ChangeOfVolatility

//+------------------------------------------------------------------+
//|                                         Change of Volatility.mq4 |
//|                      Copyright © 2007, MetaQuotes Software Corp. |
//|                                        http://www.metaquotes.ru/ |
//+------------------------------------------------------------------+
//| Copy the SmoothAlgorithms.mqh file                               |
//| to the terminal_data_folder\MQL5\Include                         |
//+------------------------------------------------------------------+
#property copyright "Copyright © 2007, MetaQuotes Software Corp."
#property link      "http://www.metaquotes.ru/"
//---- indicator version
#property version   "1.00"
//---- drawing the indicator in a separate window
#property indicator_separate_window 
//---- number of indicator buffers 2
#property indicator_buffers 2 
//---- only one plot is used
#property indicator_plots   1
//+-----------------------------------+
//|  Indicator drawing parameters     |
//+-----------------------------------+
//---- drawing the indicator as a color histogram
#property indicator_type1 DRAW_COLOR_HISTOGRAM
//---- the following colors are used for the indicator diagram
#property indicator_color1 Gray,Purple,Red,Gold
//---- the indicator line is a continuous curve
#property indicator_style1 STYLE_SOLID
//---- indicator line width is equal to 2
#property indicator_width1 2
//---- displaying the indicator label
#property indicator_label1 "Change of Volatility"
//+-----------------------------------+
//|  Declaration of constants         |
//+-----------------------------------+
#define RESET 0 // the constant for getting the command for the indicator recalculation back to the terminal
//+-----------------------------------+
//|  Indicator input parameters       |
//+-----------------------------------+
input uint MPeriod=1;            // Momentum period
input uint Short=6;
input uint Long=100;
input uint MaxTrendLevel=80;     // Maximum trend level
input uint MiddLeTrendLevel=50;  // Middle trend level
input uint FlatLevel=30;         // Flat level
//+-----------------------------------+
//---- indicator buffers
double StdDevBuffer[],ColorBuffer[];
//---- declaration of the integer variables for the start of data calculation
int min_rates_total;
//+------------------------------------------------------------------+
//| iPriceSeries function description                                |
// iPriceSeriesAlert function description                            |
//| CMomentum and CStdDeviation classes description                  |
//+------------------------------------------------------------------+ 
#include <SmoothAlgorithms.mqh> 
//+------------------------------------------------------------------+    
//| StdDev indicator initialization function                         | 
//+------------------------------------------------------------------+  
void OnInit()
  {
//---- initialization of variables of the start of data calculation
   min_rates_total=int(MPeriod+MathMax(Short,Long));

//---- set StdDevBuffer[] dynamic array as an indicator buffer
   SetIndexBuffer(0,StdDevBuffer,INDICATOR_DATA);
//---- performing the shift of the beginning of the indicator drawing
   PlotIndexSetInteger(0,PLOT_DRAW_BEGIN,min_rates_total);
//---- setting the indicator values that won't be visible on a chart
   PlotIndexSetDouble(0,PLOT_EMPTY_VALUE,EMPTY_VALUE);

//---- set ColorBuffer[] dynamic array as an indicator buffer   
   SetIndexBuffer(1,ColorBuffer,INDICATOR_COLOR_INDEX);
//---- performing the shift of the beginning of the indicator drawing
   PlotIndexSetInteger(1,PLOT_DRAW_BEGIN,min_rates_total);

//---- initializations of a variable for the indicator short name
   string shortname;
   StringConcatenate(shortname,"Change of Volatility( ",MPeriod,", ",Short,", ",Long," )");
//--- creation of the name to be displayed in a separate sub-window and in a tooltip
   IndicatorSetString(INDICATOR_SHORTNAME,shortname);
//---- determination of accuracy of displaying the indicator values
   IndicatorSetInteger(INDICATOR_DIGITS,0);

//---- the number of the indicator 3 horizontal levels   
   IndicatorSetInteger(INDICATOR_LEVELS,3);
//---- values of the indicator horizontal levels   
   IndicatorSetDouble(INDICATOR_LEVELVALUE,0,MaxTrendLevel);
   IndicatorSetDouble(INDICATOR_LEVELVALUE,1,MiddLeTrendLevel);
   IndicatorSetDouble(INDICATOR_LEVELVALUE,2,FlatLevel);
//---- the following colors are used for horizontal levels lines
   IndicatorSetInteger(INDICATOR_LEVELCOLOR,0,Magenta);
   IndicatorSetInteger(INDICATOR_LEVELCOLOR,1,Blue);
   IndicatorSetInteger(INDICATOR_LEVELCOLOR,2,Gray);
//---- short dot-dash is used for the horizontal level line  
   IndicatorSetInteger(INDICATOR_LEVELSTYLE,0,STYLE_DASHDOTDOT);
   IndicatorSetInteger(INDICATOR_LEVELSTYLE,1,STYLE_DASHDOTDOT);
   IndicatorSetInteger(INDICATOR_LEVELSTYLE,2,STYLE_DASHDOTDOT);
//---- initialization end
  }
//+------------------------------------------------------------------+  
//| StdDev iteration function                                        | 
//+------------------------------------------------------------------+  
int OnCalculate(const int rates_total,    // number of bars in history at the current tick
                const int prev_calculated,// number of bars calculated at previous call
                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[])
  {
//---- checking the number of bars to be enough for the calculation
   if(rates_total<min_rates_total) return(RESET);

//---- declaration of integer variables
   int first,bar;
//---- declaration of variables with a floating point  
   double stdl,stds,smal,smas,momentum;

//---- calculation of the 'first' starting index for the bars recalculation loop
   if(prev_calculated==0) // checking for the first start of the indicator calculation
      first=0;                   // starting index for calculation of all bars
   else first=prev_calculated-1; // starting index for calculation of new bars

//---- declaration of variables of the classes CMomentum and CStdDeviation from the file SmoothAlgorithms.mqh
   static CMomentum Mom;
   static CStdDeviation STDL,STDS;
   static CMoving_Average SMAL,SMAS;

//---- main indicator calculation loop
   for(bar=first; bar<rates_total && !IsStopped(); bar++)
     {
      momentum=Mom.MomentumSeries(0,prev_calculated,rates_total,MPeriod,close[bar],bar,false);
      momentum/=_Point;

      smal=SMAL.SMASeries(MPeriod,prev_calculated,rates_total,Long,momentum,bar,false);
      stdl=STDL.StdDevSeries(MPeriod,prev_calculated,rates_total,Long,2,momentum,smal,bar,false);
      smas=SMAS.SMASeries(MPeriod,prev_calculated,rates_total,Short,momentum,bar,false);
      stds=STDS.StdDevSeries(MPeriod,prev_calculated,rates_total,Short,2,momentum,smas,bar,false);

      if(stdl) StdDevBuffer[bar]=100*stds/stdl;
      else StdDevBuffer[bar]=0.0;
      ColorBuffer[bar]=0;
      if(StdDevBuffer[bar]>MaxTrendLevel) ColorBuffer[bar]=3;
      else if(StdDevBuffer[bar]>MiddLeTrendLevel) ColorBuffer[bar]=2;
      else if(StdDevBuffer[bar]>FlatLevel) ColorBuffer[bar]=1;
     }
//----     
   return(rates_total);
  }
//+------------------------------------------------------------------+