BB stops JMA

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

#property copyright   "© mladen, 2018"

#property link        "mladenfx@gmail.com"

#property version     "1.00"

#property description "BB stops Jurik"

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

#property indicator_chart_window

#property indicator_buffers 9

#property indicator_plots   5

#property indicator_type1   DRAW_LINE

#property indicator_color1  clrGray

#property indicator_style1  STYLE_DOT

#property indicator_type2   DRAW_LINE

#property indicator_color2  clrGray

#property indicator_style2  STYLE_DOT

#property indicator_type3   DRAW_LINE

#property indicator_color3  clrDodgerBlue

#property indicator_width3  3

#property indicator_type4   DRAW_LINE

#property indicator_color4  clrSandyBrown

#property indicator_width4  3

#property indicator_type5   DRAW_COLOR_ARROW

#property indicator_color5  clrSilver,clrDodgerBlue,clrSandyBrown

#property indicator_width5  2



//

//

//

//

//



input int                inpMaPeriod        = 20;          // Bollinger bands period

input ENUM_APPLIED_PRICE inpPrice           = PRICE_CLOSE; // Price

input double             inpRisk            = 1;           // Risk

input int                inpDeviationPeriod = 20;          // Deviations period

input double             inpDeviation       = 1;           // Deviation

input bool               inpDeviationSample = false;       // Deviation sample correction?



double bba[],bbc[],bblu[],bbld[],amax[],amin[],bmax[],bmin[],trend[];



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

//| Custom indicator initialization function                         | 

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

int OnInit()

{

   SetIndexBuffer(0,bmax ,INDICATOR_DATA);

   SetIndexBuffer(1,bmin ,INDICATOR_DATA);

   SetIndexBuffer(2,bblu ,INDICATOR_DATA);

   SetIndexBuffer(3,bbld ,INDICATOR_DATA); 

   SetIndexBuffer(4,bba  ,INDICATOR_DATA);  PlotIndexSetInteger(4,PLOT_ARROW,159);

   SetIndexBuffer(5,bbc  ,INDICATOR_COLOR_INDEX);

   SetIndexBuffer(6,amax ,INDICATOR_CALCULATIONS);

   SetIndexBuffer(7,amin ,INDICATOR_CALCULATIONS);

   SetIndexBuffer(8,trend,INDICATOR_CALCULATIONS);

   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 &tickVolume[],

                const long &volume[],

                const int &spread[])

{



   if (Bars(_Symbol,_Period)<rates_total) return(-1);

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

   {

      double price = getPrice(inpPrice,open,close,high,low,i,rates_total);

      double dev   = iDeviation(price,inpDeviationPeriod,inpDeviationSample,i,rates_total);

      double ma    = iSmooth(price,inpMaPeriod,0,i,rates_total,0);

               amax[i]  = ma+dev*inpDeviation;

               amin[i]  = ma-dev*inpDeviation;

   	         bmax[i]  = amax[i]+0.5*(inpRisk-1)*(amax[i]-amin[i]);

	  	         bmin[i]  = amin[i]-0.5*(inpRisk-1)*(amax[i]-amin[i]);

               trend[i] = (i>0) ? (price>amax[i-1]) ? 1 : (price<amin[i-1]) ? -1 : trend[i-1] : 0;

                       if (i>0)

                       {

                           if (trend[i]==-1 && amax[i]>amax[i-1]) amax[i] = amax[i-1];

                           if (trend[i]== 1 && amin[i]<amin[i-1]) amin[i] = amin[i-1];

                           if (trend[i]==-1 && bmax[i]>bmax[i-1]) bmax[i] = bmax[i-1];

                           if (trend[i]== 1 && bmin[i]<bmin[i-1]) bmin[i] = bmin[i-1];

                       }                  

               bblu[i] = EMPTY_VALUE; bbld[i] = EMPTY_VALUE;

                  if (trend[i] ==  1) { bblu[i] = bmin[i]; bbc[i] = 1; }

                  if (trend[i] == -1) { bbld[i] = bmax[i]; bbc[i] = 2; }

               bba[i] = (i>0) ? (trend[i]!=trend[i-1]) ? (trend[i]== 1) ? bblu[i] : bbld[i] : EMPTY_VALUE :  EMPTY_VALUE;

   }

   return(i);

}



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

//| Custom functions                                                 |

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

#define _devInstances 1

double workDev[][_devInstances];

double iDeviation(double value, int length, bool isSample, int i, int bars, int instanceNo=0)

{

   if (ArrayRange(workDev,0)!=bars) ArrayResize(workDev,bars); workDev[i][instanceNo] = value;

                 

   //

   //

   //

   //

   //

   

      double oldMean   = value;

      double newMean   = value;

      double squares   = 0; int k;

      for (k=1; k<length && (i-k)>=0; k++)

      {

         newMean  = (workDev[i-k][instanceNo]-oldMean)/(k+1)+oldMean;

         squares += (workDev[i-k][instanceNo]-oldMean)*(workDev[i-k][instanceNo]-newMean);

         oldMean  = newMean;

      }

      return(MathSqrt(squares/MathMax(k-isSample,1)));

}

//

//---

//

#define _smoothInstances     1

#define _smoothInstancesSize 10

double m_wrk[][_smoothInstances*_smoothInstancesSize];

int    m_size=0;

//

//---

//

double iSmooth(double price,double length,double phase,int r,int bars,int instanceNo=0)

  {

   #define bsmax  5

   #define bsmin  6

   #define volty  7

   #define vsum   8

   #define avolty 9



   if(ArrayRange(m_wrk,0)!=bars) ArrayResize(m_wrk,bars); if(ArrayRange(m_wrk,0)!=bars) return(price); instanceNo*=_smoothInstancesSize;

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

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

   int    forBar = MathMin(r,10);



   m_wrk[r][instanceNo+volty]=0;

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

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

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



//

//---

//



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

   double dVolty=(m_wrk[r][instanceNo+avolty]>0) ? m_wrk[r][instanceNo+volty]/m_wrk[r][instanceNo+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][instanceNo+bsmax] = price; else m_wrk[r][instanceNo+bsmax] = price - Kv*del1;

   if(del2 < 0) m_wrk[r][instanceNo+bsmin] = price; else m_wrk[r][instanceNo+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][instanceNo+0] = price + alpha*(m_wrk[r-1][instanceNo+0]-price);

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

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

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

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



//

//---

//



   return(m_wrk[r][instanceNo+4]);



   #undef bsmax

   #undef bsmin

   #undef volty

   #undef vsum

   #undef avolty

  }    

//

//---

//

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

  {

   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);

  }