Dsl - Balance of Market Power JMA

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

#property copyright "© mladen, 2018"

#property link      "mladenfx@gmail.com"

#property version   "1.00"

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

#property indicator_separate_window

#property indicator_buffers 5

#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  "Balance of Market Power"

#property indicator_type3   DRAW_COLOR_LINE

#property indicator_color3  clrSilver,clrLimeGreen,clrOrange

#property indicator_width3  2

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

input int           inpSmoothPeriod = 90;       // Smoothing period

input int           inpSigPeriod    = 9;        // Signal period

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

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

//| Custom indicator initialization function                         | 

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

void OnInit()

  {

//--- indicator buffers mapping 

   SetIndexBuffer(0,levelUp,INDICATOR_DATA);

   SetIndexBuffer(1,levelDn,INDICATOR_DATA);

   SetIndexBuffer(2,val,INDICATOR_DATA);

   SetIndexBuffer(3,valc,INDICATOR_COLOR_INDEX);

//---

   PlotIndexSetInteger(0,PLOT_SHOW_DATA,false);

   PlotIndexSetInteger(0,PLOT_SHOW_DATA,false);

//---

   IndicatorSetString(INDICATOR_SHORTNAME,"(dsl) Balance of Market Power JMA ("+(string)inpSmoothPeriod+","+(string)inpSigPeriod+")");

  }

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

//| 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[])

  {

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

//---

   double alpha=2.0/(1.0+inpSigPeriod);

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

     {

      double HighLowRange=high[i]-low[i];

      double BullsRewardBasedOnOpen      = (HighLowRange!=0) ? (high[i] - open[i])/HighLowRange : 0;

      double BearsRewardBasedOnOpen      = (HighLowRange!=0) ? (open[i] - low[i])/HighLowRange : 0;

      double BullsRewardBasedOnClose     = (HighLowRange!=0) ? (close[i] - low[i])/HighLowRange : 0;

      double BearsRewardBasedOnClose     = (HighLowRange!=0) ? (high[i] - close[i])/HighLowRange : 0;

      double BullsRewardBasedOnOpenClose = (HighLowRange!=0) ? (close[i]>open[i]) ? (close[i] - open[i])/HighLowRange : 0 : 0;

      double BearsRewardBasedOnOpenClose = (HighLowRange!=0) ? (close[i]<open[i]) ? (open[i] - close[i])/HighLowRange : 0 : 0;

      double BullsRewardDaily            = (BullsRewardBasedOnOpen + BullsRewardBasedOnClose + BullsRewardBasedOnOpenClose) / 3;

      double BearsRewardDaily            = (BearsRewardBasedOnOpen + BearsRewardBasedOnClose + BearsRewardBasedOnOpenClose) / 3;

      //---

      val[i] = iSmooth(BullsRewardDaily-BearsRewardDaily,inpSmoothPeriod,0,i,rates_total);

      levelUp[i] = (i>0) ? (val[i]>0) ? levelUp[i-1]+alpha*(val[i]-levelUp[i-1]) : levelUp[i-1] : 0;

      levelDn[i] = (i>0) ? (val[i]<0) ? levelDn[i-1]+alpha*(val[i]-levelDn[i-1]) : levelDn[i-1] : 0;

      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 _smoothInstances     2

#define _smoothInstancesSize 10

double m_wrk[][_smoothInstances*_smoothInstancesSize];

//

//---

//

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

  }    

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