ATR adaptive Laguerre RSI

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

#property copyright "© mladen"

#property link      "mladenfx@gmail.com"

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

#property indicator_separate_window

#property indicator_buffers 3

#property indicator_plots   1

#property indicator_type1   DRAW_COLOR_LINE

#property indicator_color1  clrGray,clrDodgerBlue,clrTomato

#property indicator_width1  2



//

//---

//



input int                inpAtrPeriod = 32;             // ATR period 

input ENUM_APPLIED_PRICE inpRsiPrice  = PRICE_CLOSE;    // Price

input double             inpLevelUp   = 0.85;           // Level up

input double             inpLevelDown = 0.15;           // Level down



//

//--- buffers and global variables declarations

//



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

int  ª_atrHandle,ª_atrPeriod; 



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

// Custom indicator initialization function                         

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

int OnInit()

{

   SetIndexBuffer(0,val ,INDICATOR_DATA); 

   SetIndexBuffer(1,valc,INDICATOR_COLOR_INDEX); 

   SetIndexBuffer(2,atr,INDICATOR_CALCULATIONS);

      IndicatorSetInteger(INDICATOR_LEVELS,2);

      IndicatorSetDouble(INDICATOR_LEVELVALUE,0,inpLevelUp);

      IndicatorSetDouble(INDICATOR_LEVELVALUE,1,inpLevelDown);

   

         ª_atrPeriod = (int)(inpAtrPeriod>1?inpAtrPeriod:1);

         ª_atrHandle=iATR(_Symbol,0,ª_atrPeriod); if (!_checkHandle(ª_atrHandle,"ATR")) return(INIT_FAILED);

      IndicatorSetString(INDICATOR_SHORTNAME,"ATR adaptive Laguerre RSI ("+(string)inpAtrPeriod+")");

   return(0);

}

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

// 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[])

{

   int _copyCount = rates_total-prev_calculated+1; if (_copyCount>rates_total) _copyCount=rates_total;

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

   

   //

   //---

   //



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

   {

      int    start = (i>ª_atrPeriod) ? i-ª_atrPeriod+1 : 0;

      double max   = atr[ArrayMaximum(atr,start,ª_atrPeriod)];            

      double min   = atr[ArrayMinimum(atr,start,ª_atrPeriod)];            

      double coeff = (min!=max) ? 1.0-(atr[i]-min)/(max-min) : 0.5;

           val[i]  = iLaGuerreRsi(getPrice(inpRsiPrice,open,close,high,low,i),ª_atrPeriod*(coeff+0.75),i);

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

   }

   return(i);

}

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

//    custom functions

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

//

//---

//

#define _lagRsiInstances 1

#define _lagRsiInstancesSize 4

#define _lagRsiRingSize 6

double workLagRsi[_lagRsiRingSize][_lagRsiInstances*_lagRsiInstancesSize];

//

//---

//

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

{

   int _indC = (i  )%_lagRsiRingSize;

   int _inst = instance*_lagRsiInstancesSize;



   //

   //---

   //



      double CU = 0;

      double CD = 0;



      if (i>0 && period>1)

      {      

         int    _indP  = (i-1)%_lagRsiRingSize;

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

         

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

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

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

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

            

            //

            //---

            //

            

            if (workLagRsi[_indC][_inst] >= workLagRsi[_indC][_inst+1])

                  CU =  workLagRsi[_indC][_inst  ] - workLagRsi[_indC][_inst+1];

            else  CD =  workLagRsi[_indC][_inst+1] - workLagRsi[_indC][_inst  ];

            if (workLagRsi[_indC][_inst+1] >= workLagRsi[_indC][_inst+2])

                  CU += workLagRsi[_indC][_inst+1] - workLagRsi[_indC][_inst+2];

            else  CD += workLagRsi[_indC][_inst+2] - workLagRsi[_indC][_inst+1];

            if (workLagRsi[_indC][_inst+2] >= workLagRsi[_indC][_inst+3])

                  CU += workLagRsi[_indC][_inst+2] - workLagRsi[_indC][_inst+3];

            else  CD += workLagRsi[_indC][_inst+3] - workLagRsi[_indC][_inst+2];

      }

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

   return((CU+CD!=0) ? CU/(CU+CD) : 0);

}



//

//---

//

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

  {

   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, string _description)

{

   static int  _handles[];

          int  _size   = ArraySize(_handles);

          bool _answer = (_handle!=INVALID_HANDLE);

          if  (_answer)

               { ArrayResize(_handles,_size+1); _handles[_size]=_handle; }

          else { for (int i=_size-1; i>=0; i--) IndicatorRelease(_handles[i]); ArrayResize(_handles,0); Alert(_description+" initialization failed"); }

   return(_answer);

}    

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