ADXm smoothed

ÿþ//+------------------------------------------------------------------

#property copyright   "mladen"

#property link        "mladenfx@gmail.com"

#property link        "https://www.mql5.com"

#property description "ADXm smoothed"

//+------------------------------------------------------------------

#property indicator_separate_window

#property indicator_buffers 3

#property indicator_plots   2

#property indicator_label1  "DI"

#property indicator_type1   DRAW_LINE

#property indicator_color1  clrDarkGray

#property indicator_label2  "ADXm"

#property indicator_type2   DRAW_COLOR_LINE

#property indicator_color2  clrDarkGray,clrDodgerBlue,clrSandyBrown

#property indicator_width2  2

//--- input parameters

input int    inpAdxmPeriod      = 14; // ADXm period

input int    inpAdxmSmooth      =  5; // Smoothing period

input double inpAdxmSmoothPhase =  0; // Smoothing phase

//--- buffers declarations

double adxm[],adxmc[],di[];

//+------------------------------------------------------------------+

//| Custom indicator initialization function                         |

//+------------------------------------------------------------------+

int OnInit()

  {

//--- indicator buffers mapping

   SetIndexBuffer(0,di,INDICATOR_CALCULATIONS);

   SetIndexBuffer(1,adxm,INDICATOR_DATA);

   SetIndexBuffer(2,adxmc,INDICATOR_COLOR_INDEX);

//---

   IndicatorSetString(INDICATOR_SHORTNAME,"ADXm smoothed ("+(string)inpAdxmPeriod+","+(string)inpAdxmSmooth+")");

   return (INIT_SUCCEEDED);

  }

//+------------------------------------------------------------------+

//| Custom indicator de-initialization function                      |

//+------------------------------------------------------------------+

void OnDeinit(const int reason)

  {

  }

//+------------------------------------------------------------------+

//| Custom indicator iteration function                              |

//+------------------------------------------------------------------+

int OnCalculate(const int rates_total,

                const int prev_calculated,

                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[])

  {

   if(Bars(_Symbol,_Period)<rates_total) return(prev_calculated);

   int i=(int)MathMax(prev_calculated-1,1); for(; i<rates_total && !_StopFlag; i++)

     {

      double _di;

      adxm[i]  = iSmooth(iAdxm(close[i],high[i],low[i],inpAdxmPeriod,_di,i,rates_total),inpAdxmSmooth,inpAdxmSmoothPhase,i,rates_total);

      di[i]    = _di;

      adxmc[i] = (i>0) ?(adxm[i]>adxm[i-1]) ? 1 :(adxm[i]<adxm[i-1]) ? 2 : adxmc[i-1]: 0;

     }

   return (i);

  }



//+------------------------------------------------------------------+

//| Custom functions                                                 |

//+------------------------------------------------------------------+

#define _adxmInstances     1

#define _adxmInstancesSize 8

double  _adxmWork[][_adxmInstances*_adxmInstancesSize];

#define _adxmSdh   0

#define _adxmSdl   1

#define _adxmSdx   2

#define _adxmClose 3

#define _adxmHigh  4

#define _adxmLow   5

#define _adxmDi    6

#define _adxmAdx   7

//

//---

//

double iAdxm(double _close,double _high,double _low,double _period,double &_di,int i,int bars,int instanceNo=0)

  {

   if(ArrayRange(_adxmWork,0)!=bars) ArrayResize(_adxmWork,bars); instanceNo*=_adxmInstancesSize; #ifdef __MQL4__ i=bars-i-1; #endif



   _adxmWork[i][instanceNo+_adxmClose]=_close;

   _adxmWork[i][instanceNo+_adxmHigh] =_high;

   _adxmWork[i][instanceNo+_adxmLow]  =_low;



//

//---

//



   double hc = _adxmWork[i][instanceNo+_adxmHigh];

   double lc = _adxmWork[i][instanceNo+_adxmLow ];

   double cp = (i>0) ? _adxmWork[i-1][instanceNo+_adxmClose] : _adxmWork[i][instanceNo+_adxmClose];

   double hp = (i>0) ? _adxmWork[i-1][instanceNo+_adxmHigh ] : _adxmWork[i][instanceNo+_adxmHigh ];

   double lp = (i>0) ? _adxmWork[i-1][instanceNo+_adxmLow  ] : _adxmWork[i][instanceNo+_adxmLow  ];

   double dh = MathMax(hc-hp,0);

   double dl = MathMax(lp-lc,0);



   if(dh==dl) {dh=0; dl=0;} else if(dh<dl) dh=0; else if(dl<dh) dl=0;



   double tr    = MathMax(hc,cp)-MathMin(lc,cp);

   double dhk   = (tr!=0) ? 100.0*dh/tr : 0;

   double dlk   = (tr!=0) ? 100.0*dl/tr : 0;

   double alpha = 2.0/(_period+1.0);



