【解説】【MQL5 community】 Hodrick-Prescott Channel : 期間が早い、遅い、通常の3つのHodrick-Prescottフィルターを用意する。 これを図示し、トレンドを掴む。
【シグナル】
通常の使い方： （移動平均 と同様に、移動平均のラインを上抜けしたら、「買い」、下抜けしたら「売り」。 上昇基調になりそうな(移動平均が右肩上がり)場合のトレンドを把握することができる。） に加え、ボリンジャー・バンド)のように、上の線を超えたら、買いすぎ、下の線を超えらた、売られ過ぎと捉えることも可能。
//------------------------------------------------------------------
// VHPChannel_01.mq5
//
//------------------------------------------------------------------
#property copyright ""
#property link ""
#property version ""
#property description "VHPChannel"
#property indicator_chart_window
#property indicator_buffers 4
#property indicator_plots 4
//---- plot ExtAMABuffer
#property indicator_label1 "VHPChannel"
#property indicator_type1 DRAW_LINE
#property indicator_color1 Gold
#property indicator_type2 DRAW_LINE
#property indicator_color2 LightSlateGray
#property indicator_style2 3
#property indicator_type3 DRAW_LINE
#property indicator_color3 DarkOrange
#property indicator_type4 DRAW_LINE
#property indicator_color4 DarkOrange
//--- input parameters
input int InpHPPeriodFast=21; // HP Fast Period (4...32)
input int InpHPPeriodSlow=144; // HP Slow Period (48...256)
//--- indicator buffers
double HP[],HPSlow[],Dev1[],Dev2[];
//--- global variables
int HPPeriodFast,HPPeriodSlow;
double Lambda,Lambda2;
string ShortName;
//------------------------------------------------------------------
// initialization function
//------------------------------------------------------------------
int OnInit()
{
//--- check for input values
if(InpHPPeriodFast＜4 || InpHPPeriodFast>32)
{
printf("Input parameter InpHPPeriodFast has incorrect value (%d). Indicator will use value 21 for calculations.",InpHPPeriodFast);
HPPeriodFast=21;
}
else HPPeriodFast=InpHPPeriodFast;
if(InpHPPeriodSlow＜48 || InpHPPeriodSlow>256)
{
printf("Input parameter InpHPPeriodSlow has incorrect value (%d). Indicator will use value 144 for calculations.",InpHPPeriodSlow);
HPPeriodSlow=144;
}
else HPPeriodSlow=InpHPPeriodSlow;
//--- indicator buffers mapping
SetIndexBuffer(0,HP,INDICATOR_DATA);
ArraySetAsSeries(HP,true);
SetIndexBuffer(1,HPSlow,INDICATOR_DATA);
ArraySetAsSeries(HPSlow,true);
SetIndexBuffer(2,Dev1,INDICATOR_DATA);
ArraySetAsSeries(Dev1,true);
SetIndexBuffer(3,Dev2,INDICATOR_DATA);
ArraySetAsSeries(Dev2,true);
//--- set shortname and change label
ShortName="VHPChannel("+IntegerToString(HPPeriodFast)+","+
IntegerToString(HPPeriodSlow)+")";
IndicatorSetString(INDICATOR_SHORTNAME,ShortName);
PlotIndexSetString(0,PLOT_LABEL,"HP");
PlotIndexSetString(1,PLOT_LABEL,"HPSlow");
PlotIndexSetString(2,PLOT_LABEL,"Dev1");
PlotIndexSetString(3,PLOT_LABEL,"Dev2");
//--- set accuracy
IndicatorSetInteger(INDICATOR_DIGITS,_Digits);
//
Lambda=0.0625/MathPow(MathSin(M_PI/HPPeriodFast),4); // smoothing coefficient of the fast HP
Lambda2=0.0625/MathPow(MathSin(M_PI/HPPeriodSlow),4); // smoothing coefficient of the slow HP
ObjectCreate(0,ShortName,OBJ_LABEL,0,0,0);
