【解説】 【MQL5 community】 Parabolic Stop and Reverse (パラボリック ストップ アンド リバース): トレンドが反転した時や相場の転換期を判断するために使用。
【計算法】
SAR = (EP − 前日のSAR) × AF ＋ 前日のSAR
EP（Extreme Point）：EPとは極大値のことで、上昇相場なら一定期間の最高値を用い、その後ポジションが変わらない限り最高値が更新されればEPも更新されます。 逆に下げ相場の時は最安値を用いて、これが更新されればEPも更新されます。
AF（Acceleration Factor）：AFとは加速因数のことで初期値は0.02でEPが更新される毎に0.005ずつ加算されますが、ただしAFの最大値は0.2でそれを超えることはありません。 AFの値が大きくなると、SARのシグナルが早く転換しやすくなります。
【シグナル】
ローソク足がSARを上抜けたら「買いサイン」、下抜けたら「売りサイン」。
//+------------------------------------------------------------------+
//| ParabolicSAR.mq5 |
//| Copyright 2009, MetaQuotes Software Corp. |
//| http://www.mql5.com |
//+------------------------------------------------------------------+
#property copyright "2009, MetaQuotes Software Corp."
#property link "http://www.mql5.com"
//--- indicator settings
#property indicator_chart_window
#property indicator_buffers 3
#property indicator_plots 1
#property indicator_type1 DRAW_ARROW
#property indicator_color1 DodgerBlue
//--- External parametrs
input double InpSARStep=0.02; // Step
input double InpSARMaximum=0.2; // Maximum
//---- buffers
double ExtSARBuffer[];
double ExtEPBuffer[];
double ExtAFBuffer[];
//--- global variables
int ExtLastRevPos;
bool ExtDirectionLong;
double ExtSarStep;
double ExtSarMaximum;
//+------------------------------------------------------------------+
//| Custom indicator initialization function |
//+------------------------------------------------------------------+
void OnInit()
{
//--- checking input data
if(InpSARStep＜0.0)
{
ExtSarStep=0.02;
Print("Input parametr InpSARStep has incorrect value. Indicator will use value",
ExtSarStep,"for calculations.");
}
else ExtSarStep=InpSARStep;
if(InpSARMaximum＜0.0)
{
ExtSarMaximum=0.2;
Print("Input parametr InpSARMaximum has incorrect value. Indicator will use value",
ExtSarMaximum,"for calculations.");
}
else ExtSarMaximum=InpSARMaximum;
//---- indicator buffers
SetIndexBuffer(0,ExtSARBuffer);
SetIndexBuffer(1,ExtEPBuffer,INDICATOR_CALCULATIONS);
SetIndexBuffer(2,ExtAFBuffer,INDICATOR_CALCULATIONS);
//--- set arrow symbol
PlotIndexSetInteger(0,PLOT_ARROW,159);
//--- set indicator digits
IndicatorSetInteger(INDICATOR_DIGITS,_Digits);
//--- set label name
PlotIndexSetString(0,PLOT_LABEL,"SAR("+
DoubleToString(ExtSarStep,2)+","+
DoubleToString(ExtSarMaximum,2)+")");
//--- set global variables
ExtLastRevPos=0;
ExtDirectionLong=false;
//----
}
//+------------------------------------------------------------------+
//| 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 &TickVolume[],
const long &Volume[],
const int &Spread[])
{
//--- check for minimum rates count
if(rates_total＜3)
return(0);
//--- detect current position
int pos=prev_calculated-1;
//--- correct position
if(pos＜1)
{
//--- first pass, set as SHORT
pos=1;
ExtAFBuffer[0]=ExtSarStep;
ExtAFBuffer[1]=ExtSarStep;
ExtSARBuffer[0]=High[0];
ExtLastRevPos=0;
ExtDirectionLong=false;
