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ValBands Indicator
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Here is the valbands indicator converted from mq5.
import backtrader as bt class ValBandsIndicator(bt.Indicator): ''' Candlesticks length volatility indicator - histo - candlestick length in pips - lines are averages from the candlesticks length with standard deviation Settings are analogous to the Bollinger Channel Usage: https://www.mql5.com/en/code/687 http://forex-strategies-revealed.com/money-management/keep-every-pip It is useful for tracking gaps on the market. The gap contains everything that is above the top line - crossing the upper border - a) �� (towards a position) b) SL (against a position) c) entry prohibition at this point - crossing the lower border - flat - crossing the lower border upwards - beginning of a trend Histo: the length of the candle in pips. Bands: the average of the candle length with standard deviation. - Top: reading above it suggests that a candle is taller than usual, and it's the time to Take profit. (Also, don't open any new trades there). - Mid: reading close to it - an active trend. - Bot: reading below it - ranging market. (Crossing the pink line from below - beginning of a trend). Source: //+------------------------------------------------------------------------+ //| Val_Bands.mq5 | //| Copyright � 2010, Fomenko | //| http://faa1947@mail.ru | //+------------------------------------------------------------------------+ //| Candlesticks length volatility indicator: | //| - histogram - candlestick length in pips; | //| - lines are averages from the candlesticks length with standard | //| deviation; | //| Settings are analogous to the Bollinger Channel; | //| Usage. It is useful for tracking gaps on the market. The gap | //| contains everything that is above the yellow line; | //| - crossing the upper border - �) �� (towards a position); | //| b) SL (against a position); | //| c) entry prohibition at this point; | //| - crossing the lower border - flat; | //| - crossing the lower border upwards - beginning of a trend. | //+------------------------------------------------------------------------+ #property copyright "Copyright � 2010, Fomenko" #property link "http://faa1947@mail.ru" //---- indicator version #property version "1.00" //---- drawing the indicator in a separate window #property indicator_separate_window //---- number of indicator buffers 5 #property indicator_buffers 5 //---- four plots are used in total #property indicator_plots 4 //+-----------------------------------+ //| Indicator drawing parameters | //+-----------------------------------+ //---- drawing the indicator as a color histogram #property indicator_type1 DRAW_COLOR_HISTOGRAM //---- the following colors are used in the four color histogram #property indicator_color1 Gray,Red,Lime,Yellow //---- indicator line is a solid one #property indicator_style1 STYLE_SOLID //---- Indicator line width is equal to 2 #property indicator_width1 2 //---- displaying the indicator label #property indicator_label1 "Val Histogram" //---- drawing the indicator as a line #property indicator_type2 DRAW_LINE //---- lime color is used for the line #property indicator_color2 Lime //---- the indicator line is a dash-dotted curve #property indicator_style2 STYLE_DASHDOTDOT //---- indicator line width is equal to 1 #property indicator_width2 1 //---- displaying the line label #property indicator_label2 "Mov" //---- drawing the indicator as a line #property indicator_type3 DRAW_LINE //---- yellow color is used for the line #property indicator_color3 Yellow //---- the indicator line is a dash-dotted curve #property indicator_style3 STYLE_DASHDOTDOT //---- indicator line width is equal to 1 #property indicator_width3 1 //---- displaying the