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Help with ADR Indicator with specified hours

  • Post #1
  • Quote
  • First Post: Feb 14, 2013 3:50pm Feb 14, 2013 3:50pm
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
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);
}
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;
}
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
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.
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
  • Post #7
  • Quote
  • Edited 3:56am Feb 21, 2013 3:21am | Edited 3:56am
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?
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
  • Post #9
  • Quote
  • Edited 1:50pm Feb 21, 2013 1:22pm | Edited 1:50pm
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;
}
  • Post #10
  • Quote
  • Last Post: Feb 25, 2013 9:34am Feb 25, 2013 9:34am
Thanks m.m.m, that works a treat

Regards

Console
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