Ehlers3PoleButterworthFilter

ÿþ//+------------------------------------------------------------------+

//|                                 Ehlers3PoleButterworthFilter.mq5 |

//|                                Copyright 2020, Andrei Novichkov. |

//|                                               http://fxstill.com |

//|   Telegram: https://t.me/fxstill (Literature on cryptocurrencies,| 

//|                                   development and code. )        |

//|  Instagram: https://www.instagram.com/andreifx2020/              |

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

#property copyright "Copyright 2020, Andrei Novichkov."

#property link      "http://fxstill.com"

#property version   "1.00"



#property description "The 3 Pole Butterworth Filter:\nJohn Ehlers, \"Cybernetic Analysis For Stocks And Futures\", pg.192"





#property indicator_chart_window



// Use Median data

#property indicator_applied_price PRICE_MEDIAN



#property indicator_buffers 2

#property indicator_plots   1



#property indicator_type1   DRAW_COLOR_LINE 

#property indicator_width1  2

#property indicator_style1  STYLE_SOLID

#property indicator_color1  clrGreen, clrRed, clrLimeGreen



#define M_SQRT3 sqrt(3)



input int length = 15; 



double bf[];

double cf[]; 



double a, b, c, cf1, cf2, cf3, cf4;



static const int MINBAR = 5;



int OnInit() {



   SetIndexBuffer(0,bf,INDICATOR_DATA);

   SetIndexBuffer(1,cf,INDICATOR_COLOR_INDEX); 

   ArraySetAsSeries(bf,true);

   ArraySetAsSeries(cf,true); 

   

   IndicatorSetString(INDICATOR_SHORTNAME,"Ehlers3PoleButterworthFilter");

   IndicatorSetInteger(INDICATOR_DIGITS,_Digits);

   

   

   a   = MathExp(-M_PI / length);

   b   = 2 * a * MathCos(M_SQRT3 * 180 / length);

   c   = MathPow(a, 2);

   cf2 = b + c;

   cf3 = -(c + b * c);

   cf4 = MathPow(c, 2);

   cf1 = (1 - b + c) * (1 - c) / 8;   



   return(INIT_SUCCEEDED);

}



// Function calculating indicator values

void GetValue(const double& price[], int shift) {



   double b1 = ZerroIfEmpty(bf[shift + 1]);

   double b2 = ZerroIfEmpty(bf[shift + 2]);

   double b3 = ZerroIfEmpty(bf[shift + 3]);

   

   bf[shift] = cf1 *(price[shift] + 3 * price[shift + 1] + 3 * price[shift + 2] + price[shift + 3]) + 

               cf2 * b1 + cf3 * b2 + cf4 * b3;

               

   if (bf[shift] < price[shift]) cf[shift] = 2 ; 

   else

      if (bf[shift] > price[shift]) cf[shift] = 1 ;

               

}



int OnCalculate(const int rates_total,

                const int prev_calculated,

                const int begin,

                const double &price[])  {

      if(rates_total <= MINBAR) return 0;

      ArraySetAsSeries(price,true);    

      int limit = rates_total - prev_calculated;

      if (limit == 0)        {   // @8H5; =>2K9 B8: 

      } else if (limit == 1) {   // 1@07>20;AO =>2K9 10@

         GetValue(price, 1);  

         return(rates_total);   

      } else if (limit > 1)  {   // 5@2K9 2K7>2 8=48:0B>@0, A<5=0 B09<D@59<0, ?>43@C7:0 40==KE 87 8AB>@88

         ArrayInitialize(bf,EMPTY_VALUE);

         ArrayInitialize(cf,0);

         limit = rates_total - MINBAR;

         for(int i = limit; i >= 1 && !IsStopped(); i--){

            GetValue(price, i);

         }//for(int i = limit + 1; i >= 0 && !IsStopped(); i--)

         return(rates_total);         

      }

      GetValue(price, 0);          

      return(rates_total);

}



// Helper function

double ZerroIfEmpty(double value) {

   if (value >= EMPTY_VALUE || value <= -EMPTY_VALUE) return 0.0;

   return value;

}