line label #property indicator_label3 "Up" //---- drawing the indicator as a line #property indicator_type4 DRAW_LINE //---- use red color for the line #property indicator_color4 Red //---- the indicator line is a dash-dotted curve #property indicator_style4 STYLE_DASHDOTDOT //---- indicator line width is equal to 1 #property indicator_width4 1 //---- displaying the line label #property indicator_label4 "Down" //+-----------------------------------+ //| Declaration of constants | //+-----------------------------------+ #define RESET 0 // the constant for getting the command for the indicator recalculation back to the terminal //+-----------------------------------+ //| Indicator input parameters | //+-----------------------------------+ input int BandsPeriod=14; // Calculation period input double BandsDeviations=1.0; // Standard deviation size //+-----------------------------------+ //---- declaration of the integer variables for the start of data calculation int min_rates_total; //---- declaration of integer variables for the indicators handles int HMA_Handle,LMA_Handle; //---- declaration of dynamic arrays that //---- will be used as indicator buffers double UpBuffer[],DownBuffer[],MaBuffer[],ValBuffer[],ColorValBuffer[]; //+------------------------------------------------------------------+ //| Val_Bands indicator initialization function | //+------------------------------------------------------------------+ void OnInit() { //---- initialization of variables of the start of data calculation min_rates_total=BandsPeriod; //---- getting handle of the iMA indicator HMA_Handle=iMA(NULL,0,BandsPeriod,0,MODE_SMA,PRICE_HIGH); if(HMA_Handle==INVALID_HANDLE) Print(" Failed to get handle of the iMA indicator"); //---- getting handle of the iMA indicator LMA_Handle=iMA(NULL,0,BandsPeriod,0,MODE_SMA,PRICE_LOW); if(LMA_Handle==INVALID_HANDLE) Print(" Failed to get handle of the iMA indicator"); //---- set ValBuffer[] dynamic array as an indicator buffer SetIndexBuffer(0,ValBuffer,INDICATOR_DATA); //---- performing the shift of the beginning of the indicator drawing PlotIndexSetInteger(0,PLOT_DRAW_BEGIN,min_rates_total); //---- setting the indicator values that won't be visible on a chart PlotIndexSetDouble(0,PLOT_EMPTY_VALUE,EMPTY_VALUE); //---- indexing the elements in buffers as timeseries ArraySetAsSeries(ValBuffer,true); //---- set ColorValBuffer[] dynamic array as an indicator buffer SetIndexBuffer(1,ColorValBuffer,INDICATOR_COLOR_INDEX); //---- performing the shift of the beginning of the indicator drawing PlotIndexSetInteger(1,PLOT_DRAW_BEGIN,min_rates_total); //---- indexing the elements in buffers as timeseries ArraySetAsSeries(ColorValBuffer,true); //---- set MABuffer[] dynamic array as an indicator buffer SetIndexBuffer(2,MaBuffer,INDICATOR_DATA); //---- performing the shift of the beginning of the indicator drawing PlotIndexSetInteger(2,PLOT_DRAW_BEGIN,min_rates_total); //---- setting the indicator values that won't be visible on a chart PlotIndexSetDouble(2,PLOT_EMPTY_VALUE,EMPTY_VALUE); //---- indexing the elements in buffers as timeseries ArraySetAsSeries(MaBuffer,true); //---- set UpBuffer[] dynamic array as an indicator buffer SetIndexBuffer(3,UpBuffer,INDICATOR_DATA); //---- performing the shift of the beginning of the indicator drawing PlotIndexSetInteger(3,PLOT_DRAW_BEGIN,min_rates_total); //---- setting the indicator values that won't be visible on a chart PlotIndexSetDouble(3,PLOT_EMPTY_VALUE,EMPTY_VALUE); //---- indexing the elements in buffers as timeseries ArraySetAsSeries(UpBuffer,true); //---- set DownBuffer[] dynamic array as an indicator buffer SetIndexBuffer(4,DownBuffer,INDICATOR_DATA); //---- performing the shift of the beginning of the indicator drawing PlotIndexSetInteger(4,PLOT_DRAW_BEGIN,min_rates_total); //---- setting