   _adxmWork[i][instanceNo+_adxmSdh] = (i>0) ? _adxmWork[i-1][instanceNo+_adxmSdh] + alpha*(dhk-_adxmWork[i-1][instanceNo+_adxmSdh]) : dhk;

   _adxmWork[i][instanceNo+_adxmSdl] = (i>0) ? _adxmWork[i-1][instanceNo+_adxmSdl] + alpha*(dlk-_adxmWork[i-1][instanceNo+_adxmSdl]) : dlk;

   _adxmWork[i][instanceNo+_adxmDi]  = _adxmWork[i][instanceNo+_adxmSdh] - _adxmWork[i][instanceNo+_adxmSdl];



   double div  = MathAbs(_adxmWork[i][instanceNo+_adxmSdh] + _adxmWork[i][instanceNo+_adxmSdl]);

   double temp = (div!=0.0) ? 100*_adxmWork[i][instanceNo+_adxmDi]/div : 0;



   _adxmWork[i][instanceNo+_adxmAdx]=(i>0) ? _adxmWork[i-1][instanceNo+_adxmAdx]+alpha*(temp-_adxmWork[i-1][instanceNo+_adxmAdx]) : 0;

   _di=_adxmWork[i][instanceNo+_adxmDi];

   return(_adxmWork[i][instanceNo+_adxmAdx]);

  }

//

//---

//

double m_wrk[][10];

int    m_size=0;

//

//---

//

double iSmooth(double price,double length,double phase,int r,int bars)

  {

#define bsmax  5

#define bsmin  6

#define volty  7

#define vsum   8

#define avolty 9



   if(m_size!=bars) ArrayResize(m_wrk,bars); if(ArrayRange(m_wrk,0)!=bars) return(price); m_size=bars;

   if(r==0 || length<=1) { int k=0; for(; k<7; k++) m_wrk[r][k]=price; for(; k<10; k++) m_wrk[r][k]=0; return(price); }



//

//---

//



   double len1   = MathMax(MathLog(MathSqrt(0.5*(length-1)))/MathLog(2.0)+2.0,0);

   double pow1   = MathMax(len1-2.0,0.5);

   double del1   = price - m_wrk[r-1][bsmax];

   double del2   = price - m_wrk[r-1][bsmin];

   int    forBar = MathMin(r,10);



   m_wrk[r][volty]=0;

   if(MathAbs(del1) > MathAbs(del2)) m_wrk[r][volty] = MathAbs(del1);

   if(MathAbs(del1) < MathAbs(del2)) m_wrk[r][volty] = MathAbs(del2);

   m_wrk[r][vsum]=m_wrk[r-1][vsum]+(m_wrk[r][volty]-m_wrk[r-forBar][volty])*0.1;



//

//---

//



   m_wrk[r][avolty]=m_wrk[r-1][avolty]+(2.0/(MathMax(4.0*length,30)+1.0))*(m_wrk[r][vsum]-m_wrk[r-1][avolty]);

   double dVolty=(m_wrk[r][avolty]>0) ? m_wrk[r][volty]/m_wrk[r][avolty]: 0;

   if(dVolty > MathPow(len1,1.0/pow1)) dVolty = MathPow(len1,1.0/pow1);

   if(dVolty < 1)                      dVolty = 1.0;



//

//---

//



   double pow2 = MathPow(dVolty, pow1);

   double len2 = MathSqrt(0.5*(length-1))*len1;

   double Kv   = MathPow(len2/(len2+1), MathSqrt(pow2));



   if(del1 > 0) m_wrk[r][bsmax] = price; else m_wrk[r][bsmax] = price - Kv*del1;

   if(del2 < 0) m_wrk[r][bsmin] = price; else m_wrk[r][bsmin] = price - Kv*del2;



//

//---

//



   double corr  = MathMax(MathMin(phase,100),-100)/100.0 + 1.5;

   double beta  = 0.45*(length-1)/(0.45*(length-1)+2);

   double alpha = MathPow(beta,pow2);



   m_wrk[r][0] = price + alpha*(m_wrk[r-1][0]-price);

   m_wrk[r][1] = (price - m_wrk[r][0])*(1-beta) + beta*m_wrk[r-1][1];

   m_wrk[r][2] = (m_wrk[r][0] + corr*m_wrk[r][1]);

   m_wrk[r][3] = (m_wrk[r][2] - m_wrk[r-1][4])*MathPow((1-alpha),2) + MathPow(alpha,2)*m_wrk[r-1][3];

   m_wrk[r][4] = (m_wrk[r-1][4] + m_wrk[r][3]);



//

//---

//



   return(m_wrk[r][4]);



   #undef bsmax

   #undef bsmin

   #undef volty

   #undef vsum

   #undef avolty

  }

//+------------------------------------------------------------------+