EMAVFS_StDev

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

//|                                                 EMAVFS_StDev.mq5 | 

///|                             Copyright © 2018, !B0=8A;02 C;0H52 |

//|                         http://stan.okis.ru/file/stan/EMAVFS.pdf | 

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

#property copyright "Copyright © 2018, !B0=8A;02 C;0H52"

#property link "http://stan.okis.ru/file/stan/EMAVFS.pdf" 

#property description "-:A?>=5=F80;L=0O A:>;L7OI0O A@54=OO A ?5@5<5==K< D0:B>@>< A3;06820=8O"

//---- >B@8A>2:0 8=48:0B>@0 2 >A=>2=>< >:=5

#property indicator_chart_window

//---- 4;O @0AGQB0 8 >B@8A>2:8 8=48:0B>@0 8A?>;L7>20=> H5ABL 1CD5@>2

#property indicator_buffers 6

//---- 8A?>;L7>20=> 2A53> ?OBL 3@0D8G5A:8E ?>AB@>5=89

#property indicator_plots   5

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

//|  0@0<5B@K >B@8A>2:8 ;8=88 8=48:0B>@0        |

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

//---- >B@8A>2:0 8=48:0B>@0 2 2845 ;8=88

#property indicator_type1   DRAW_COLOR_LINE

//---- 2 :0G5AB25 F25B>2 B@QEF25B=>9 ;8=88 8A?>;L7>20=K

#property indicator_color1  clrMagenta,clrGray,clrDodgerBlue

//---- ;8=8O 8=48:0B>@0 - =5?@5@K2=0O :@820O

#property indicator_style1  STYLE_SOLID

//---- B>;I8=0 ;8=88 8=48:0B>@0 @02=0 2

#property indicator_width1  2

//---- >B>1@065=85 <5B:8 8=48:0B>@0

#property indicator_label1  "EMAVFS"

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

//|  0@0<5B@K >B@8A>2:8 <54256L53> 8=48:0B>@0   |

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

//---- >B@8A>2:0 8=48:0B>@0 2 2 2845 A8<2>;0

#property indicator_type2   DRAW_ARROW

//---- 2 :0G5AB25 F25B0 <54256L53> 8=48:0B>@0 8A?>;L7>20= :@0A=K9 F25B

#property indicator_color2  clrRed

//---- B>;I8=0 ;8=88 8=48:0B>@0 2 @02=0 2

#property indicator_width2  2

//---- >B>1@065=85 <54256L59 <5B:8 8=48:0B>@0

#property indicator_label2  "Dn_Signal 1"

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

//|  0@0<5B@K >B@8A>2:8 1KGL3> 8=48:0B>@0       |

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

//---- >B@8A>2:0 8=48:0B>@0 3 2 2845 A8<2>;0

#property indicator_type3   DRAW_ARROW

//---- 2 :0G5AB25 F25B0 1KGL53> 8=48:0B>@0 8A?>;L7>20= 0:20<0@8=>2K9 F25B

#property indicator_color3  clrAqua

//---- B>;I8=0 ;8=88 8=48:0B>@0 3 @02=0 2

#property indicator_width3  2

//---- >B>1@065=85 1KG59 <5B:8 8=48:0B>@0

#property indicator_label3  "Up_Signal 1"

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

//|  0@0<5B@K >B@8A>2:8 <54256L53> 8=48:0B>@0   |

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

//---- >B@8A>2:0 8=48:0B>@0 4 2 2845 A8<2>;0

#property indicator_type4   DRAW_ARROW

//---- 2 :0G5AB25 F25B0 <54256L53> 8=48:0B>@0 8A?>;L7>20= :@0A=K9 F25B

#property indicator_color4  clrRed

//---- B>;I8=0 ;8=88 8=48:0B>@0 4 @02=0 4

#property indicator_width4  4

//---- >B>1@065=85 <54256L59 <5B:8 8=48:0B>@0

#property indicator_label4  "Dn_Signal 2"

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

//|  0@0<5B@K >B@8A>2:8 1KGL3> 8=48:0B>@0       |

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

//---- >B@8A>2:0 8=48:0B>@0 5 2 2845 A8<2>;0

#property indicator_type5   DRAW_ARROW

//---- 2 :0G5AB25 F25B0 1KGL53> 8=48:0B>@0 8A?>;L7>20= 0:20<0@8=>2K9 F25B

#property indicator_color5  clrAqua

//---- B>;I8=0 ;8=88 8=48:0B>@0 5 @02=0 4

#property indicator_width5  4

//---- >B>1@065=85 1KG59 <5B:8 8=48:0B>@0

#property indicator_label5  "Up_Signal 2"

