Here is the MT5 version of Kaufman efficiency (gives 0 to 1 but not direction)
What is the change to make the MT5 version like the MT4 version and rescale + have direction (i.e. below 0 is downtrend, above 0 is uptrend).
Just found some code maybe this will solve my issue...
My only question, is why do none of the buffers give the actual ratio it seems?
Code: Select all
//------------------------------------------------------------------
#property copyright "© A Romanov"
#property link "arromanov@gmail.com"
#property description "Kaufman efficiency ratio"
#property description "With direction"
//------------------------------------------------------------------
#property indicator_separate_window
#property indicator_buffers 4
#property indicator_plots 3
#property indicator_label1 "Level up"
#property indicator_type1 DRAW_LINE
#property indicator_color1 clrDarkGray
#property indicator_style1 STYLE_DOT
#property indicator_label2 "Level down"
#property indicator_type2 DRAW_LINE
#property indicator_color2 clrDarkGray
#property indicator_style2 STYLE_DOT
#property indicator_label3 "Efficiency ratio"
#property indicator_type3 DRAW_COLOR_LINE
#property indicator_color3 clrDarkGray,clrDeepSkyBlue,clrOrangeRed
#property indicator_width3 2
//
//--- input parameters
//
input int inpPeriod = 32; // ER period
input ENUM_APPLIED_PRICE inpPrice = PRICE_CLOSE; // Price
input int inpSmoothingPeriod = 5; // Smoothing period
input double inpLevelPeriod = 10; // Levels period
//
//--- buffers and global variables declarations
//
double val[],valc[],lup[],ldn[],ª_alpha,ª_alphal;
//------------------------------------------------------------------
// Custom indicator initialization function
//------------------------------------------------------------------
int OnInit()
{
//--- indicator buffers mapping
SetIndexBuffer(0,lup,INDICATOR_DATA);
SetIndexBuffer(1,ldn,INDICATOR_DATA);
SetIndexBuffer(2,val,INDICATOR_DATA);
SetIndexBuffer(3,valc,INDICATOR_COLOR_INDEX);
ª_alpha = 2.0/(1.0+(inpSmoothingPeriod>1? inpSmoothingPeriod :1));
ª_alphal = 2.0/(1.0+(inpLevelPeriod>1?inpLevelPeriod:1));
//---
IndicatorSetString(INDICATOR_SHORTNAME,"Efficiency ratio ("+(string)inpPeriod+")");
return (INIT_SUCCEEDED);
}
void OnDeinit(const int reason)
{
}
//------------------------------------------------------------------
// Custom indicator iteration function
//------------------------------------------------------------------
int OnCalculate(const int rates_total,
const int prev_calculated,
const datetime &time[],
const double &open[],
const double &high[],
const double &low[],
const double &close[],
const long &tick_volume[],
const long &volume[],
const int &spread[])
{
//
//---
//
int i = (prev_calculated>0 ? prev_calculated-1 : 0); for (; i<rates_total && !_StopFlag; i++)
{
double _efr = iEr(getPrice(inpPrice,open,close,high,low,i),inpPeriod,i,rates_total);
val[i] = (i>0) ? val[i-1]+ª_alpha*(_efr-val[i-1]) : _efr;
lup[i] = (i>0) ? (val[i]<ldn[i-1]) ? lup[i-1] : lup[i-1]+ª_alphal*(val[i]-lup[i-1]) : val[i];
ldn[i] = (i>0) ? (val[i]>lup[i-1]) ? ldn[i-1] : ldn[i-1]+ª_alphal*(val[i]-ldn[i-1]) : val[i];
valc[i] = (val[i]>lup[i]) ? 1 :(val[i]<ldn[i]) ? 2 : 0;
}
return (i);
}
//------------------------------------------------------------------
// Custom functions
//------------------------------------------------------------------
//
//---
//
#define _checkArrayReserve 500
#define _checkArraySize(_arrayName,_ratesTotal) { static bool _arrayError=false; static int _arrayResizedTo=0; if (_arrayResizedTo<_ratesTotal) { int _res = (_ratesTotal+_checkArrayReserve); _res -= ArrayResize(_arrayName,_ratesTotal+_checkArrayReserve); if (_res) _arrayError=true; else { _arrayResizedTo=_ratesTotal+_checkArrayReserve; }}}
//
//---
//
#define _erInstancesSize 3
#define _erDirectional
double _erArray[][_erInstancesSize];
double iEr(double value, int period, int i, int bars, int instance=0)
{
_checkArraySize(_erArray,bars);
#define _values instance
#define _diff instance+1
#define _noise instance+2
//
//---
//
instance *= _erInstancesSize;
_erArray[i][_values] = value;
_erArray[i][_diff] = (i>0)? (_erArray[i][_values]>_erArray[i-1][_values]) ? _erArray[i][_values]-_erArray[i-1][_values] : _erArray[i-1][_values]-_erArray[i][_values] : 0;
if (i<=period)
{ _erArray[i][_noise] = _erArray[i][_diff]; for(int k=1; k<period && (i-k)>=0; k++) _erArray[i][_noise] += _erArray[i-k][_diff]; }
else _erArray[i][_noise] = _erArray[i-1][_noise]-_erArray[i-period][_diff]+_erArray[i][_diff];
//
//---
//
#ifdef _erDirectional
double _efr = (_erArray[i][_noise]!=0 && i>period) ? (_erArray[i][_values]-_erArray[i-period][_values])/_erArray[i][_noise] : 0;
#else
double _efr = (_erArray[i][_noise]!=0 && i>period) ? (_erArray[i][_values]>_erArray[i-period][_values] ? _erArray[i][_values]-_erArray[i-period][_values] : _erArray[i-period][_values]-_erArray[i][_values])/_erArray[i][_noise] : 0;
#endif
return(_efr);
//
//---
//
#undef _values
#undef _diff
#undef _noise
#undef _erDirectional
}
//
//----
//
double getPrice(ENUM_APPLIED_PRICE tprice,const double &open[],const double &close[],const double &high[],const double &low[],int i)
{
switch(tprice)
{
case PRICE_CLOSE: return(close[i]);
case PRICE_OPEN: return(open[i]);
case PRICE_HIGH: return(high[i]);
case PRICE_LOW: return(low[i]);
case PRICE_MEDIAN: return((high[i]+low[i])/2.0);
case PRICE_TYPICAL: return((high[i]+low[i]+close[i])/3.0);
case PRICE_WEIGHTED: return((high[i]+low[i]+close[i]+close[i])/4.0);
}
return(0);
}
//+------------------------------------------------------------------+