ObjectSetInteger(0,ShortName,OBJPROP_ANCHOR,ANCHOR_RIGHT_LOWER);
ObjectSetInteger(0,ShortName,OBJPROP_CORNER,CORNER_RIGHT_LOWER);
ObjectSetInteger(0,ShortName,OBJPROP_XDISTANCE,32);
ObjectSetInteger(0,ShortName,OBJPROP_YDISTANCE,28);
ObjectSetInteger(0,ShortName,OBJPROP_FONTSIZE,11);
ObjectSetInteger(0,ShortName,OBJPROP_COLOR,LimeGreen);
ObjectSetInteger(0,ShortName,OBJPROP_SELECTABLE,true);
ObjectSetString(0,ShortName,OBJPROP_FONT,"Tahoma");
return(0);
}
//------------------------------------------------------------------
void OnDeinit(const int reason)
{
ObjectDelete(0,ShortName);
}
//------------------------------------------------------------------
// VHPChannel
//------------------------------------------------------------------
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[])
{
int i;
double InpDat[],disp,dev,val;
if(rates_total＜HPPeriodSlow+1) return(0);
if(rates_total!=prev_calculated)
{
i=Bars(Symbol(),0)-HPPeriodSlow;
PlotIndexSetInteger(0,PLOT_DRAW_BEGIN,i);
PlotIndexSetInteger(1,PLOT_DRAW_BEGIN,i);
PlotIndexSetInteger(2,PLOT_DRAW_BEGIN,i);
PlotIndexSetInteger(3,PLOT_DRAW_BEGIN,i);
}
ArraySetAsSeries(Close,true);
ArrayResize(InpDat,HPPeriodSlow);
ArraySetAsSeries(InpDat,true);
for(i=0;i＜HPPeriodSlow;i++) InpDat[i]=Close[i];
//-----------------------------------HP fast-------------
HPF(HPPeriodSlow,Lambda,InpDat,HP);
//-----------------------------------HP slow-------------
HPF(HPPeriodSlow,Lambda2,HP,HPSlow);
//-----------------------------------Std -------------
disp=0.0;
for(i=0;i＜HPPeriodSlow;i++) disp+=(HP[i]-HPSlow[i])*(HP[i]-HPSlow[i]);
disp=disp/(HPPeriodSlow-1);
dev=MathSqrt(disp)*2.0;
for(i=0;i＜HPPeriodSlow;i++) {Dev1[i]=HPSlow[i]+dev; Dev2[i]=HPSlow[i]-dev;}
//-------------------------------------------------------
val=dev/HPSlow[0]*200;
ObjectSetString(0,ShortName,OBJPROP_TEXT,"Channel="+DoubleToString(val,2)+"%");
return(rates_total);
}
//-------------------------------------------------------------------------
//
//
// Hodrick-Prescott Filter-------------------------------------------------
void HPF(int nobs,double lambda,double &x[],double &y[])
{
double a[],b[],c[],H1,H2,H3,H4,H5,HH1,HH2,HH3,HH4,HH5,HB,HC,Z;
int i;
ArrayResize(a,nobs); ArrayResize(b,nobs); ArrayResize(c,nobs);
a[0]=1.0+lambda; b[0]=-2.0*lambda; c[0]=lambda;
for(i=1;i＜nobs-2;i++) { a[i]=6.0*lambda+1.0; b[i]=-4.0*lambda; c[i]=lambda; }
a[1]=5.0*lambda+1; a[nobs-1]=1.0+lambda; a[nobs-2]=5.0*lambda+1.0;
b[nobs-2]=-2.0*lambda; b[nobs-1]=0.0; c[nobs-2]=0.0; c[nobs-1]=0.0;
//Forward
for(i=0;i＜nobs;i++)
{
Z=a[i]-H4*H1-HH5*HH2; HB=b[i]; HH1=H1; H1=(HB-H4*H2)/Z;
b[i]=H1; HC=c[i]; HH2=H2; H2=HC/Z; c[i]=H2; a[i]=(x[i]-HH3*HH5-H3*H4)/Z;
HH3=H3; H3=a[i]; H4=HB-H5*HH1; HH5=H5; H5=HC;
}
//Backward
H2=0; H1=a[nobs-1]; y[nobs-1]=H1;
for(i=nobs-2;i>=0;i--) { y[i]=a[i]-b[i]*H1-c[i]*H2; H2=H1; H1=y[i]; }
}
//-----------------------------------------------------------------------------
【表示結果】
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