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

//|  >1JO2;5=85 ?5@5G8A;5=89          |

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

enum Applied_price_ //"8? :>=AB0=BK

  {

   PRICE_CLOSE_ = 1,     //PRICE_CLOSE

   PRICE_OPEN_,          //PRICE_OPEN

   PRICE_HIGH_,          //PRICE_HIGH

   PRICE_LOW_,           //PRICE_LOW

   PRICE_MEDIAN_,        //PRICE_MEDIAN

   PRICE_TYPICAL_,       //PRICE_TYPICAL

   PRICE_WEIGHTED_,      //PRICE_WEIGHTED

   PRICE_SIMPL_,         //PRICE_SIMPL_

   PRICE_QUARTER_,       //PRICE_QUARTER_

   PRICE_TRENDFOLLOW0_,  //TrendFollow_1 Price 

   PRICE_TRENDFOLLOW1_,  //TrendFollow_2 Price 

   PRICE_DEMARK_         //Demark Price

  };

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

//|  %+  " + "      |

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

input double Wmin=0;                      // <8=8<0;L=0O GC2AB28B5;L=>ABL  

input double Wmax=5;                      // <0:A8<0;L=0O GC2AB28B5;L=>ABL

input double Efactor=1.01;                // :>MDD8F85=B E (<5=OBL 7=0G5=85 >:>;> 548=8FK =0 45AOBK5 8 A>BK5 4>;8) 

input double Afactor=1.001;               // AB5?5=L A (<5=OBL 7=0G5=85 >:>;> 548=8FK =0 45AOBK5 8 A>BK5 4>;8)                   

input Applied_price_ IPC=PRICE_CLOSE_;    // F5=>20O :>=AB0=B0

input int PriceShift=0;               // c4283 ?> 25@B8:0;8 2 ?C=:B0E

input double dK1=2.001;               // :>MDD8F85=B 1 4;O :204@0B8G=>3> D8;LB@0

input double dK2=4.001;               // :>MDD8F85=B 2 4;O :204@0B8G=>3> D8;LB@0

input uint std_period=9;              // ?5@8>4 :204@0B8G=>3> D8;LB@0

input int Shift=0;                    // A4283 8=48:0B>@0 ?> 3>@87>=B0;8 2 10@0E

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



//---- >1JO2;5=85 48=0<8G5A:8E <0AA82>2, :>B>@K5 1C4CB 2 40;L=59H5< 8A?>;L7>20=K 2 :0G5AB25 8=48:0B>@=KE 1CD5@>2

double ExtLineBuffer[],ColorExtLineBuffer[];

double BearsBuffer1[],BullsBuffer1[];

double BearsBuffer2[],BullsBuffer2[];

int start;

double dPriceShift,dEMAVFS[];

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

//| Custom indicator initialization function                         |

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

int OnInit()

  {

//---- ?@>25@:0 2E>4=KE ?5@5<5==KE 8=48:0B>@0 =0 :>@@5:B=>ABL

   if(dK1>=dK2)

     {

      Print(" 5:@@5:B=K5 7=0G5=8O 2E>4=KE ?0@0<5B@>2 4;O :>MDD8F85=B>2 1 8 2 4;O :204@0B8G=>3> D8;LB@0!");

      return(INIT_FAILED);

     }



//---- 8=8F80;870F8O ?5@5<5==KE 

   start=2+int(std_period);

//----  0A?@545;5=85 ?0<OB8 ?>4 <0AA82K ?5@5<5==KE  

   ArrayResize(dEMAVFS,std_period);

//---- 8=8F80;870F88 ?5@5<5==>9 4;O :>@>B:>3> 8<5=8 8=48:0B>@0

   string shortname="EMAVFS_StDev";

//---- ?@52@0I5=85 48=0<8G5A:>3> <0AA820 ExtLineBuffer 2 8=48:0B>@=K9 1CD5@

   SetIndexBuffer(0,ExtLineBuffer,INDICATOR_DATA);

//---- >ACI5AB2;5=85 A42830 =0G0;0 >BAGQB0 >B@8A>2:8 8=48:0B>@0

   PlotIndexSetInteger(0,PLOT_DRAW_BEGIN,start);

//--- A>740=85 8<5=8 4;O >B>1@065=8O 2 >B45;L=>< ?>4>:=5 8 2> 2A?;K20NI59 ?>4A:07:5

   IndicatorSetString(INDICATOR_SHORTNAME,shortname);

//--- >?@545;5=85 B>G=>AB8 >B>1@065=8O 7=0G5=89 8=48:0B>@0

   IndicatorSetInteger(INDICATOR_DIGITS,_Digits+1);

