MQL5でフーリエ変換プログラミング

知っておくべきMQL5ウィザードのテクニック（第06回）：フーリエ変換

      if(position==NULL)
         return(false);
      
      m_high.Refresh(-1);
      m_low.Refresh(-1);
      
      int _x=StartIndex();
      
      double _ft=ProcessFT(_x);
      double _type=_ft/100.0;
      
      double _atr=fmax(2.0*m_spread.GetData(_x)*m_symbol.Point(),m_high.GetData(_x)-m_low.GetData(_x))*(_type);
      
      double _sl=m_low.GetData(_x)-(m_step*_atr);
      
      double level =NormalizeDouble(m_symbol.Bid()-m_symbol.StopsLevel()*m_symbol.Point(),m_symbol.Digits());
      double new_sl=NormalizeDouble(_sl,m_symbol.Digits());
      double pos_sl=position.StopLoss();
      double base  =(pos_sl==0.0) ? position.PriceOpen() : pos_sl;
      
      sl=EMPTY_VALUE;
      tp=EMPTY_VALUE;
      if(new_sl>base && new_sl<level)
         sl=new_sl;
//---
   return(sl!=EMPTY_VALUE);
  }
//+------------------------------------------------------------------+
//| Checking trailing stop and/or profit for short position.         |
//+------------------------------------------------------------------+
bool CTrailingFT::CheckTrailingStopShort(CPositionInfo *position,double &sl,double &tp)
  {
//--- check
      if(position==NULL)
         return(false);
   
      m_high.Refresh(-1);
      m_low.Refresh(-1);
      
      int _x=StartIndex();
      
      double _ft=ProcessFT(_x);
      double _type=_ft/100.0;
   
      double _atr=fmax(2.0*m_spread.GetData(_x)*m_symbol.Point(),m_high.GetData(_x)-m_low.GetData(_x))*(_type);
      
      double _sl=m_high.GetData(_x)+(m_step*_atr);
      
      double level =NormalizeDouble(m_symbol.Ask()+m_symbol.StopsLevel()*m_symbol.Point(),m_symbol.Digits());
      double new_sl=NormalizeDouble(_sl,m_symbol.Digits());
      double pos_sl=position.StopLoss();
      double base  =(pos_sl==0.0) ? position.PriceOpen() : pos_sl;
      
      sl=EMPTY_VALUE;
      tp=EMPTY_VALUE;
      if(new_sl<base && new_sl>level)
         sl=new_sl;
//---
      return(sl!=EMPTY_VALUE);
  }
//+------------------------------------------------------------------+
//| Fourier Transform                                                |
//| INPUT PARAMETERS                                                 |
//|     Index   -   int, read index within price buffer.             |
//| OUTPUT                                                           |
//|     double  -   forecast change in price                         |
//+------------------------------------------------------------------+
double CTrailingFT::ProcessFT(int Index)
   {
      double _ft=0.0;
      
      int _index=Index;//+StartIndex();
      
      m_close.Refresh(-1);
      
      double _a[];
      matrix _output;
      al_complex _f[];
      
      //6 data points, 5 epicycles
   
      ArrayResize(_a,6);ArrayInitialize(_a,0.0);
      _output.Init(6,5);_output.Fill(0.0);
      
      for(int p=0;p<6;p++)
      {
         _a[p]=m_close.GetData(_index+p)-m_close.GetData(_index+p+1);
      }
      
      FFT.FFTR1D(_a,5,_f);
       
      for(int p=0;p<6;p++)
      {
         for(int s=0;s<5;s++)
         {
            double _divisor=(1.0/5),_angle=(p);_angle/=6;
            _output[p][s]=(_divisor*_a[p]*MathExp(-2.0*__PI*(_f[s].im/_f[s].re)*_angle));
         }
      }
      
      double _close=m_close.GetData(_index)>m_close.GetData(_index+1);
      
      int _max_index=0;
      double _max=fabs(_output[5][_max_index]);
      for(int s=0;s<5;s++)
      {
         if(_max<fabs(_output[5][s]))
         {
            _max_index=s;
            _max=fabs(_output[5][s]);
         }
      }
      
      _ft=(_output[5][_max_index]/fmax(m_symbol.Point(),fabs(_output[5][_max_index])+fabs(_close)))*100.0;
      
      return(_ft);
   }
//+----------------------------------------