the indicator values that won't be visible on a chart PlotIndexSetDouble(4,PLOT_EMPTY_VALUE,EMPTY_VALUE); //---- indexing the elements in buffers as timeseries ArraySetAsSeries(DownBuffer,true); //---- initializations of a variable for the indicator short name string shortname; StringConcatenate(shortname,"Val_Bands( ",BandsPeriod,", ",BandsDeviations," )"); //---- creating a name for displaying in a separate sub-window and in a tooltip IndicatorSetString(INDICATOR_SHORTNAME,shortname); //---- determination of accuracy of displaying the indicator values IndicatorSetInteger(INDICATOR_DIGITS,0); //---- initialization end } //+------------------------------------------------------------------+ //| Val_Bands iteration function | //+------------------------------------------------------------------+ int OnCalculate(const int rates_total, // number of bars in history at the current tick const int prev_calculated,// number of bars calculated at previous call const datetime &time[], const double &open[], const double &high[], const double &low[], const double &close[], const long &tick_volume[], const long &volume[], const int &spread[]) { //---- checking the number of bars to be enough for the calculation if(BarsCalculated(HMA_Handle)<rates_total || BarsCalculated(LMA_Handle)<rates_total || rates_total<min_rates_total) return(RESET); //---- declarations of local variables int to_copy,limit,bar,k; double HMA[],LMA[]; double sum,oldval,newres,deviation; //---- calculations of the necessary amount of data to be copied //---- and the 'limit' starting index for the bars recalculation loop if(prev_calculated>rates_total || prev_calculated<=0)// checking for the first start of the indicator calculation { to_copy=rates_total; // calculated number of all bars limit=rates_total-min_rates_total-1; // starting index for calculation of all bars } else { limit=rates_total-prev_calculated; // starting index for calculation of new bars to_copy=limit+1; // calculated number of new bars only } //--- copy newly appeared data in the arrays if(CopyBuffer(HMA_Handle,0,0,to_copy,HMA)<=0) return(RESET); if(CopyBuffer(LMA_Handle,0,0,to_copy,LMA)<=0) return(RESET); //---- indexing elements in arrays as timeseries ArraySetAsSeries(HMA,true); ArraySetAsSeries(LMA,true); ArraySetAsSeries(high,true); ArraySetAsSeries(low,true); //---- first indicator calculation loop for(bar=limit; bar>=0 && !IsStopped(); bar--) { ValBuffer[bar]=(high[bar]-low[bar])/_Point; MaBuffer[bar]=(HMA[bar]-LMA[bar])/_Point; } //---- the second indicator calculation loop for(bar=limit; bar>=0 && !IsStopped(); bar--) { sum=0.0; k=bar+BandsPeriod-1; oldval=MaBuffer[bar]; while(k>=bar) { newres=ValBuffer[k]-oldval; sum+=newres*newres; k--; } deviation=BandsDeviations*MathSqrt(sum/BandsPeriod); UpBuffer[bar]=oldval+deviation; DownBuffer[bar]=oldval-deviation; ColorValBuffer[bar]=0; if(ValBuffer[bar]>UpBuffer[bar]) ColorValBuffer[bar]=3; else if(ValBuffer[bar]>MaBuffer[bar]) ColorValBuffer[bar]=2; else if(ValBuffer[bar]>DownBuffer[bar]) ColorValBuffer[bar]=1; } //---- return(rates_total); } //+------------------------------------------------------------------+ ''' lines = ('histo', 'top', 'mid', 'bot',) params = dict( period=14, devfactor=1.0, point=0.0001 # 10**pip_location ) plotlines = dict( histo=dict(_method='bar', alpha=0.5, width=0.1), top=dict(), mid=dict(), bot=dict() ) def __init__(self): self.hma = bt.ind.SMA( self.data.high, period=self.p.period) self.lma = bt.ind.SMA( self.data.low, period=self.p.period) self.ma = (self.hma - self.lma) / self.p.point self.stddev = self.p.devfactor * bt.ind.StdDev( self.data, self.ma, period=self.p.period) self.l.histo = (self.data.high - self.data.low) / self.p.point self.l.mid = self.ma self.l.top = self.ma + self.stddev self.l.bot = self.ma - self.stddev -