//--- 70?@5B =0 >B@8A>2:C 8=48:0B>@>< ?CABKE 7=0G5=89

   PlotIndexSetDouble(0,PLOT_EMPTY_VALUE,EMPTY_VALUE);

//---- >ACI5AB2;5=85 A42830 8=48:0B>@0 2 ?> 3>@87>=B0;8

   PlotIndexSetInteger(0,PLOT_SHIFT,Shift);



//---- ?@52@0I5=85 48=0<8G5A:>3> <0AA820 2 F25B>2>9, 8=45:A=K9 1CD5@   

   SetIndexBuffer(1,ColorExtLineBuffer,INDICATOR_COLOR_INDEX);



//---- ?@52@0I5=85 48=0<8G5A:>3> <0AA820 BearsBuffer 2 8=48:0B>@=K9 1CD5@

   SetIndexBuffer(2,BearsBuffer1,INDICATOR_DATA);

//---- >ACI5AB2;5=85 A42830 8=48:0B>@0 2 ?> 3>@87>=B0;8

   PlotIndexSetInteger(1,PLOT_SHIFT,Shift);

//---- >ACI5AB2;5=85 A42830 =0G0;0 >BAGQB0 >B@8A>2:8 8=48:0B>@0

   PlotIndexSetInteger(1,PLOT_DRAW_BEGIN,start);

//---- 2K1>@ A8<2>;0 4;O >B@8A>2:8

   PlotIndexSetInteger(1,PLOT_ARROW,159);

//---- 70?@5B =0 >B@8A>2:C 8=48:0B>@>< ?CABKE 7=0G5=89

   PlotIndexSetDouble(1,PLOT_EMPTY_VALUE,EMPTY_VALUE);



//---- ?@52@0I5=85 48=0<8G5A:>3> <0AA820 BullsBuffer 2 8=48:0B>@=K9 1CD5@

   SetIndexBuffer(3,BullsBuffer1,INDICATOR_DATA);

//---- >ACI5AB2;5=85 A42830 8=48:0B>@0 3 ?> 3>@87>=B0;8

   PlotIndexSetInteger(2,PLOT_SHIFT,Shift);

//---- >ACI5AB2;5=85 A42830 =0G0;0 >BAGQB0 >B@8A>2:8 8=48:0B>@0

   PlotIndexSetInteger(2,PLOT_DRAW_BEGIN,start);

//---- 2K1>@ A8<2>;0 4;O >B@8A>2:8

   PlotIndexSetInteger(2,PLOT_ARROW,159);

//---- 70?@5B =0 >B@8A>2:C 8=48:0B>@>< ?CABKE 7=0G5=89

   PlotIndexSetDouble(2,PLOT_EMPTY_VALUE,EMPTY_VALUE);



//---- ?@52@0I5=85 48=0<8G5A:>3> <0AA820 BearsBuffer 2 8=48:0B>@=K9 1CD5@

   SetIndexBuffer(4,BearsBuffer2,INDICATOR_DATA);

//---- >ACI5AB2;5=85 A42830 8=48:0B>@0 2 ?> 3>@87>=B0;8

   PlotIndexSetInteger(3,PLOT_SHIFT,Shift);

//---- >ACI5AB2;5=85 A42830 =0G0;0 >BAGQB0 >B@8A>2:8 8=48:0B>@0

   PlotIndexSetInteger(3,PLOT_DRAW_BEGIN,start);

//---- 2K1>@ A8<2>;0 4;O >B@8A>2:8

   PlotIndexSetInteger(3,PLOT_ARROW,159);

//---- 70?@5B =0 >B@8A>2:C 8=48:0B>@>< ?CABKE 7=0G5=89

   PlotIndexSetDouble(3,PLOT_EMPTY_VALUE,EMPTY_VALUE);



//---- ?@52@0I5=85 48=0<8G5A:>3> <0AA820 BullsBuffer 2 8=48:0B>@=K9 1CD5@

   SetIndexBuffer(5,BullsBuffer2,INDICATOR_DATA);

//---- >ACI5AB2;5=85 A42830 8=48:0B>@0 3 ?> 3>@87>=B0;8

   PlotIndexSetInteger(4,PLOT_SHIFT,Shift);

//---- >ACI5AB2;5=85 A42830 =0G0;0 >BAGQB0 >B@8A>2:8 8=48:0B>@0

   PlotIndexSetInteger(4,PLOT_DRAW_BEGIN,start);

//---- 2K1>@ A8<2>;0 4;O >B@8A>2:8

   PlotIndexSetInteger(4,PLOT_ARROW,159);

