Download MetaTrader 5

Indicator MT-4 to MT-5

To add comments, please log in or register
Have you discovered something really important? Write an article and receive 200 USD!
Wackena
648
Wackena 2010.05.10 19:25 

I have coded this Damiani_volatmeter.mq4 MT-4 indicator to MT-5. The output results on EURUSD M15 chart is not the same. Can someone advise why?


MT-4 version

#property indicator_separate_window
#property indicator_buffers 3
#property indicator_color1 Silver
#property indicator_color2 FireBrick
#property indicator_color3 Lime
//---- input parameters
extern int       Viscosity=7;
extern int       Sedimentation=50;
extern double    Threshold_level=1.1;
extern bool      lag_supressor=true;
extern double    lag_s_K=0.5;
//---- buffers
double thresholdBuffer[];
double vol_m[];
double vol_t[];
double ind_c[];
//+------------------------------------------------------------------+
//| Custom indicator initialization function                         |
//+------------------------------------------------------------------+
int init()
  {
//---- indicators
   SetIndexStyle(0,DRAW_LINE);
   SetIndexBuffer(0,thresholdBuffer);
   SetIndexStyle(1,DRAW_SECTION);
   SetIndexBuffer(1,vol_m);
   SetIndexStyle(2,DRAW_LINE);
   SetIndexBuffer(2,vol_t);
   
   ArrayResize(ind_c,Bars);
   ArrayInitialize(ind_c,0.0);
//----
   return(0);
  }
//+------------------------------------------------------------------+
//| Custor indicator deinitialization function                       |
//+------------------------------------------------------------------+
int deinit()
  {
//---- 
   
//----
   return(0);
  }
//+------------------------------------------------------------------+
//| Custom indicator iteration function                              |
//+------------------------------------------------------------------+
int start()
  {
   double vol=0;
   int    changed_bars=IndicatorCounted();
   //Comment("ATR ratio= "+short_atr+" / "+long_atr);
   int limit=Bars-changed_bars;
   if (limit>Sedimentation+5)limit=limit-Sedimentation;
   for(int i=limit;i>=0;i--)
   {
      
      double sa=iATR(NULL,0,Viscosity,i);
      double s1=ind_c[i+1];
      double s3=ind_c[i+3];
      double atr=NormalizeDouble(sa,Digits);
      if(lag_supressor)
         vol= sa/iATR(NULL,0,Sedimentation,i)+lag_s_K*(s1-s3);   
      else
         vol= sa/iATR(NULL,0,Sedimentation,i);   
      //vol_m[i]=vol;
      
      double anti_thres=iStdDev(NULL,0,Viscosity,0,MODE_LWMA,PRICE_TYPICAL,i);
      
      anti_thres=anti_thres/   
                 iStdDev(NULL,0,Sedimentation,0,MODE_LWMA,PRICE_TYPICAL,i);
                        
      double t=Threshold_level;
      t=t-anti_thres;
      
      if (vol>t){vol_t[i]=vol;vol_m[i]=vol;
                  IndicatorShortName("DAMIANI Signal/Noise: TRADE  /  ATR= "+DoubleToStr(atr,Digits)+"    values:");}
      else {vol_t[i]=vol;vol_m[i]=EMPTY_VALUE;
               IndicatorShortName("DAMIANI Signal/Noise: DO NOT trade  /  ATR= "+DoubleToStr(atr,Digits)+"    values:");}   
      ind_c[i]=vol;
      thresholdBuffer[i]=t;   
   }
//---- 
   
//----
   return(0);
  }
//+------------------------------------------------------------------+


MT-5 version

#property indicator_separate_window

#property indicator_buffers 8
#property indicator_plots   3

#property indicator_color1 Silver
#property indicator_type1   DRAW_LINE
#property indicator_label1  "Signal"
#property indicator_color2 FireBrick
#property indicator_type2   DRAW_SECTION
#property indicator_label2  "Main"
#property indicator_color3 Lime
#property indicator_type3   DRAW_LINE
#property indicator_label3  "No Trade"

