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Mt4 code for smoothed inverse fisher transform of RSI

  • #21
  • Jun 12, 2011 5:53pm Jun 12, 2011 5:53pm
iMAOnArray will also function properly with series arrays if they are set as such.

I'm sorry, I don't seem to understand the point you're making - a bit thick this evening perhaps.

My two MAMAs are still running along properly - I have the one with no true/false logic running on M5 so I'll see more bars sooner but so far no odd behavior.
Old Benjamin was right
  • #22
  • Edited 7:49pm Jun 12, 2011 6:10pm | Edited 7:49pm
Quoting Lou G
I'm sorry, I don't seem to understand the point you're making - a bit thick this evening perhaps.
My bad. I can't express myself correctly perhaps and when I read the lines I wrote, I see I produced absolute nonsense.

Series and non-series arrays don't shift automatically, only the eight dedicated indicator buffers do. The Resize operation makes a non-series array shift the correct way if its content is written into indicator buffer later on. But to shift a series array this way, one has to make it a non-series one for the moment of ArrayResize().

Have the variant with ArraySetAsSeries() on EU M1 chart atm.. slower MA already becoming edgy, both moving in the recent past.
MarginTrader All Time Return: na
  • #23
  • Edited 6:37pm Jun 12, 2011 6:23pm | Edited 6:37pm
Quoting MaryJane
My bad. I can't express myself correctly perhaps.
I believe I see the disconnect here. The bar added by resize is not related in any way to the number of bars specified as "max bars" in tools/options.

Bars (the mt4 constant) refers to the number of bars ACTUALLY in the history file for the timeframe, i.e. I have about 3.5 years of H1 data in my history - a bit more than 100,000 bars. When a new bar opens there will be 100,001 bars in history and after the resize the array will have that many slots.

The limits entered in tools/options/chart are actual limits, not the number of bars that exist. Forex has not been around long enough to have a billion bars of H1 history

I also put a Comment statement into my "no true/false" test to display the price contained in the first element of the Price array. These prices are consistent with what is shown in the Data Window, proving that the new array entries are being added to the right end of the array.

So, to summarize, the test version mentioned above has its arrays declared as series in the init(), the resize does not use "false/true" and everything appears normal after 2 hours of M5 bars.

I hope this is all clear to YOU, as I'm beginning to get confused...
Old Benjamin was right
  • #24
  • Jun 12, 2011 6:58pm Jun 12, 2011 6:58pm
Inserted Code
//+------------------------------------------------------------------+
//|   #MAMA_v2.mq4
//+------------------------------------------------------------------+
#include <stdlib.mqh>
#property indicator_chart_window
#property indicator_buffers 2

extern int priceType = 4;
extern double FastLimit = 0.5;
extern double SlowLimit = 0.05;
extern color fastColor = Blue;
extern color slowColor = Crimson;
extern int width = 2;

double FABuffer[];
double MABuffer[];

double jI,jQ,DeltaPhase,alpha,ttime; 

double Price[]; 
double Smooth[]; 
double Detrender[]; 
double Q1[]; 
double I1[]; 
double I2[]; 
double Q2[];
double Re[]; 
double Im[]; 
double SmoothPeriod[];
double Period_[]; 
double Phase[];
double MAMA[]; 
double FAMA[];

int init()
{
   SetIndexStyle(0,DRAW_LINE,0,width,fastColor);
   SetIndexBuffer(0,FABuffer);
   SetIndexLabel(0,"#FAMA");

   SetIndexBuffer(1,MABuffer);
   SetIndexStyle(1,DRAW_LINE,0,width,slowColor);
   SetIndexLabel(1,"#MAMA");

   SetIndexDrawBegin(0,50);
   SetIndexDrawBegin(1,50);
   
   IndicatorDigits(MarketInfo(Symbol(),MODE_DIGITS));
   
   ArraySetAsSeries(Price,true);
   ArraySetAsSeries(Smooth,true);
   ArraySetAsSeries(Detrender,true);
   ArraySetAsSeries(Q1,true);
   ArraySetAsSeries(I1,true);
   ArraySetAsSeries(I2,true);
   ArraySetAsSeries(Q2,true); 
   ArraySetAsSeries(Re,true);
   ArraySetAsSeries(Im,true);
   ArraySetAsSeries(SmoothPeriod,true);
   ArraySetAsSeries(Period_,true);
   ArraySetAsSeries(Phase,true);
   ArraySetAsSeries(MAMA,true);
   ArraySetAsSeries(FAMA,true);

   return(0);
}

int start()
{
   int counted_bars=IndicatorCounted();
   if(counted_bars<0) return(-1);
   if(counted_bars>0) counted_bars--;
   int limit = Bars-counted_bars;