//---- 70?@5B =0 >B@8A>2:C 8=48:0B>@>< ?CABKE 7=0G5=89

   PlotIndexSetDouble(4,PLOT_EMPTY_VALUE,EMPTY_VALUE);



//---- =8F80;870F8O A42830 ?> 25@B8:0;8

   dPriceShift=_Point*PriceShift;

//---

   return(INIT_SUCCEEDED);

  }

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

//| Custom indicator iteration function                              |

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

int OnCalculate(

                const int rates_total,    // :>;8G5AB2> 8AB>@88 2 10@0E =0 B5:CI5< B8:5

                const int prev_calculated,// :>;8G5AB2> 8AB>@88 2 10@0E =0 ?@54K4CI5< B8:5

                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[]

                )

  {

//---- ?@>25@:0 :>;8G5AB20 10@>2 =0 4>AB0B>G=>ABL 4;O @0AGQB0

   if(rates_total<start) return(0);



//---- >1JO2;5=8O ;>:0;L=KE ?5@5<5==KE 

   int first,bar,clr;

   double series,wema,w;

   static double wema_prew;

   double SMAdif,Sum,StDev,dstd,BEARS1,BULLS1,BEARS2,BULLS2,Filter1,Filter2;



//---- @0AGQB AB0@B>2>3> =><5@0 first 4;O F8:;0 ?5@5AGQB0 10@>2

   if(prev_calculated>rates_total || prev_calculated<=0) // ?@>25@:0 =0 ?5@2K9 AB0@B @0AGQB0 8=48:0B>@0

     {

      first=1; // AB0@B>2K9 =><5@ 4;O @0AGQB0 2A5E 10@>2

      wema_prew=PriceSeries(IPC,first-1,open,low,high,close);

     }

   else first=prev_calculated-1; // AB0@B>2K9 =><5@ 4;O @0AGQB0 =>2KE 10@>2



//---- >A=>2=>9 F8:; @0AGQB0 8=48:0B>@0

   for(bar=first; bar<rates_total && !IsStopped(); bar++)

     {

      series=PriceSeries(IPC,bar,open,low,high,close);     

      w=Wmin+(Wmax-Wmin)*(1.0-MathExp(-MathPow(MathAbs(series-wema_prew/Efactor),Afactor)));

      wema=wema_prew+w*(series-wema_prew);

      ExtLineBuffer[bar]=wema+dPriceShift;

      if(bar<rates_total-1) wema_prew=wema;

     }



//---- ?5@5AGQB AB0@B>2>3> =><5@0 first 4;O F8:;0 ?5@5AGQB0 10@>2

   if(prev_calculated>rates_total || prev_calculated<=0) // ?@>25@:0 =0 ?5@2K9 AB0@B @0AGQB0 8=48:0B>@0

      first++;



//---- A=>2=>9 F8:; @0A:@0A:8 A83=0;L=>9 ;8=88

   for(bar=first; bar<rates_total && !IsStopped(); bar++)

     {

      clr=1;

      if(ExtLineBuffer[bar-1]<ExtLineBuffer[bar]) clr=2;

      if(ExtLineBuffer[bar-1]>ExtLineBuffer[bar]) clr=0;

      ColorExtLineBuffer[bar]=clr;

     }



//---- ?5@5AGQB AB0@B>2>3> =><5@0 first 4;O F8:;0 ?5@5AGQB0 10@>2

   if(prev_calculated>rates_total || prev_calculated<=0) // ?@>25@:0 =0 ?5@2K9 AB0@B @0AGQB0 8=48:0B>@0

      first=start;

//---- >A=>2=>9 F8:; @0AGQB0 8=48:0B>@0 AB0=40@B=KE >B:;>=5=89

   for(bar=first; bar<rates_total && !IsStopped(); bar++)

     {

      //---- 703@C605< ?@8@0I5=8O 8=48:0B>@0 2 <0AA82 4;O ?@><56CB>G=KE 2KG8A;5=89

      for(int iii=0; iii<int(std_period); iii++) {dEMAVFS[iii]=ExtLineBuffer[bar-iii]-ExtLineBuffer[bar-iii-1];}



      //---- =0E>48< ?@>AB>5 A@54=55 ?@8@0I5=89 8=48:0B>@0

      Sum=0.0;

      for(int iii=0; iii<int(std_period); iii++) Sum+=dEMAVFS[iii];

      SMAdif=Sum/std_period;



      //---- =0E>48< AC<<C :204@0B>2 @07=>AB59 ?@8@0I5=89 8 A@54=53>

      Sum=0.0;

      for(int iii=0; iii<int(std_period); iii++) Sum+=MathPow(dEMAVFS[iii]-SMAdif,2);