//---- input parameters
input int       Viscosity=7;
input int       Sedimentation=50;
input double    Threshold_level=1.1;
input bool      lag_supressor=true;
input double    lag_s_K=0.5;
//---- buffers
double thresholdBuffer[];
double vol_m[];
double vol_t[];
double ind_c[];
int myATR1, myATR2;
int mySteDev1, mySteDev2;
double ATRBuffer1[];
double ATRBuffer2[];
double SteDevBuffer1[];
double SteDevBuffer2[];

//+------------------------------------------------------------------+
//| Custom indicator initialization function                         |
//+------------------------------------------------------------------+
int OnInit()
  {
//--- indicator buffers mapping

   //---- indicator line
   SetIndexBuffer(0,thresholdBuffer,INDICATOR_DATA);
   ArraySetAsSeries(thresholdBuffer,true);
//   PlotIndexSetDouble(0,PLOT_EMPTY_VALUE,0);
  
   SetIndexBuffer(1,vol_m,INDICATOR_DATA);
   ArraySetAsSeries(vol_m,true);
//   PlotIndexSetDouble(1,PLOT_EMPTY_VALUE,0);
   
   SetIndexBuffer(2,vol_t,INDICATOR_DATA);
   ArraySetAsSeries(vol_t,true);
//   PlotIndexSetDouble(2,PLOT_EMPTY_VALUE,0);

   SetIndexBuffer(3,ind_c,INDICATOR_CALCULATIONS);
   ArraySetAsSeries(ind_c,true);
   
   SetIndexBuffer(4,ATRBuffer1,INDICATOR_CALCULATIONS);
   ArraySetAsSeries(ATRBuffer1,true);
   
   SetIndexBuffer(5,ATRBuffer2,INDICATOR_CALCULATIONS);
   ArraySetAsSeries(ATRBuffer2,true);
   
   SetIndexBuffer(6,SteDevBuffer1,INDICATOR_CALCULATIONS);
   ArraySetAsSeries(SteDevBuffer1,true);
   
   SetIndexBuffer(7,SteDevBuffer2,INDICATOR_CALCULATIONS);
   ArraySetAsSeries(SteDevBuffer2,true);
   
   
   myATR1 = iATR(NULL, 0, Viscosity);   
   myATR2 = iATR(NULL, 0, Sedimentation);    
   mySteDev1 = iStdDev(NULL, 0, Viscosity, 0, MODE_LWMA,PRICE_TYPICAL);   
   mySteDev2 = iStdDev(NULL, 0, Sedimentation, 0, MODE_LWMA,PRICE_TYPICAL); 
    

//---
   return(0);
  }
//+------------------------------------------------------------------+
//| Custom indicator iteration function                              |
//+------------------------------------------------------------------+
int OnCalculate(const int rates_total,
                const int prev_calculated,
                const int begin,
                const double &volume[])
  {
   int limit=rates_total-prev_calculated;
   if (limit>Sedimentation+5)limit=limit-Sedimentation;
   double vol=0;
   
   CopyBuffer(myATR1, 0, 0, Bars(_Symbol,0), ATRBuffer1);
   
   CopyBuffer(myATR2, 0, 0, Bars(_Symbol,0), ATRBuffer2);
   
   CopyBuffer(mySteDev1, 0, 0, Bars(_Symbol,0), SteDevBuffer1);
   
   CopyBuffer(mySteDev2, 0, 0, Bars(_Symbol,0), SteDevBuffer2);
   
   
   for(int i=limit;i>=0;i--)
     {
      double sa=ATRBuffer1[i];
      double s1=ind_c[i+1];
      double s3=ind_c[i+3];
      double atr=NormalizeDouble(sa,_Digits);
      if(lag_supressor)
         vol= sa/ATRBuffer2[i]+lag_s_K*(s1-s3);   
      else
         vol= sa/ATRBuffer2[i];  
      double anti_thres=SteDevBuffer1[i];
      anti_thres=anti_thres / SteDevBuffer2[i];      
      double t=Threshold_level;
      t=t-anti_thres;
      
