ATR adaptive Laguerre filter

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

#property copyright   "© mladen, 2018"

#property link        "mladenfx@gmail.com"

#property description "ATR adaptive Laguerre filter"

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

#property indicator_chart_window

#property indicator_buffers 3

#property indicator_plots   1

#property indicator_label1  "Laguerre filter"

#property indicator_type1   DRAW_COLOR_LINE

#property indicator_color1  clrDarkGray,clrMediumSeaGreen,clrCrimson

#property indicator_width1  2

//--- input parameters

input double             inpPeriod = 14;          // Period

input ENUM_APPLIED_PRICE inpPrice  = PRICE_CLOSE; // Price

//--- indicator buffers

double val[],valc[],atr[];

int  _atrHandle,_atrPeriod; 

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

//| Custom indicator initialization function                         | 

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

int OnInit()

  {

   //--- indicator buffers mapping

         SetIndexBuffer(0,val,INDICATOR_DATA);

         SetIndexBuffer(1,valc,INDICATOR_COLOR_INDEX);

         SetIndexBuffer(2,atr,INDICATOR_CALCULATIONS);

   //--- indicator(s) loading

         _atrPeriod = MathMax((int)inpPeriod,1);

         _atrHandle=iATR(_Symbol,0,_atrPeriod); if (!_checkHandle(_atrHandle)) return(INIT_FAILED);

   //--- indicator short name assignment

         IndicatorSetString(INDICATOR_SHORTNAME,"ATR adaptive Laguerre filter ("+(string)inpPeriod+")");

   //---

   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(BarsCalculated(_atrHandle)<rates_total) return(prev_calculated);

   

   //

   //---

   //

      

      int _copyCount = MathMin(rates_total-prev_calculated+1,rates_total);

            if (CopyBuffer(_atrHandle,0,0,_copyCount,atr)!=_copyCount) return(prev_calculated);

   

   //

   //---

   //



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

   {

      int    _start = MathMax(i-_atrPeriod+1,0);

      double _max   = atr[ArrayMaximum(atr,_start,_atrPeriod)];            

      double _min   = atr[ArrayMinimum(atr,_start,_atrPeriod)];            

      double _coeff = (_min!=_max) ? 1-(atr[i]-_min)/(_max-_min) : 0.5;

      

      val[i]  = iLaGuerreFil(getPrice(inpPrice,open,close,high,low,i),inpPeriod*(_coeff+1.0)/2.0,i);

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

   }

   return(i);

  }

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

//| Custom functions                                                 |

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

#define _lagFilInstances 1

#define _lagFilInstancesSize 4

#define _lagFilRingSize 6

double workLagFil[_lagFilRingSize][_lagFilInstances*_lagFilInstancesSize];

double iLaGuerreFil(double price, double period, int i, int instance=0)

{

   int _indC = (i)%_lagFilRingSize;

   int _inst = instance*_lagFilInstancesSize;



      //

      //---

      //



      if (i>0 && period>1)

      {      

         int    _indP  = (i-1)%_lagFilRingSize;

         double _gamma = 1.0 - 10.0/(period+9.0);

            workLagFil[_indC][_inst  ] =  price                      + _gamma*(workLagFil[_indP][_inst  ] - price                     );

            workLagFil[_indC][_inst+1] =  workLagFil[_indP][_inst  ] + _gamma*(workLagFil[_indP][_inst+1] - workLagFil[_indC][_inst  ]);

            workLagFil[_indC][_inst+2] =  workLagFil[_indP][_inst+1] + _gamma*(workLagFil[_indP][_inst+2] - workLagFil[_indC][_inst+1]);

            workLagFil[_indC][_inst+3] =  workLagFil[_indP][_inst+2] + _gamma*(workLagFil[_indP][_inst+3] - workLagFil[_indC][_inst+2]);

      }

      else for (int k=0; k<_lagFilInstancesSize; k++) workLagFil[_indC][_inst+k]=price;



      //

      //---

      //



   return((workLagFil[_indC][_inst]+2.0*workLagFil[_indC][_inst+1]+2.0*workLagFil[_indC][_inst+2]+workLagFil[_indC][_inst+3])/6.0);

}

//

//---

//

double getPrice(ENUM_APPLIED_PRICE tprice,const double &open[],const double &close[],const double &high[],const double &low[],int i)

  {

   if(i>=0)

      switch(tprice)

        {

         case PRICE_CLOSE:     return(close[i]);

         case PRICE_OPEN:      return(open[i]);

         case PRICE_HIGH:      return(high[i]);

         case PRICE_LOW:       return(low[i]);

         case PRICE_MEDIAN:    return((high[i]+low[i])/2.0);

         case PRICE_TYPICAL:   return((high[i]+low[i]+close[i])/3.0);

         case PRICE_WEIGHTED:  return((high[i]+low[i]+close[i]+close[i])/4.0);

        }

   return(0);

  }



//

//---

//  

bool _checkHandle(int _handle)

{

   static int _handles[];

          int _size = ArraySize(_handles);

          

          if (_handle!=INVALID_HANDLE) 

          { 

               ArrayResize(_handles,_size+1); 

                           _handles[_size]=_handle; 

                                 return(true); 

          }

          for (int i=_size-1; i>0; i--)

               IndicatorRelease(_handles[i]); ArrayResize(_handles,0);

          return(false);

}

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