CCI (double smoothed Wilders EMA)

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#property copyright "© mladen, 2019"

#property link      "mladenfx@gmail.com"

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

#property indicator_separate_window

#property indicator_buffers 5

#property indicator_plots   1

#property indicator_label1  "CCI"

#property indicator_type1   DRAW_COLOR_LINE

#property indicator_color1  clrSilver,clrDodgerBlue,clrSandyBrown

#property indicator_style1  STYLE_SOLID

#property indicator_width1  2



//

//---

//



input  int                inpPeriod      = 50;            // CCI period

input  int                inpEmaPeriod  = 14;             // Wilder's EMA period

input  ENUM_APPLIED_PRICE inpPrice       = PRICE_TYPICAL; // Price



double val[],valc[],prices[],ema1[],ema2[],_alpha;





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

// Custom indicator initialization function

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



int OnInit()

{

   SetIndexBuffer(0,val    ,INDICATOR_DATA);

   SetIndexBuffer(1,valc   ,INDICATOR_COLOR_INDEX);

   SetIndexBuffer(2,prices ,INDICATOR_CALCULATIONS);

   SetIndexBuffer(3,ema1   ,INDICATOR_CALCULATIONS);

   SetIndexBuffer(4,ema2   ,INDICATOR_CALCULATIONS);

      _workCci.init(inpPeriod);

      _alpha = 1.0 /MathSqrt(inpPeriod>1 ? inpPeriod : 1);



   //

   //---

   //

   

   IndicatorSetString(INDICATOR_SHORTNAME,"CCI std based ("+(string)inpPeriod+")(ds Wilder's EMA "+(string)inpEmaPeriod+" smoothed)");

   return(INIT_SUCCEEDED);

}



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

// 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[])

{

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

   {

      _setPrice(inpPrice,prices[i],i);

      if (i>0)

      {

         ema1[i] = ema1[i-1] + _alpha*(prices[i]-ema1[i-1]);

         ema2[i] = ema2[i-1] + _alpha*(ema1[i]  -ema2[i-1]);

      }

      else ema1[i] = ema2[i] = prices[i];         

           val[i]  = _workCci.calculate(ema2[i],i,rates_total);

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

   }      

   return(rates_total);

}



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

// Custom class(es)

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

//

//---

//



class CCci

{

   private :

      struct sCciWork

      {

         double value;

         double value2;

         double summ;

         double summ2;

      };

      sCciWork  m_work[];

      int       m_period;

      double    m_period2;

      int       m_arraySize;

      

   public :

      CCci() { m_arraySize=-1; m_period=1; }

     ~CCci() { m_arraySize=-1; ArrayFree(m_work); }

     

     //

     //---

     //

     

     void   init(int period) { m_period=period; return; }

     double calculate(double value, int i, int bars)

     {

         if (m_arraySize<bars) { m_arraySize = ArrayResize(m_work,bars+500); if (m_arraySize<bars) return(0); }

         

         //

         //---

         //

         

         m_work[i].value  = value;

         m_work[i].value2 = value*value;

            if (i>m_period)

                  {

                     m_work[i].summ  = m_work[i-1].summ +m_work[i].value -m_work[i-m_period].value;

                     m_work[i].summ2 = m_work[i-1].summ2+m_work[i].value2-m_work[i-m_period].value2;

                  }

            else  {

                     m_work[i].summ  = m_work[i].value;

                     m_work[i].summ2 = m_work[i].value2;

                     for (int k=1; k<m_period && i>=k; k++)

                     {

                        m_work[i].summ  += m_work[i-k].value; 

                        m_work[i].summ2 += m_work[i-k].value2; 

                     }

                  }         

         double _avg = m_work[i].summ/(double)m_period;

         double _dev = MathSqrt((m_work[i].summ2-m_work[i].summ*_avg)/(double)m_period);

         return(_dev!=0 ? (value-_avg)/(0.015*_dev) : 0);

     }

};

CCci _workCci;