      if (vol>t){vol_t[i]=vol;vol_m[i]=vol;
//---- name for DataWindow and indicator subwindow label
      IndicatorSetString(INDICATOR_SHORTNAME,"DAMIANI Signal/Noise: TRADE  /  ATR= "+DoubleToString(atr,_Digits)+"    values:");}
      else {vol_t[i]=vol;vol_m[i]=EMPTY_VALUE;
      IndicatorSetString(INDICATOR_SHORTNAME,"DAMIANI Signal/Noise: DO NOT Trade  /  ATR= "+DoubleToString(atr,_Digits)+"    values:");}
      ind_c[i]=vol;  
      thresholdBuffer[i]=t; 
      
   }
  
//---
//--- return value of prev_calculated for next call
   return(rates_total);
  }
//+------------------------------------------------------------------+
Dmitry Voronkov
5765
Dmitry Voronkov 2010.05.15 13:56  
wackena posted  :

I have coded this Damiani_volatmeter.mq4 MT-4 indicator to MT-5. The output results on EURUSD M15 chart is not the same. Can someone advise why?


MT-4 version


MT-5 version

Array indexation in other party

Replace a line

double s1=ind_c[i+1];
double s3=ind_c[i+3];

on  

double s1=ind_c[i-1];
double s3=ind_c[i-3];

And all will be ok.

Wackena
648
Wackena 2010.05.15 16:17  
vdv2001:

Array indexation in other party

Replace a line

on  

And all will be ok.

This change did not produce usable results. Pics attached.
Files:
Dmitry Voronkov
5765
Dmitry Voronkov 2010.05.15 17:38  
wackena:
This change did not produce usable results. Pics attached.

 

In that case it is necessary to change the approach completely.

I will try to help you.

It will take some time.

 

Dmitry Voronkov
5765
Dmitry Voronkov 2010.05.15 20:00  

Try it

#property indicator_separate_window
#property indicator_buffers 8
#property indicator_plots   3

#property indicator_color1 Silver
#property indicator_type1   DRAW_LINE
#property indicator_label1  "Signal"
#property indicator_color2 FireBrick
#property indicator_type2   DRAW_SECTION
#property indicator_label2  "Main"
#property indicator_color3 Lime
#property indicator_type3   DRAW_LINE
#property indicator_label3  "No Trade"

