Filtered WPR

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

#property copyright "© mladen, 2018"

#property link      "mladenfx@gmail.com"

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

#property indicator_separate_window

#property indicator_buffers 3

#property indicator_plots   1

#property indicator_label1  "Deviation filtered WPR"

#property indicator_type1   DRAW_COLOR_LINE

#property indicator_color1  clrDarkGray,clrDeepPink,clrMediumSeaGreen

#property indicator_width1  2



//

//--- input parameters

//



input int     inpPeriod = 32;   // WPR and filter period

input double  inpFilter = 2.5;  // Filter size



//

//--- indicator buffers

//



double val[],valc[],wpr[]; 

int  ª_wprHandle,ª_wprPeriod; 



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

// Custom indicator initialization function

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



int OnInit()

{

   //

   //--- indicator buffers mapping

   //

         SetIndexBuffer(0,val,INDICATOR_DATA);

         SetIndexBuffer(1,valc,INDICATOR_COLOR_INDEX);

         SetIndexBuffer(2,wpr ,INDICATOR_CALCULATIONS);

         

         ª_wprPeriod   = (inpPeriod>1) ? inpPeriod : 1;

         ª_wprHandle   = iWPR(_Symbol,0,ª_wprPeriod); if (!_checkHandle(ª_wprHandle,"WPR")) return(INIT_FAILED);

   //         

   //--- indicator short name assignment

   //

   IndicatorSetString(INDICATOR_SHORTNAME,"WPR ("+(string)inpPeriod+","+(string)inpFilter+")");

   return (INIT_SUCCEEDED);

}

void OnDeinit(const int reason) {}



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

// 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[])

{

   int _copyCount = rates_total-prev_calculated+1; if (_copyCount>rates_total) _copyCount=rates_total;

         if (CopyBuffer(ª_wprHandle,0,0,_copyCount,wpr)!=_copyCount) return(prev_calculated);



   //

   //---

   //

   

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

   {

      if (wpr[i]==EMPTY_VALUE) wpr[i] = -50;

         val[i]  = iFilter(wpr[i],inpFilter,inpPeriod,i,rates_total);

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

   }

   return(i);

}



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

// Custom function(s)

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

//

//---

//



double iFilter(double value, double filter, int period, int i, int bars, int instance=0)

{

   #define ¤ instance

   #define _functionInstances 1

      struct sFilterArrayStruct

         {

            double value;

            double change;

            double power;

            double summc;

            double summp;

         };

      static sFilterArrayStruct m_array[][_functionInstances];

      static int m_arraySize = 0;

             if (m_arraySize<bars)

             {

                 int _res = ArrayResize(m_array,bars+500);

                 if (_res<bars) return(0);

                     m_arraySize = _res;

             }



      //

      //---

      //

   

      m_array[i][¤].value  = value;  double _change = (i>0) ? m_array[i][¤].value-m_array[i-1][¤].value : 0;

      m_array[i][¤].change = (_change>0) ? _change : - _change;

         if (i>period)

         {

            #define _power(_val) ((_val)*(_val))

              m_array[i][¤].summc =  m_array[i-1][¤].summc +m_array[i][¤].change-m_array[i-period][¤].change;

              m_array[i][¤].power = _power(m_array[i][¤].change-m_array[i][¤].summc/(double)period);

              m_array[i][¤].summp =  m_array[i-1][¤].summp+m_array[i][¤].power-m_array[i-period][¤].power;

         }              

         else

         {

            m_array[i][¤].summc  = 

            m_array[i][¤].summp = 0; 

            for(int k=0; k<period && i>=k; k++) m_array[i][¤].summc += m_array[i-k][¤].change; 

                                                m_array[i][¤].power  = _power(m_array[i][¤].change-m_array[i][¤].summc/(double)period);

            for(int k=0; k<period && i>=k; k++) m_array[i][¤].summp += m_array[i-k][¤].power; 

         }            

         if (i>0 && filter>0 && m_array[i][¤].change<filter*MathSqrt(m_array[i][¤].summp/(double)period)) m_array[i][¤].value=m_array[i-1][¤].value;

   return (m_array[i][¤].value);



   //

   //---

   //

            

   #undef ¤ #undef _power #undef _functionInstances

}



//

//---

//



bool _checkHandle(int _handle, string _description)

{

   static int  _chandles[];

          int  _size   = ArraySize(_chandles);

          bool _answer = (_handle!=INVALID_HANDLE);

          if  (_answer)

               { ArrayResize(_chandles,_size+1); _chandles[_size]=_handle; }

          else { for (int i=_size-1; i>=0; i--) IndicatorRelease(_chandles[i]); ArrayResize(_chandles,0); Alert(_description+" initialization failed"); }

   return(_answer);

}  

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