos]=EMPTY_VALUE; if (fdi-stddev > e_random_line ) { DownBufferUp[pos]=fdi-stddev; DownBufferUp[pos+1]=ExtOutputBufferUp[pos+1]-stddev; DownBufferDown[pos]=EMPTY_VALUE; } else { DownBufferDown[pos]=fdi-stddev; DownBufferDown[pos+1]=ExtOutputBufferUp[pos+1]-stddev; DownBufferUp[pos]=EMPTY_VALUE; } } else { ExtOutputBufferDown[pos]=fdi; ExtOutputBufferDown[pos+1]=MathMin( ExtOutputBufferUp[pos+1], ExtOutputBufferDown[pos+1] ); ExtOutputBufferUp[pos]=EMPTY_VALUE; //Symmetrically, DownBuffer is clearly below e_random_line, we just have an 'if' case for UpBuffer if (fdi+stddev > e_random_line ) { UpBufferUp[pos] =fdi+stddev; UpBufferUp[pos+1]=ExtOutputBufferDown[pos+1]+stddev; UpBufferDown[pos]=EMPTY_VALUE; } else { UpBufferDown[pos] =fdi+stddev; UpBufferDown[pos+1]=ExtOutputBufferDown[pos+1]+stddev; UpBufferUp[pos]=EMPTY_VALUE; } DownBufferDown[pos]=fdi-stddev; DownBufferDown[pos+1]=ExtOutputBufferDown[pos+1]-stddev; DownBufferUp[pos]=EMPTY_VALUE; } } } //+------------------------------------------------------------------+ //| FUNCTION : _highest | //| Search for the highest value in an array data | //| In : | //| - n : find the highest on these n data | //| - pos : begin to search for from this index | //| - inputData : data array on which the searching for is done | //| | //| Return : the highest value | | //+------------------------------------------------------------------+ double _highest( int n, int pos, double inputData ) { int length=pos + n; double highest=0.0; //---- for( int i=pos; i < length; i++ ) { if(inputData > highest)highest=inputData; } return( highest ); } //+------------------------------------------------------------------+ //| FUNCTION : _lowest | ===+ //| Search for the lowest value in an array data | //| In : | //| - n : find the hihest on these n data | //| - pos : begin to search for from this index | //| - inputData : data array on which the searching for is done | //| | //| Return : the highest value | //+------------------------------------------------------------------+ double _lowest( int n, int pos, double inputData ) { int length=pos + n; double lowest=9999999999.0; //---- for( int i=pos; i < length; i++ ) { if(inputData < lowest)lowest=inputData; } return( lowest ); } //+------------------------------------------------------------------+FGDI.jpg

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