//---- input parameters
input int       InpViscosity=7;//Viscosity
input int       InpSedimentation=50;//Sedimentation
input double    InpThreshold_level=1.1;//Threshold level
input bool      InpLag_supressor=true;//Lag supressor
input double    InpLag_s_K=0.5;//Lag s K
//---- buffers
double thresholdBuffer[];
double vol_m[];
double vol_t[];
double ind_c[];
double ExtAtrViscosity[];
double ExtAtrSedimentation[];
double ExtSteDevViscosity[];
double ExtSteDevSedimentation[];
//--- indicator handles
int   hAtr1;
int   hAtr2;
int   hStdDev1;
int   hStdDev2;
//+------------------------------------------------------------------+
//| Custom indicator initialization function                         |
//+------------------------------------------------------------------+
int OnInit()
  {
//--- indicator buffers mapping
   SetIndexBuffer(0,thresholdBuffer,INDICATOR_DATA);
   SetIndexBuffer(1,vol_m,INDICATOR_DATA);
   SetIndexBuffer(2,vol_t,INDICATOR_DATA);
   SetIndexBuffer(3,ind_c,INDICATOR_CALCULATIONS);
   SetIndexBuffer(4,ExtAtrViscosity,INDICATOR_CALCULATIONS);
   SetIndexBuffer(5,ExtAtrSedimentation,INDICATOR_CALCULATIONS);
   SetIndexBuffer(6,ExtSteDevViscosity,INDICATOR_CALCULATIONS);
   SetIndexBuffer(7,ExtSteDevSedimentation,INDICATOR_CALCULATIONS);
//--- handles init
   hAtr1 = iATR(NULL, 0, InpViscosity);
   hAtr2 = iATR(NULL, 0, InpSedimentation);
   hStdDev1 = iStdDev(NULL, 0, InpViscosity, 0, MODE_LWMA,PRICE_TYPICAL);
   hStdDev2 = iStdDev(NULL, 0, InpSedimentation, 0, MODE_LWMA,PRICE_TYPICAL);
//---
   return(0);
  }
//+------------------------------------------------------------------+
//| 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[])
  {
//--- check for data
   if(rates_total<MathMax(InpViscosity,InpSedimentation))
      return(0);
//--- not all data may be calculated
   if(BarsCalculated(hAtr1)<rates_total || BarsCalculated(hAtr2)<rates_total)
     {
      Print("Not all data of ATR is calculated. Error",GetLastError());
      return(0);
     }
   if(BarsCalculated(hStdDev1)<rates_total || BarsCalculated(hStdDev2)<rates_total)
     {
      Print("Not all data of StdDev is calculated. Error",GetLastError());
      return(0);
     }
//--- we can copy not all data
   int to_copy;
   if(prev_calculated>rates_total || prev_calculated<0) to_copy=rates_total;
   else
     {
      to_copy=rates_total-prev_calculated;
      if(prev_calculated>0) to_copy++;
     }
//--- get ATR buffer
   if(CopyBuffer(hAtr1,0,0,to_copy,ExtAtrViscosity)<=0 || CopyBuffer(hAtr2,0,0,to_copy,ExtAtrSedimentation)<=0)
     {
      Print("Getting fast ATR is failed! Error",GetLastError());
      return(0);
     }
//--- get StdDev buffer
   if(CopyBuffer(hStdDev1,0,0,to_copy,ExtSteDevViscosity)<=0 || CopyBuffer(hStdDev2,0,0,to_copy,ExtSteDevSedimentation)<=0)
     {
      Print("Getting fast StdDev is failed! Error",GetLastError());
      return(0);
     }
   double vol=0;
   int limit;
   if(prev_calculated==0)
      limit=MathMax(InpViscosity,InpSedimentation);
   else limit=prev_calculated-MathMax(InpViscosity,InpSedimentation);

   for(int i=limit;i<rates_total;i++)
     {
      double s1=ind_c[i-1];
      double s3=ind_c[i-3];
      double atr=NormalizeDouble(ExtAtrViscosity[i],_Digits);
      if(InpLag_supressor)
         vol=ExtAtrViscosity[i]/ExtAtrSedimentation[i]+InpLag_s_K*(s1-s3);
      else
         vol=ExtAtrViscosity[i]/ExtAtrSedimentation[i];
      double t=InpThreshold_level-ExtSteDevViscosity[i]/ExtSteDevSedimentation[i];
      if(vol>t)
        {
         vol_t[i]=vol; vol_m[i]=vol;
         IndicatorSetString(INDICATOR_SHORTNAME,"DAMIANI Signal/Noise: TRADE / ATR= "+DoubleToString(atr,_Digits)+", values:");
        }
      else
        {
         vol_t[i]=vol; vol_m[i]=EMPTY_VALUE;
         IndicatorSetString(INDICATOR_SHORTNAME,"DAMIANI Signal/Noise: DO NOT trade / ATR= "+DoubleToString(atr,_Digits)+", values:");
        }
      ind_c[i]=vol;
      thresholdBuffer[i]=t;
     }

//--- return value of prev_calculated for next call
   return(rates_total);
  }
//+------------------------------------------------------------------+

 If not it.
Check up value ATR in MT5 and MT4 they different.

Wackena
648
Wackena 2010.05.15 20:18  
vdv2001:

Try it

 If not it.
Check up value ATR in MT5 and MT4 they different.

Thanks, I will check out the ATR difference. Please, do not spend more time on this project. Instead of using iCustom() to access indicator data, I coded EA with this code and EA works OK. Again, thanks for the help.
To add comments, please log in or register