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Help with ADR Indicator with specified hours

  • #1
  • First Post: Feb 14, 2013 2:50pm Feb 14, 2013 2:50pm
I am looking for some help with a range indicator.

I want an indicator which shows the range over x days (ADR) but only between specified hours.

So for example it can be set to 5 days average range (excluding sunday) but only for the hours 5pm - 8am so in effect if placed on the chart will give the average range of the EURGBP market during its closed hours.

Im not a coder but can do a little bit of the basics so if anyone can point me to an indicator similar I am willing to get stuck in.

Regards

Console
  • #2
  • Feb 18, 2013 5:56am Feb 18, 2013 5:56am
This is the code I have started with, at present it will show the ADR over 5 days. I want to change it so I can specify the time of day to use in the calculation for example ony calculate over the past 5 days for times between 5pm and 8am ?

#property indicator_separate_window

extern int NumOfDays = 5;
extern string FontName = "Courier New";
extern int FontSize = 15;
extern color FontColor = DodgerBlue;
extern int Window = 0;
extern int Corner = 0;
extern int HorizPos = 5;
extern int VertPos = 20;

double pnt;
int dig;
string objname = "*DRPE";

//+------------------------------------------------------------------+
int init() {
//+------------------------------------------------------------------+
pnt = MarketInfo(Symbol(),MODE_POINT);
dig = MarketInfo(Symbol(),MODE_DIGITS);
if (dig == 3 || dig == 5) {
pnt *= 10;
}
ObjectCreate(objname,OBJ_LABEL,Window,0,0);
return(0);
}

//+------------------------------------------------------------------+
int deinit() {
//+------------------------------------------------------------------+
ObjectDelete(objname);
return(0);
}

//+------------------------------------------------------------------+
int start() {
//+------------------------------------------------------------------+
int c=0;
double sum=0;
for (int i=1; i<Bars-1; i++) {
double hi = iHigh(NULL,PERIOD_D1,i);
double lo = iLow(NULL,PERIOD_D1,i);
datetime dt = iTime(NULL,PERIOD_D1,i);
if (TimeDayOfWeek(dt) > 0 && TimeDayOfWeek(dt) < 5) {
sum += hi - lo;
c++;
if (c>=NumOfDays) break;
} }
hi = iHigh(NULL,PERIOD_D1,0);
lo = iLow(NULL,PERIOD_D1,0);
if (i>0 && pnt>0) {
string objtext = "ADR = " + DoubleToStr(sum/c/pnt,1) + " (" + c + " days) Today = " + DoubleToStr((hi-lo)/pnt,1);
ObjectSet(objname,OBJPROP_CORNER,Corner);
ObjectSet(objname,OBJPROP_XDISTANCE,HorizPos);
ObjectSet(objname,OBJPROP_YDISTANCE,VertPos);
ObjectSetText(objname,objtext,FontSize,FontName,FontColor);
}
return(0);
}
  • #3
  • Feb 19, 2013 4:48am Feb 19, 2013 4:48am
Here is my rough idea of ​​how it might work (not tested for accuracy, not optimised, only core calculus). Maybe you can start something. Note: this is an EA, not indicator.

Inserted Code
extern int macro_period = 5; // days
extern int hour = 17; // hour to start from; 24h format (here 5pm == 12+5 == 17)
extern int micro_period = 15; // time to span in hours (here 5pm to 8am == 15 hours)

double adr = 0;
double prev_adr = 0;
double highest, lowest;
int shift;
bool overlapped = false;

void init()
{
    if ((hour + micro_period) > 24) overlapped = true;
}

void start()
{
    shift = 0;
    for (int macro = 0; macro < macro_period; macro++)
    {
        highest = -1; // low enough number, lower than any possible price
        lowest = 1000000000; // large enough number, higher than any possible price
        for (int micro = 0; micro < micro_period; micro++)
        {
            // extract # hour from datetime: (iTime(NULL, PERIOD_H1, shift) % 86400) / 3600 
            if (overlapped)
                // skip sundays and hours that are outside the (overlapped) window of interest
                while ((TimeDayOfWeek(iTime(NULL, PERIOD_H1, shift)) == 0) || ((((iTime(NULL, PERIOD_H1, shift) % 86400) / 3600) > ((hour + micro_period) % 24)) && (((iTime(NULL, PERIOD_H1, shift) % 86400) / 3600) < hour))) shift++;
            else
                // skip sundays and hours that are outside the window of interest
                while ((TimeDayOfWeek(iTime(NULL, PERIOD_H1, shift)) == 0) || (((iTime(NULL, PERIOD_H1, shift) % 86400) / 3600) > (hour + micro_period)) || (((iTime(NULL, PERIOD_H1, shift) % 86400) / 3600) < hour)) shift++;

            // find highest, lowest
            if (iHigh(NULL, PERIOD_H1, shift) > highest) highest = iHigh(NULL, PERIOD_H1, shift);
            if (iLow(NULL, PERIOD_H1, shift) < lowest) lowest = iLow(NULL, PERIOD_H1, shift);

            shift++;
        }
        adr += highest - lowest;
    }
    if (adr != prev_adr) Print(adr / Point / macro_period / 10);
    prev_adr = adr;
    adr = 0;
}
  • #4
  • Feb 19, 2013 11:54am Feb 19, 2013 11:54am
Thanks for the input m.m.m, I'm not much more than a cut and paste coder so after playing around for a few hours trying myself I have put a job on the MQL5 forum.

