-- Id: 9668 -- 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("Two Period Pearson product-moment correlation coefficient"); indicator:description("Pearson product-moment correlation coefficient"); indicator:requiredSource(core.Bar); indicator:type(core.Oscillator); indicator.parameters:addGroup("Calculation"); indicator.parameters:addInteger("SHORT", "Short Period", "Period", 25); indicator.parameters:addInteger("LONG", "Long Period", "Period", 50); 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("Short_color", "Short PPMCC Line Color", "", core.rgb(255, 0, 0)); indicator.parameters:addInteger("style1", "Line Style", "", core.LINE_SOLID); indicator.parameters:setFlag("style1", core.FLAG_LEVEL_STYLE); indicator.parameters:addInteger("width1", "Line Width", "", 3, 1, 5); indicator.parameters:addColor("Long_color", "Long PPMCC Line Color", "", core.rgb(0, 255, 0)); indicator.parameters:addInteger("style2", "Line Style", "", core.LINE_SOLID); indicator.parameters:setFlag("style2", core.FLAG_LEVEL_STYLE); indicator.parameters:addInteger("width2", "Line Width", "", 3, 1, 5); 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 first; local source = nil; --local BS; local host; local offset; local weekoffset; local SourceData1,SourceData2; local loading={}; local Price1, Price2; -- Streams block local PMCC = nil; local SymbolX, SymbolY; local AB, C,D; local Short, Long; local SHORT, LONG; -- Routine function Prepare(nameOnly) SHORT = instance.parameters.SHORT; LONG = instance.parameters.LONG; 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(SymbolX).. ", " .. tostring(Price1).. ", " .. tostring(SymbolY).. ", " .. tostring(Price2) .. ", " .. tostring(SHORT).. ", " .. tostring(LONG) .. ")"; instance:name(name); if (not (nameOnly)) then SourceData1 = core.host:execute("getSyncHistory", SymbolX, source:barSize(), source:isBid(), math.min(300,math.max(SHORT, LONG)*2), 201, 101); loading[1]=true; SourceData2 = core.host:execute("getSyncHistory", SymbolY, source:barSize(), source:isBid(), math.min(300,math.max(SHORT, LONG)*2), 202, 102); loading[2]=true; AB= instance:addInternalStream(first, 0); C= instance:addInternalStream(first, 0); D= instance:addInternalStream(first, 0); Short = instance:addStream("Short", core.Line, name, "Short", instance.parameters.Short_color, first+SHORT*2); Short:setWidth(instance.parameters.width1); Short:setStyle(instance.parameters.style1); Short:setPrecision (2); Long = instance:addStream("Long", core.Line, name, "Long", instance.parameters.Long_color, first+LONG*2); Long:setWidth(instance.parameters.width1); Long:setStyle(instance.parameters.style1); Long:setPrecision (2); 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 < math.max(SHORT,LONG) or p2< math.max(SHORT,LONG) then return; end if not SourceData1:hasData(p1) or not SourceData2:hasData(p2) then return; end AVG1=mathex.avg (SourceData1[Price1], p1-SHORT+1, p1); AVG2=mathex.avg (SourceData2[Price2], p2-SHORT+1, p2); local A = (SourceData1[Price1][p1]- AVG1); local B = (SourceData2[Price2][p2]- AVG2); AB[period] = A*B; C[period] = A^2; D[period] = B^2; if period < first+SHORT*2 then return end local Numerator = mathex.sum(AB, period-SHORT+1, period); local DenominatorC = mathex.sum(C, period-SHORT+1, period); local DenominatorD = mathex.sum(D, period-SHORT+1, period); local Denominator = ((DenominatorC)^(1/2))* ((DenominatorD)^(1/2)) Short[period]= Numerator/Denominator; AVG1=mathex.avg (SourceData1[Price1], p1-LONG+1, p1); AVG2=mathex.avg (SourceData2[Price2], p2-LONG+1, p2); local A = (SourceData1[Price1][p1]- AVG1); local B = (SourceData2[Price2][p2]- AVG2); AB[period] = A*B; C[period] = A^2; D[period] = B^2; if period < first+LONG*2 then return end local Numerator = mathex.sum(AB, period-LONG+1, period); local DenominatorC = mathex.sum(C, period-LONG+1, period); local DenominatorD = mathex.sum(D, period-LONG+1, period); local Denominator = ((DenominatorC)^(1/2))* ((DenominatorD)^(1/2)) Long[period]= Numerator/Denominator; 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