-- Id: 7611 -- More information about this indicator can be found at: -- http://fxcodebase.com/code/viewtopic.php?f=17&t=24131 --+------------------------------------------------------------------+ --| Copyright © 2018, Gehtsoft USA LLC | --| http://fxcodebase.com | --+------------------------------------------------------------------+ --| Developed by : Mario Jemic | --| mario.jemic@gmail.com | --+------------------------------------------------------------------+ --| Support our efforts by donating | --| Patreon : https://goo.gl/GdXWeN | --| Paypal : https://goo.gl/9Rj74e | --| BitCoin : 15VCJTLaz12Amr7adHSBtL9v8XomURo9RF | --| BitCoin Cash : 1BEtS465S3Su438Kc58h2sqvVvHK9Mijtg | --| Ethereum : 0x8C110cD61538fb6d7A2B47858F0c0AaBd663068D | --| LiteCoin : LLU8PSY2vsq7B9kRELLZQcKf5nJQrdeqwD | --+------------------------------------------------------------------+ function Init() indicator:name("Geometric interpretation of Pearson product-moment correlation coefficient"); indicator:description("Geometric interpretation of Pearson product-moment correlation coefficient"); indicator:requiredSource(core.Bar); indicator:type(core.Oscillator); indicator.parameters:addGroup("Calculation"); indicator.parameters:addInteger("Period", "Period", "Period", 50); --indicator.parameters:addString("BS", "Bar Size to display High/Low", "", "D1"); --indicator.parameters:setFlag("BS", core.FLAG_PERIODS); indicator.parameters:addString("SymbolX", "The instrument X", "", ""); indicator.parameters:setFlag("SymbolX", core.FLAG_INSTRUMENTS); indicator.parameters:addString("Price1", "Price Source", "", "close"); indicator.parameters:addStringAlternative("Price1", "OPEN", "", "open"); indicator.parameters:addStringAlternative("Price1", "HIGH", "", "high"); indicator.parameters:addStringAlternative("Price1", "LOW", "", "low"); indicator.parameters:addStringAlternative("Price1","CLOSE", "", "close"); indicator.parameters:addStringAlternative("Price1", "MEDIAN", "", "median"); indicator.parameters:addStringAlternative("Price1", "TYPICAL", "", "typical"); indicator.parameters:addStringAlternative("Price1", "WEIGHTED", "", "weighted"); indicator.parameters:addString("SymbolY", "The instrument Y", "", ""); indicator.parameters:setFlag("SymbolY", core.FLAG_INSTRUMENTS); indicator.parameters:addString("Price2", "Price Source", "", "close"); indicator.parameters:addStringAlternative("Price2", "OPEN", "", "open"); indicator.parameters:addStringAlternative("Price2", "HIGH", "", "high"); indicator.parameters:addStringAlternative("Price2", "LOW", "", "low"); indicator.parameters:addStringAlternative("Price2","CLOSE", "", "close"); indicator.parameters:addStringAlternative("Price2", "MEDIAN", "", "median"); indicator.parameters:addStringAlternative("Price2", "TYPICAL", "", "typical"); indicator.parameters:addStringAlternative("Price2", "WEIGHTED", "", "weighted"); indicator.parameters:addGroup("Style"); indicator.parameters:addColor("Color", "Label Color", "", core.rgb(255, 0, 0)); indicator.parameters:addInteger("Size", "Label Size", "", 10); end -- Indicator instance initialization routine -- Processes indicator parameters and creates output streams -- TODO: Refine the first period calculation for each of the output streams. -- TODO: Calculate all constants, create instances all subsequent indicators and load all required libraries -- Parameters block local Period; local first; local source = nil; --local BS; local host; local offset; local weekoffset; local SourceData1,SourceData2; local loading ={}; local Price1, Price2; -- Streams block local font1, font2; local SymbolX, SymbolY; local Size, Color; local AB,C,D; -- Routine function Prepare(nameOnly) Period = instance.parameters.Period; Size = instance.parameters.Size; Color = instance.parameters.Color; source = instance.source; first = source:first(); SymbolX = instance.parameters.SymbolX; SymbolY = instance.parameters.SymbolY; Price1 = instance.parameters.Price1; Price2 = instance.parameters.Price2; host = core.host; offset = host:execute("getTradingDayOffset"); weekoffset = host:execute("getTradingWeekOffset"); local name = profile:id() .. "(" .. source:name() --[[.. ", " .. tostring(BS)]].. ", " .. tostring(SymbolX).. ", " .. tostring(Price1).. ", " .. tostring(SymbolY).. ", " .. tostring(Price2).. ", " .. tostring(Period) .. ")"; instance:name(name); if (not (nameOnly)) then SourceData1 = core.host:execute("getSyncHistory", SymbolX, source:barSize(), source:isBid(), math.min(300,Period*2), 201, 101); loading[1]=true; SourceData2 = core.host:execute("getSyncHistory", SymbolY, source:barSize(), source:isBid(), math.min(300,Period*2), 202, 102); loading[2]=true; AB= instance:addInternalStream(first, 0); C= instance:addInternalStream(first, 0); D= instance:addInternalStream(first, 0); font1 = core.host:execute("createFont", "Wingdings", Size, false, false); font2 = core.host:execute("createFont", "Courier", Size*2, true, false); end end function Initialization(period) local Candle; Candle = core.getcandle(source:barSize(), source:date(period), offset, weekoffset); if loading[1]or loading[2] or SourceData1:size() == 0 or SourceData2:size() == 0 then return false,false ; end if period < source:first() then return false,false; end local p1 = core.findDate(SourceData1, Candle, false); local p2 = core.findDate(SourceData2, Candle, false); -- candle is not found if p1 < 0 or p2 < 0 then return false ,false ; else return p1, p2; end end -- Indicator calculation routine -- TODO: Add your code for calculation output values function Update(period) local p1, p2 = Initialization(period) if not p1 or not p2 or p1 < Period or p2< Period then return; end if SourceData1:hasData(p1) and SourceData2:hasData(p2) then local Xavg=mathex.avg (SourceData1[Price1], p1-Period+1, p1); local Yavg=mathex.avg (SourceData2[Price2], p2-Period+1, p2); local Sx =mathex.stdev (SourceData1[Price1], p1-Period+1, p1); local Sy=mathex.stdev (SourceData2[Price2], p2-Period+1, p2); local Zx = ( (SourceData1[Price1][p1]- Xavg)/ Sx)*20; local Zy = ((SourceData2[Price2][p2]- Yavg)/ Sy)*20; local A = (SourceData1[Price1][p1]- Xavg); local B = (SourceData2[Price2][p2]- Yavg); AB[period] = A*B; C[period] = A^2; D[period] = B^2; if period > first+Period*2 then local Numerator = mathex.sum(AB, period-Period+1, period); local DenominatorC = mathex.sum(C, period-Period+1, period); local DenominatorD = mathex.sum(D, period-Period+1, period); local Denominator = ((DenominatorC)^(1/2))* ((DenominatorD)^(1/2)) local PPMCC= Numerator/Denominator; core.host:execute("drawLabel1", 1, 0, core.CR_RIGHT, 0, core.CR_TOP, core.H_Left, core.V_Bottom, font2, Color, tostring( "Correlation Coefficient is :" .." "..string.format("%." .. 2 .. "f", PPMCC))); local Label; if PPMCC > -0.3 and PPMCC < 0.3 then Label="Two Streams Do not Correlate"; elseif PPMCC >= -0.3 and PPMCC < 0 then Label= "Two Streams have Weak Negativ Correlation"; elseif PPMCC >= 0 and PPMCC < 0.3 then Label= "Two Streams have Weak Positive Correlation"; elseif PPMCC >= -0.30 and PPMCC < -0.5 then Label= "Two Streams have Moderate Negativ Correlation"; elseif PPMCC >= 0.3 and PPMCC < 0.5 then Label= "Two Streams have Moderate Positive Correlation"; elseif PPMCC <= -0.5 then Label= "Two Streams have Strong Negativ Correlation"; elseif PPMCC >= 0.5 then Label= "Two Streams have Strong Positive Correlation"; end core.host:execute("drawLabel1", 2, 0, core.CR_RIGHT, 2*Size, core.CR_TOP, core.H_Left, core.V_Bottom, font2, Color, tostring( Label)); end core.host:execute("drawLabel1", source:serial(period), Zx, core.CR_CENTER, -Zy, core.CR_CENTER, core.H_Center, core.V_Center, font1, Color, "\158"); end end -- the function is called when the async operation is finished function AsyncOperationFinished(cookie) if cookie == 201 then loading[1] = false; elseif cookie == 202 then loading[2] = false; elseif cookie == 101 then loading[1] = true; elseif cookie == 102 then loading[2] = true; end if not loading[2] and loading[1] then instance:updateFrom(0); end return core.ASYNC_REDRAW; end function ReleaseInstance() core.host:execute("deleteFont", font1); core.host:execute("deleteFont", font2); end