   ResizeArrays();
      
   for (int i=limit;i>=0;i--)
   {
      Price[i] = iMA(NULL,0,1,0,MODE_SMA,priceType,i);

      Smooth[i] = (4*Price[i] + 3*Price[i+1] + 2*Price[i+2] + Price[i+3]) / 10; 

      Detrender[i] = (0.0962*Smooth[i] + 0.5769*Smooth[i+2] - 0.5769*Smooth[i+4] - 
                     0.0962*Smooth[i+6])*(0.075*Period_[i+1] + 0.54); 

      // {Compute InPhase and Quadrature components} 
      Q1[i] = (0.0962*Detrender[i] + 0.5769*Detrender[i+2] - 0.5769*Detrender[i+4] - 
              0.0962*Detrender[i+6])*(0.075*Period_[i+1] + 0.54); 
      I1[i] = Detrender[i+3]; 

      // {Advance the phase of I1 and Q1 by 90 degrees} 
      jI = (0.0962*I1[i] + 0.5769*I1[i+2] - 0.5769*I1[i+4] - 0.0962*I1[i+6])*
          (0.075*Period_[i+1] + 0.54); 

      jQ = (0.0962*Q1[i] + 0.5769*Q1[i+3] - 0.5769*Q1[i+4] - 0.0962*Q1[i+6])*
          (0.075*Period_[i+1] + 0.54); 

      // {Phasor addition for 3 bar averaging)} 
      I2[i] = I1[i] - jQ; 
      Q2[i] = Q1[i] + jI; 

      // {Smooth the I and Q components before applying the discriminator} 
      I2[i] = 0.2*I2[i] + 0.8*I2[i+1]; 
      Q2[i] = 0.2*Q2[i] + 0.8*Q2[i+1]; 

      // {Homodyne Discriminator} 
      Re[i] = I2[i]*I2[i+1] + Q2[i]*Q2[i+1]; 
      Im[i] = I2[i]*Q2[i+1] - Q2[i]*I2[i+1]; 
      Re[i] = 0.2*Re[i] + 0.8*Re[i+1]; 
      Im[i] = 0.2*Im[i] + 0.8*Im[i+1]; 

      if (!CompareDoubles(Im[i],0) && !CompareDoubles(Re[i],0))
      {
         Period_[i] = 360 / (180/3.14159) * MathArctan(Im[i]/Re[i]);
      }
         
      if (Period_[i] > 1.5*Period_[i+1]) 
      {
         Period_[i] = 1.5*Period_[i+1]; 
      }
      
      if (Period_[i] < 0.67*Period_[i+1])
      {
         Period_[i] = 0.67*Period_[i+1]; 
      }
         
      if (Period_[i] < 6)
      { 
         Period_[i] = 6; 
      }

      if (Period_[i] > 50)
      {
         Period_[i] = 50; 
      }
      
      Period_[i] = 0.2*Period_[i] + 0.8*Period_[i+1]; 
      SmoothPeriod[i] = 0.33*Period_[i] + 0.67*SmoothPeriod[i+1]; 

      if (!CompareDoubles(I1[i],0))
      {
         Phase[i] = (MathArctan(Q1[i] / I1[i])); 
      }

      DeltaPhase = Phase[i+1] - Phase[i]; 

      if(DeltaPhase < 1)
      { 
         DeltaPhase = 1; 
      }
      
      alpha = FastLimit / DeltaPhase; 

      if(alpha < SlowLimit)
      {  
         alpha = SlowLimit; 
      }

      MAMA[i] = alpha*Price[i] + (1 - alpha)*MAMA[i+1]; 
      FAMA[i] = 0.5*alpha*MAMA[i] + (1 - 0.5*alpha)*FAMA[i+1]; 

      FABuffer[i] = MAMA[i];
      MABuffer[i] = FAMA[i];