ExtSARBuffer[1]=GetHigh(pos,ExtLastRevPos,High);
ExtEPBuffer[0]=Low[pos];
ExtEPBuffer[1]=Low[pos];
}
//---main cycle
for(int i=pos;i＜rates_total-1;i++)
{
//--- check for reverse
if(ExtDirectionLong)
{
if(ExtSARBuffer[i]>Low[i])
{
//--- switch to SHORT
ExtDirectionLong=false;
ExtSARBuffer[i]=GetHigh(i,ExtLastRevPos,High);
ExtEPBuffer[i]=Low[i];
ExtLastRevPos=i;
ExtAFBuffer[i]=ExtSarStep;
}
}
else
{
if(ExtSARBuffer[i]＜High[i])
{
//--- switch to LONG
ExtDirectionLong=true;
ExtSARBuffer[i]=GetLow(i,ExtLastRevPos,Low);
ExtEPBuffer[i]=High[i];
ExtLastRevPos=i;
ExtAFBuffer[i]=ExtSarStep;
}
}
//--- continue calculations
if(ExtDirectionLong)
{
//--- check for new High
if(High[i]>ExtEPBuffer[i-1] && i!=ExtLastRevPos)
{
ExtEPBuffer[i]=High[i];
ExtAFBuffer[i]=ExtAFBuffer[i-1]+ExtSarStep;
if(ExtAFBuffer[i]>ExtSarMaximum)
ExtAFBuffer[i]=ExtSarMaximum;
}
else
{
//--- when we haven't reversed
if(i!=ExtLastRevPos)
{
ExtAFBuffer[i]=ExtAFBuffer[i-1];
ExtEPBuffer[i]=ExtEPBuffer[i-1];
}
}
//--- calculate SAR for tomorrow
ExtSARBuffer[i+1]=ExtSARBuffer[i]+ExtAFBuffer[i]*(ExtEPBuffer[i]-ExtSARBuffer[i]);
//--- check for SAR
if(ExtSARBuffer[i+1]>Low[i] || ExtSARBuffer[i+1]>Low[i-1])
ExtSARBuffer[i+1]=MathMin(Low[i],Low[i-1]);
}
else
{
//--- check for new Low
if(Low[i]＜ExtEPBuffer[i-1] && i!=ExtLastRevPos)
{
ExtEPBuffer[i]=Low[i];
ExtAFBuffer[i]=ExtAFBuffer[i-1]+ExtSarStep;
if(ExtAFBuffer[i]>ExtSarMaximum)
ExtAFBuffer[i]=ExtSarMaximum;
}
else
{
//--- when we haven't reversed
if(i!=ExtLastRevPos)
{
ExtAFBuffer[i]=ExtAFBuffer[i-1];
ExtEPBuffer[i]=ExtEPBuffer[i-1];
}
}
//--- calculate SAR for tomorrow
ExtSARBuffer[i+1]=ExtSARBuffer[i]+ExtAFBuffer[i]*(ExtEPBuffer[i]-ExtSARBuffer[i]);
//--- check for SAR
if(ExtSARBuffer[i+1]＜High[i] || ExtSARBuffer[i+1]＜High[i-1])
ExtSARBuffer[i+1]=MathMax(High[i],High[i-1]);
}
}
//---- OnCalculate done. Return new prev_calculated.
return(rates_total);
}
//+------------------------------------------------------------------+
//| Find highest price from start to current position |
//+------------------------------------------------------------------+
double GetHigh(int nPosition,int nStartPeriod,const double &HiData[])
{
//--- calculate
double result=HiData[nStartPeriod];
for(int i=nStartPeriod;i＜=nPosition;i++) if(result＜HiData[i]) result=HiData[i];
return(result);
}
//+------------------------------------------------------------------+
//| Find lowest price from start to current position |
//+------------------------------------------------------------------+
double GetLow(int nPosition,int nStartPeriod,const double &LoData[])
{
//--- calculate
double result=LoData[nStartPeriod];
for(int i=nStartPeriod;i＜=nPosition;i++) if(result>LoData[i]) result=LoData[i];
return(result);
}
//+------------------------------------------------------------------+
【表示結果】
AF=0.02。トレンドが始まるときは、ちゃんとシグナルを発している。
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