      //---- >?@545;O5< 8B>3>2>5 7=0G5=85 A@54=5:204@0B8G=>3> >B:;>=5=8O StDev >B ?@8@0I5=8O 8=48:0B>@0

      StDev=MathSqrt(Sum/std_period);



      //---- 8=8F80;870F8O ?5@5<5==KE

      dstd=NormalizeDouble(dEMAVFS[0],_Digits+2);

      Filter1=NormalizeDouble(dK1*StDev,_Digits+2);

      Filter2=NormalizeDouble(dK2*StDev,_Digits+2);

      BEARS1=EMPTY_VALUE;

      BULLS1=EMPTY_VALUE;

      BEARS2=EMPTY_VALUE;

      BULLS2=EMPTY_VALUE;

      wema=ExtLineBuffer[bar];



      //---- 2KG8A;5=85 8=48:0B>@=KE 7=0G5=89

      if(dstd<-Filter1 && dstd>=-Filter2) BEARS1=wema; //5ABL =8AE>4OI89 B@5=4

      if(dstd<-Filter2) BEARS2=wema; //5ABL =8AE>4OI89 B@5=4

      if(dstd>+Filter1 && dstd<=+Filter2) BULLS1=wema; //5ABL 2>AE>4OI89 B@5=4

      if(dstd>+Filter2) BULLS2=wema; //5ABL 2>AE>4OI89 B@5=4



      //---- 8=8F80;870F8O OG55: 8=48:0B>@=KE 1CD5@>2 ?>;CG5==K<8 7=0G5=8O<8 

      BullsBuffer1[bar]=BULLS1;

      BearsBuffer1[bar]=BEARS1;

      BullsBuffer2[bar]=BULLS2;

      BearsBuffer2[bar]=BEARS2;

     }

//----     

   return(rates_total);

  }

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

//| >;CG5=85 7=0G5=8O F5=>2>9 B09<A5@88                             |

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

double PriceSeries

(

 uint applied_price,// &5=>20O :>=AB0=B0

 uint   bar,// =45:A A42830 >B=>A8B5;L=> B5:CI53> 10@0 =0 C:070==>5 :>;8G5AB2> ?5@8>4>2 =0704 8;8 2?5@Q4).

 const double &dOpen[],

 const double &dLow[],

 const double &dHigh[],

 const double &dClose[]

 )

//PriceSeries(applied_price, bar, dOpen, dLow, dHigh, dClose)

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

  {

//----

   switch(applied_price)

     {

      //---- &5=>2K5 :>=AB0=BK 87 ?5@5G8A;5=8O ENUM_APPLIED_PRICE

      case  PRICE_CLOSE: return(dClose[bar]);

      case  PRICE_OPEN: return(dOpen [bar]);

      case  PRICE_HIGH: return(dHigh [bar]);

      case  PRICE_LOW: return(dLow[bar]);

      case  PRICE_MEDIAN: return((dHigh[bar]+dLow[bar])/2.0);

      case  PRICE_TYPICAL: return((dClose[bar]+dHigh[bar]+dLow[bar])/3.0);

      case  PRICE_WEIGHTED: return((2*dClose[bar]+dHigh[bar]+dLow[bar])/4.0);



      //----                            

      case  8: return((dOpen[bar] + dClose[bar])/2.0);

      case  9: return((dOpen[bar] + dClose[bar] + dHigh[bar] + dLow[bar])/4.0);

      //----                                

      case 10:

        {

         if(dClose[bar]>dOpen[bar])return(dHigh[bar]);

         else

           {

            if(dClose[bar]<dOpen[bar])

               return(dLow[bar]);

            else return(dClose[bar]);

           }

        }

      //----         

      case 11:

        {

         if(dClose[bar]>dOpen[bar])return((dHigh[bar]+dClose[bar])/2.0);

         else

           {

            if(dClose[bar]<dOpen[bar])

               return((dLow[bar]+dClose[bar])/2.0);

            else return(dClose[bar]);

           }

         break;

        }

      //----         

      case 12:

        {

         double res=dHigh[bar]+dLow[bar]+dClose[bar];

         if(dClose[bar]<dOpen[bar]) res=(res+dLow[bar])/2;

         if(dClose[bar]>dOpen[bar]) res=(res+dHigh[bar])/2;

         if(dClose[bar]==dOpen[bar]) res=(res+dClose[bar])/2;

         return(((res-dLow[bar])+(res-dHigh[bar]))/2);

        }

      //----

      default: return(dClose[bar]);

     }

//----

//return(0);

  }

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