   }
   return(0);
}

int ResizeArrays()
{
   ArrayResize(Price,Bars);
   ArrayResize(Smooth,Bars);
   ArrayResize(Detrender,Bars);
   ArrayResize(Q1,Bars);
   ArrayResize(I1,Bars);
   ArrayResize(I2,Bars);
   ArrayResize(Q2,Bars);
   ArrayResize(Re,Bars);
   ArrayResize(Im,Bars);
   ArrayResize(SmoothPeriod,Bars);
   ArrayResize(Period_,Bars);
   ArrayResize(Phase,Bars);
   ArrayResize(MAMA,Bars);
   ArrayResize(FAMA,Bars);

   return(0);
}
/*
   If CurrentBar > 5 then begin
         Smooth = (4*Price + 3*Price[1] + 2*Price[2] + Price[3]) / 10;
         Detrender = (.0962*Smooth + .5769*Smooth[2] - .5769*Smooth[4]         -
   .0962*Smooth[6])*(.075*Period[1] + .54);
         {Compute InPhase and Quadrature components}
         Q1 = (.0962*Detrender + .5769*Detrender[2]      -  .5769*Detrender[4] -
   .0962*Detrender[6])*(.075*Period[1] + .54);
         I1 = Detrender[3];
         {Advance the phase of I1 and Q1 by 90 degrees}
         jI     =     (.0962*I1     +     .5769*I1[2]     -     .5769*I1[4]    -
   .0962*I1[6])*(.075*Period[1] + .54);
         jQ     =     (.0962*Q1     +     .5769*Q1[2]     -     .5769*Q1[4]    -
   .0962*Q1[6])*(.075*Period[1] + .54);
         {Phasor addition for 3 bar averaging)}
         I2 = I1 - jQ;
         Q2 = Q1 + jI;
         {Smooth the I and Q components before applying the discriminator}
         I2 = .2*I2 + .8*I2[1];
         Q2 = .2*Q2 + .8*Q2[1];
         {Homodyne Discriminator}
         Re = I2*I2[1] + Q2*Q2[1];
         Im = I2*Q2[1] - Q2*I2[1];
         Re = .2*Re + .8*Re[1];
         Im = .2*Im + .8*Im[1];
         If Im <> 0 and Re <> 0 then Period = 360/ArcTangent(Im/Re);
         If Period > 1.5*Period[1] then Period = 1.5*Period[1];
         If Period < .67*Period[1] then Period = .67*Period[1];
         If Period < 6 then Period = 6;
         If Period > 50 then Period = 50;
         Period = .2*Period + .8*Period[1];
         SmoothPeriod = .33*Period + .67*SmoothPeriod[1];
         If I1 <> 0 then Phase = (ArcTangent(Q1 / I1));
         DeltaPhase = Phase[1] - Phase;
         If DeltaPhase < 1 then DeltaPhase = 1;
         alpha = FastLimit / DeltaPhase;
         If alpha < SlowLimit then alpha = SlowLimit;
         MAMA = alpha*Price + (1 - alpha)*MAMA[1];
         FAMA = .5*alpha*MAMA + (1 - .5*alpha)*FAMA[1];
         Plot1(MAMA, u201cMAMAu201d);
         Plot2(FAMA, u201cFAMAu201d);
*/
The EU M1 running:
Attached Image (click to enlarge)
Click to Enlarge Name: mama_as_array_in_init.gif Size: 15 KB
MarginTrader All Time Return: na
  • #25
  • Edited 9:39pm Jun 12, 2011 7:40pm | Edited 9:39pm
Lou, you confused? I'm over-confused now. Wondering if it works for you. Tried it with two other mt4 installations - same result. It probably doesn't make any sense to dissect it further, I honestly apologize to Rangebound if my conclusions were totally unreasonable. Without the flip, it doesn't work for me. Thank you sincerely for your time and insight the MAMA indicator is neat. Please apologize any confusion I caused you.

