CCI - T3 based

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

#property copyright "© mladen, 2018"

#property link      "mladenfx@gmail.com"

#property version   "1.00"

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

#property indicator_separate_window

#property indicator_buffers 4

#property indicator_plots   3

#property indicator_label1  "up level"

#property indicator_type1   DRAW_LINE

#property indicator_color1  clrLimeGreen

#property indicator_style1  STYLE_DOT

#property indicator_label2  "down level"

#property indicator_type2   DRAW_LINE

#property indicator_color2  clrOrange

#property indicator_style2  STYLE_DOT

#property indicator_label3  "value"

#property indicator_type3   DRAW_COLOR_LINE

#property indicator_color3  clrSilver,clrLimeGreen,clrOrange

#property indicator_width3  2

//

//---

//

enum enT3Type

  {

   t3_tillson, // Tim Tillson way of calculation

   t3_fulksmat // Fulks/Matulich way of calculation

  };

input int                inpCciPeriod       = 32;            // CCI period

input ENUM_APPLIED_PRICE inpCciPrice        = PRICE_TYPICAL; // Price

input double             inpT3Hot           = 0.7;           // T3 "hot"

input enT3Type           inpT3Type          = t3_fulksmat;   // T3 type

input int                inpSmoothPeriod    = 10;            // Smoothing period

input double             inpSmoothT3Hot     = 0.7;           // Smoothing T3 "hot"

input enT3Type           inpSmoothT3Type    = t3_fulksmat;   // Smoothing T3 type

input double             inpLevelUp         =  100;          // Level up

input double             inpLevelDown       = -100;          // Level down

                                                             //

//---

//

double  val[],valc[],levelUp[],levelDn[];

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

//

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

void OnInit()

  {

   SetIndexBuffer(0,levelUp,INDICATOR_DATA);

   SetIndexBuffer(1,levelDn,INDICATOR_DATA);

   SetIndexBuffer(2,val,INDICATOR_DATA);

   SetIndexBuffer(3,valc,INDICATOR_COLOR_INDEX);

   IndicatorSetString(INDICATOR_SHORTNAME,"CCI - T3 based ("+(string)inpCciPeriod+")");

  }

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

//

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

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

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

     {

      double _price = iT3(getPrice(inpCciPrice,open,close,high,low,i,rates_total),inpSmoothPeriod,inpSmoothT3Hot,inpSmoothT3Type==t3_tillson,i,rates_total,1);

      double avg    = iT3(_price,inpCciPeriod,inpT3Hot,inpT3Type==t3_tillson,i,rates_total,0);

      double dev    = iEmaDeviation(_price,inpCciPeriod,i,rates_total);



      //

      //---

      //



      val[i]=(dev!=0) ?(_price-avg)/(0.015*dev) : 0;

      levelUp[i] = inpLevelUp;

      levelDn[i] = inpLevelDown;

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

     }

   return(i);

  }

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

//| Custom functions                                                 |

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

#define _t3Instances     2

#define _t3InstancesSize 6

double workT3[][_t3Instances*_t3InstancesSize];

double workT3Coeffs[][6];

#define _period 0

#define _c1     1

#define _c2     2

#define _c3     3

#define _c4     4

#define _alpha  5

//

//---

//

double iT3(double price,double period,double hot,bool original,int r,int bars, int instanceNo=0)

  {

   if(ArrayRange(workT3,0)!=bars) ArrayResize(workT3,bars);

   if(ArrayRange(workT3Coeffs,0)<(instanceNo+1)) ArrayResize(workT3Coeffs,instanceNo+1); if (period<=1) return(price);

   if(workT3Coeffs[instanceNo][_period]!=period)

     {

      workT3Coeffs[instanceNo][_period]=period;

      workT3Coeffs[instanceNo][_c1] = -hot*hot*hot;

      workT3Coeffs[instanceNo][_c2] = 3*hot*hot+3*hot*hot*hot;

      workT3Coeffs[instanceNo][_c3] = -6*hot*hot-3*hot-3*hot*hot*hot;

      workT3Coeffs[instanceNo][_c4] = 1+3*hot+hot*hot*hot+3*hot*hot;

      if(original)

            workT3Coeffs[instanceNo][_alpha]=2.0/(1.0+period);

      else  workT3Coeffs[instanceNo][_alpha]=2.0/(2.0+(period-1.0)/2.0);

     }

   //---

   int buffer=instanceNo*_t3InstancesSize;

   for(int k=0; k<6; k++) workT3[r][k+buffer]=(r>0) ? workT3[r-1][k+buffer]: price;

   if(r>0 && period>1)

     {

      workT3[r][0+buffer] = workT3[r-1][0+buffer]+workT3Coeffs[instanceNo][_alpha]*(price              -workT3[r-1][0+buffer]);

      workT3[r][1+buffer] = workT3[r-1][1+buffer]+workT3Coeffs[instanceNo][_alpha]*(workT3[r][0+buffer]-workT3[r-1][1+buffer]);

      workT3[r][2+buffer] = workT3[r-1][2+buffer]+workT3Coeffs[instanceNo][_alpha]*(workT3[r][1+buffer]-workT3[r-1][2+buffer]);

      workT3[r][3+buffer] = workT3[r-1][3+buffer]+workT3Coeffs[instanceNo][_alpha]*(workT3[r][2+buffer]-workT3[r-1][3+buffer]);

      workT3[r][4+buffer] = workT3[r-1][4+buffer]+workT3Coeffs[instanceNo][_alpha]*(workT3[r][3+buffer]-workT3[r-1][4+buffer]);

      workT3[r][5+buffer] = workT3[r-1][5+buffer]+workT3Coeffs[instanceNo][_alpha]*(workT3[r][4+buffer]-workT3[r-1][5+buffer]);

     }

   return(workT3Coeffs[instanceNo][_c1]*workT3[r][5+buffer] +

          workT3Coeffs[instanceNo][_c2]*workT3[r][4+buffer]+

          workT3Coeffs[instanceNo][_c3]*workT3[r][3+buffer]+

          workT3Coeffs[instanceNo][_c4]*workT3[r][2+buffer]);

  }

  #undef _c1

  #undef _c2

  #undef _c3

  #undef _c4

//

//---

//

#define _edevInstances 1

#define _edevInstancesSize 2

double workEmaDeviation[][_edevInstances*_edevInstancesSize];

#define _ema0 0

#define _ema1 1

//

//---

//

double iEmaDeviation(double price,double period, int i, int bars, int instanceNo=0)

{

   if (ArrayRange(workEmaDeviation,0)!=bars) ArrayResize(workEmaDeviation,bars); instanceNo*=_edevInstancesSize;

   

   workEmaDeviation[i][instanceNo+_ema0] = price;

   workEmaDeviation[i][instanceNo+_ema1] = price;

   if (i>0 && period>1)

   {

      double alpha = 2.0/(1.0+period);

         workEmaDeviation[i][instanceNo+_ema0] = workEmaDeviation[i-1][instanceNo+_ema0]+alpha*(price      -workEmaDeviation[i-1][instanceNo+_ema0]);

         workEmaDeviation[i][instanceNo+_ema1] = workEmaDeviation[i-1][instanceNo+_ema1]+alpha*(price*price-workEmaDeviation[i-1][instanceNo+_ema1]);

   }         

   return(MathSqrt(period*(workEmaDeviation[i][instanceNo+_ema1]-workEmaDeviation[i][instanceNo+_ema0]*workEmaDeviation[i][instanceNo+_ema0])/MathMax(period-1,1)));

}

//

//---

//

//

//---

//

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);

  }

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