AMA (filtered)

ÿþ//------------------------------------------------------------------

#property copyright   "© mladen, 2018"

#property link        "mladenfx@gmail.com"

#property description "AMA filtered"

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

#property indicator_chart_window

#property indicator_buffers 3

#property indicator_plots   1

#property indicator_label1  "AMA"

#property indicator_type1   DRAW_COLOR_LINE

#property indicator_color1  clrDarkGray,clrMediumSeaGreen,clrOrangeRed

#property indicator_width1  2



//

//

//



input int                inpPeriod     = 14;          // Period

input int                inpFastPeriod =  2;          // Fast end period

input int                inpSlowPeriod = 30;          // Slow end period

input double             inpFilter     = 1.5;         // Filter size (<=0 for no filter)

input ENUM_APPLIED_PRICE inpPrice      = PRICE_CLOSE; // Price



//

//---

//



double val[],valc[],ama[],g_fastEnd,g_slowEnd; int g_hlPeriod;



//------------------------------------------------------------------

// Custom indicator initialization function

//------------------------------------------------------------------ 

//

//

//



int OnInit()

{

   //

   //--- indicator buffers mapping

   //

         SetIndexBuffer(0,val ,INDICATOR_DATA);

         SetIndexBuffer(1,valc,INDICATOR_COLOR_INDEX);

         SetIndexBuffer(2,ama ,INDICATOR_CALCULATIONS);

            g_fastEnd  = 2.0/(inpFastPeriod+1.0);   

            g_slowEnd  = 2.0/(inpSlowPeriod+1.0);   

            g_hlPeriod = inpPeriod+1;

               iFilter.init(inpPeriod,inpFilter);

   //

   //--- indicator short name assignment

   //

   IndicatorSetString(INDICATOR_SHORTNAME,"AMA ("+(string)inpPeriod+")");

   return (INIT_SUCCEEDED);

}

void OnDeinit(const int reason) { }



//------------------------------------------------------------------

// Custom indicator iteration function

//------------------------------------------------------------------

//

//---

//



#define _setPrice(_priceType,_target,_index) \

   { \

   switch(_priceType) \

   { \

      case PRICE_CLOSE:    _target = close[_index];                                              break; \

      case PRICE_OPEN:     _target = open[_index];                                               break; \

      case PRICE_HIGH:     _target = high[_index];                                               break; \

      case PRICE_LOW:      _target = low[_index];                                                break; \

      case PRICE_MEDIAN:   _target = (high[_index]+low[_index])/2.0;                             break; \

      case PRICE_TYPICAL:  _target = (high[_index]+low[_index]+close[_index])/3.0;               break; \

      case PRICE_WEIGHTED: _target = (high[_index]+low[_index]+close[_index]+close[_index])/4.0; break; \

      default : _target = 0; \

   }}



//

//---

//



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[])

{

   static int    prev_i=-1;

   static double prev_max,prev_min;



   //

   //

   //

   

   int i= prev_calculated-1; if (i<0) i=0; for (; i<rates_total && !_StopFlag; i++)

   {

      double _price; _setPrice(inpPrice,_price,i);

      if (prev_i!=i)

         {

            prev_i = i; 

            int start    = i-g_hlPeriod+1; if (start<0) start=0;

                prev_max = high[ArrayMaximum(high,start,g_hlPeriod-1)];

                prev_min = low [ArrayMinimum(low ,start,g_hlPeriod-1)];

         }

         double max = (high[i] > prev_max) ? high[i] : prev_max;

         double min = (low[i]  < prev_min) ? low[i]  : prev_min;



         //

         //---

         //



         double mltp = (max!=min) ? ((_price-min)-(max-_price))/(max-min) : 1; if (mltp<0) mltp *= -1;

         double ssc  = mltp * ( g_fastEnd-g_slowEnd) + g_slowEnd;	

	

         //

         //---

         //



      ama[i] = (i>0) ? ama[i-1]+(ssc*ssc)*(_price-ama[i-1]) : _price;

      val[i] = iFilter.calculate(ama[i],i);

      valc[i]=(i>0) ?(val[i]>val[i-1]) ? 1 :(val[i]<val[i-1]) ? 2 : valc[i-1]: 0;

   }

   return(i);

}

//------------------------------------------------------------------

// Custom function(s)

//------------------------------------------------------------------

//

//---

//



class CFilter

{

   private :

      int    m_period;

      int    m_arraySize;

      double m_filter;

      struct sFilterArrayStruct

         {

            double value;

            double change;

            double power;

            double summc;

            double summp;

         };

      sFilterArrayStruct m_array[];

   

   public :  

      CFilter() { init(1,0); }

     ~CFilter() { ArrayFree(m_array); }

     

     ///

     ///

     ///

     

     bool init (int period, double filter)

     {

         m_period    = (period>1) ? period : 1;

         m_filter    = (filter>=0) ? filter : 0;

         m_arraySize = m_period + 32;

               if (ArrayResize(m_array,m_arraySize)!=m_arraySize) return(false);

                                                                  return(true);

     }

     

     double calculate(double value, int i)

     {

         int _indC = (i  )%m_arraySize;

         int _indP = (i-1)%m_arraySize;

         

            //

            //

            //

            

            m_array[_indC].value  = value; double _change = (i>0) ? m_array[_indC].value-m_array[_indP].value : 0;

            m_array[_indC].change = (_change>0) ? _change : - _change;

            if (i>m_period)

            {

               int _indF = (i-m_period)%m_arraySize;

                  #define _power(_val) ((_val)*(_val))

                     m_array[_indC].summc =  m_array[_indP].summc +m_array[_indC].change-m_array[_indF].change;

                     m_array[_indC].power = _power(m_array[_indC].change-m_array[_indC].summc/(double)m_period);

                     m_array[_indC].summp =  m_array[_indP].summp+m_array[_indC].power-m_array[_indF].power;

            }              

            else

            {

                     m_array[_indC].summc  = 

                     m_array[_indC].summp = 0; 

                     for(int k=0; k<m_period && i>=k; k++) m_array[_indC].summc += m_array[_indC-k].change; 

                                                           m_array[_indC].power  = _power(m_array[_indC].change-m_array[_indC].summc/(double)m_period);

                     for(int k=0; k<m_period && i>=k; k++) m_array[_indC].summp += m_array[_indC-k].power; 

                  #undef _power

            }            

            if (i>0 && m_filter>0 && m_array[_indC].change<m_filter*MathSqrt(m_array[_indC].summp/(double)m_period)) m_array[_indC].value=m_array[_indP].value;

         return (m_array[_indC].value);

     }

};

CFilter iFilter;

//------------------------------------------------------------------