EDIT: i must live on mars.. found out that even the MAMA you posted originally does the same. plots the past correctly when placed on chart, as bars start to come it behaves like in above pic, until re-init e.g. timeframe switched.

if non-series, true-resize-false works.
if series, false-resize-true works
resize alone - no way for me.
btw: it starts to make simple sense .-) we simply have to flip/resize/flipback. that's the shift

Following two variants are fine (output 100% the same), mt4 build 402, fresh install (added a new bar check to not call ResizeArrays() on every tick but that doesn't play a role):
Attached File(s)
File Type: mq4 #MAMA_v2_NotAsSeries_TrueFalse.mq4   7 KB | 1,107 downloads
File Type: mq4 #MAMA_v2_AsSeries_FalseTrue.mq4   7 KB | 1,104 downloads
MarginTrader All Time Return: na
  • #26
  • Jun 12, 2011 9:56pm Jun 12, 2011 9:56pm
I found your source of info (mladen) at another forum. He says the false/true thing IS necessary, contradicting rangebound. I'm at a loss to know how to establsh who is correct other than let both indicators run and see if one gets to look totally ridiculous...

Maybe we'll know by tomorrow.
Old Benjamin was right
  • #27
  • Jun 12, 2011 10:05pm Jun 12, 2011 10:05pm
Quoting Lou G
I found your source of info (mladen) at another forum. He says the false/true thing IS necessary, contradicting rangebound. I'm at a loss to know how to establsh who is correct other than let both indicators run and see if one gets to look totally ridiculous...

Maybe we'll know by tomorrow.
Thank you
MarginTrader All Time Return: na
  • #28
  • Jun 13, 2011 4:08am Jun 13, 2011 4:08am
Setting a series array to false before resizing is the clear winner. Not to rant, but I would think that this would be documented since it's so counter-intuitive...

"I enjoy learning new things but I do not always enjoy being taught" - Winston Churchill
Old Benjamin was right
  • #29
  • Jun 13, 2011 4:25am Jun 13, 2011 4:25am
...sorry for hijacking your thread. Perhaps now you will get what you were asking for in the first place.
Old Benjamin was right
  • #30
  • Jun 13, 2011 4:31am Jun 13, 2011 4:31am
Quoting MaryJane
Thank you
You're welcome.

I did not intend to mislead you - throughout a long programming career (since the 1960's) I've always been a believer in RTFM but in this case there was no f*****g documentation to read.

Regards,
Lou
Old Benjamin was right
  • #31
  • Jun 13, 2011 7:02am Jun 13, 2011 7:02am
Quoting Lou G
You're welcome.

I did not intend to mislead you - throughout a long programming career (since the 1960's) I've always been a believer in RTFM but in this case there was no f*****g documentation to read.

Regards,
Lou
Great to have it cleared. I'm sure kkeskar92 doesn't mind our discussion. After all, I was lucky enough to choose the right route right away. I always used visual tester to see if any indicator draws correctly or not so I saw it was messed up without the flip/resize/flipback thing. I have pointed to mladen's info in a post I deleted before (reason: I posted the indicator drawing rsi and srsi there and thought it was wrong because of the Bars<MaxBars issue), the link to mladen's post is still alive on the first page in your post #10 (quote, i've found this).
I made a post to the Zen Leow's thread: http://www.forexfactory.com/showthre...09#post4686709

Thank you once more, Lou. Now, we know
MarginTrader All Time Return: na
  • #32
  • Jun 17, 2011 10:44pm Jun 17, 2011 10:44pm
Indy from post #14 with added alerts.
Attached File(s)
File Type: mq4 SVE RSI I-Fish.mq4   13 KB | 1,937 downloads
MarginTrader All Time Return: na
  • #33
  • Jun 18, 2011 9:59am Jun 18, 2011 9:59am
Quoting Lou G
...sorry for hijacking your thread. Perhaps now you will get what you were asking for in the first place.

Hey Lou and Maryjane.....Thanks for improved versions. No probs.
  • #34
  • Jun 22, 2011 12:00am Jun 22, 2011 12:00am
Hi MaryJane,
could you please PM me?

Cheers
gspe
  • #35
  • Jun 22, 2011 11:16pm Jun 22, 2011 11:16pm
Hi,
thanks for the indicator i like it so much.

I've noted that there are some little error in the code.
If you leave the indicator on chart for some time it doesn't update in the right way.
If you refresh the chart changing the TF for example you can see how the indicator is different before and after.

See the attached images taken Before and After the refresh.