Cheers for the help

Conosle
  • #5
  • Feb 20, 2013 3:14am Feb 20, 2013 3:14am
Quoting console
Thanks for the input m.m.m, I'm not much more than a cut and paste coder so after playing around for a few hours trying myself I have put a job on the MQL4 forum.

Cheers for the help

Conosle
Are you saying that the program I gave you does not do what you nedd, i.e. print the average range in pips for a given number of days and between given hours?
I have briefly tested it for functionality and it does print a (reasonable) result into the expert tab (as I said it is not a fancy stuff in there, just the calculation and a simple print). Only thing is I have not tested it for accuracy, i.e. if the value is correct. For that one has to calculate the value manually (say for 1 or 2 days or all five..) and compare.
  • #6
  • Feb 20, 2013 5:49pm Feb 20, 2013 5:49pm
m.m.m, I apologise, not being a coder I had misunderstood where the value was being printed to.

That code is working great having checked it out tonight.

Thanks
  • #7
  • Edited 2:56am Feb 21, 2013 2:21am | Edited 2:56am
In fact it will fail in certain circumstances. Sorry for that, in strive for the shortest code I forgot the special situation(s) when:
(1) the calculation is started within the period of interest.
(2) the period is shortened, i.e. on friday.

But I will do a more robust version.

However, you have to specify how to proceed in situation (1): Should the ongoing period be counted as full period (one of the five days), or should it be excluded?
  • #8
  • Feb 21, 2013 8:52am Feb 21, 2013 8:52am
Hi m.m.m

1. if The current period is started then it should be ignored and use past periods only

2.I have edited the code to exclude a friday but if you can make it work on a shorter hour friday then that would be great.

Thanks for your input.

I am using the indicator to give me a "closed market" range of the GBPEUR and then looking at IG index at the binaries for the will not be above or will not touch market by 8am and placing a trade against the trend to try and return at least 5%

Thanks for your help so far.

Console
  • #9
  • Edited 12:50pm Feb 21, 2013 12:22pm | Edited 12:50pm
This should be it.

Note:
Result will appear as comment in upper-left corner.
All times are 24h format, GMT.
Compile as indicator.

Inserted Code
#property indicator_chart_window

extern int days = 5; // days
extern int from = 17; // hour to start from; 24h format, GMT
extern int to = 8; // hour to stop at, inclusive; 24h format, GMT

double adr = 0;
double prev_adr = 0;
double highest, lowest;
double ext = 1;
bool inside = false;
bool mask[24];
int shift, shift0 = 0;
int h, i, time_span;

void init()
{
    if (to >= from)
        time_span = to - from;
    else
        time_span = 24 - from + to;
    for (i = 0; i < 24; i++) mask[i] = false;
    h = from;
    for (i = 0; i <= time_span; i++)
    {
        mask[h] = true;
        h++;
        if (h >= 24) h = 0;
    }

    // skip period if already started //
    h = iTime(NULL, PERIOD_H1, shift0);
    h = (h % 86400) / 3600;
    while (mask[h] == true)
    {
        shift0++;
        h--;
    }

    if (Digits == 5 || Digits == 3) ext = 10;

    Adr();
}
void deinit()
{
    Comment("");
}
void Adr()
{
    shift = shift0;
    adr = 0;
    highest = -1; // low enough number, lower than any possible price
    lowest = 1000000000; // large enough number, higher than any possible price

    for (i = 0; i < days; shift++)
    {
        // check for sunday //
        h = iTime(NULL, PERIOD_H1, shift);
        if (TimeDayOfWeek(h) == 0) continue;
        // extract hour //
        h = (h % 86400) / 3600;
        if (mask[h] == true)
        {
            inside = true;
            // find highest, lowest //
            if (iHigh(NULL, PERIOD_H1, shift) > highest) highest = iHigh(NULL, PERIOD_H1, shift);
            if (iLow(NULL, PERIOD_H1, shift) < lowest) lowest = iLow(NULL, PERIOD_H1, shift);
        }
        else if (inside == true)
        {
            inside = false;
            adr += highest - lowest;
            highest = -1; // low enough number, lower than any possible price
            lowest = 1000000000; // large enough number, higher than any possible price
            i++; // one day down //
        }
    }
    if (prev_adr != adr) Comment("ADR: ", adr / Point / days / ext);
    prev_adr = adr;
}
  • #10
  • Last Post: Feb 25, 2013 8:34am Feb 25, 2013 8:34am
Thanks m.m.m, that works a treat

Regards

Console
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