Cheers
gspe
Attached Image(s) (click to enlarge)
Click to Enlarge Name: Before.jpg Size: 155 KB
Click to Enlarge Name: After.jpg Size: 156 KB
  • #36
  • Edited 1:47pm Jun 23, 2011 1:29pm | Edited 1:47pm
Quoting gspe
I've noted that there are some little error in the code....
Hi gspe,

Sorry for not responding sooner, I've been away for 2 days.

I didn't notice such behavior, but I think it will be the "max bars on chart" issue. I changed the array shifting routine from the flip trick to a proper shift, added a BarCount extern variable (preset to 500) to save CPU when shifting the array elements.. now there's no reason to do anything unexpected.

hope it helps Thanks for the bug report, pls test and let me know if it's ok, I didn't test it.
Attached File(s)
File Type: mq4 SVE RSI I-Fish refreshfix.mq4   12 KB | 2,108 downloads
MarginTrader All Time Return: na
  • #37
  • Jun 29, 2011 8:11am Jun 29, 2011 8:11am
Hi MaryJane,

Thank you for all your very helpful posts. My apologies for asking a simple question. From the above posts I have now downloaded an indicator that sits below the chart and entitled SVE RSI I-Fish and red/blue crossing lines on the price chart entitled #MAMA_v2_AsSeries_FalseTRue. Can you help by explaining please how entries are identified? (and if possible exits?)
Many Thanks
  • #38
  • Jun 29, 2011 12:12pm Jun 29, 2011 12:12pm
Quoting alicimo
Hi MaryJane,

Thank you for all your very helpful posts. My apologies for asking a simple question. From the above posts I have now downloaded an indicator that sits below the chart and entitled SVE RSI I-Fish and red/blue crossing lines on the price chart entitled #MAMA_v2_AsSeries_FalseTRue. Can you help by explaining please how entries are identified? (and if possible exits?)
Many Thanks
alicimo,

I'd really like to help you but I don't use either in my trading. I only coded the SVE indicator on request of the thread starter. The #MAMA_v2 indicator was posted by Lou G as example as we discussed about shifting arrays (a coding issue).

I think you can't get a sound trading system just by entering/exiting based on one or two indicators.

You might use the MAMA crosses in the same manner as 'classic' MA crosses are used in various systems (eg. 5/12 ema bagovino method). As for SVE, it's founder (Sylvain Vervoort) considers crossing the 12 level up as a 'buy' signal and crossing the 88 level down as a 'sell' signal but advises to confirm with Stochastic and Assymetrical RSI - but I really don't have a clue how exactly he does, and I don't have any interest in finding it out.

I was never able to learn to use (any) indicator effectively.. maybe for spotting divergences.. or drawing trendlines on rsi is fun sometimes.. I may have some on chart but don't look at them much.. price is the thing that matters. Levels, Price and Time.

I hope you'll get some more qualified reply from someone else
MarginTrader All Time Return: na
  • #39
  • Aug 25, 2011 5:36am Aug 25, 2011 5:36am
Hi Mary Jane,

Kindly have a look at this EA based on supertrend indicator. It could be profitable on a range bars chart if it waits for the bar to close outside supertrend line.
Can you modify the code for Calculate On Bar Close for this EA? I have coded the same for a Ninjatrader that works well but not able to do it for MT4. The system is based on a popular Bluewavetrading system.

The link and code are on post no 4 of this tread.

http://www.forexfactory.com/showthread.php?t=303455

Thanks

Here is a ninjatrader screenshot and backtest.
Attached Image (click to enlarge)
Click to Enlarge Name: Ninja_strategy.jpg Size: 91 KB
Attached File(s)
File Type: csv NinjaTrader Performance Report.csv   1 KB | 759 downloads
  • #40
  • Last Post: Aug 31, 2017 6:43pm Aug 31, 2017 6:43pm
Quoting MaryJane
{quote} Hi gspe, Sorry for not responding sooner, I've been away for 2 days. I didn't notice such behavior, but I think it will be the "max bars on chart" issue. I changed the array shifting routine from the flip trick to a proper shift, added a BarCount extern variable (preset to 500) to save CPU when shifting the array elements.. now there's no reason to do anything unexpected. hope it helps Thanks for the bug report, pls test and let me know if it's ok, I didn't test it. {file}
how to use this indicator.. as of rsi rules.... above 70 and when cross below 70 sell... above 30 buy is it or any other way
Success is a Journey Not a Destination....... kind regards ramzam
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