Fisher_mbk

//+------------------------------------------------------------------+
//|                                                                  |
//|                 Copyright © 2000-2007, MetaQuotes Software Corp. |
//|                                         http://www.metaquotes.ru |
//+------------------------------------------------------------------+
#property  copyright "Copyright © 2005, Matt Kennel"
#property  link      "Yura.prokofiev@gmail.com"
// Inspired by an idea from Yura.prokofiev@gmail.com
// Idea:  Look back a certain amount of time and find its
// High and Low, normalize current value relative to that 
// to make [-1..1].  Filter with Hull-type MA.   Then perform
// Fisher Z-transform on result (making Gaussian).  Plot
// historgram. 
#property  indicator_separate_window
#property  indicator_buffers 3
#property  indicator_color1  Black
#property  indicator_color2  Lime
#property  indicator_color3  Red
//----
extern int period=10;
extern double HMALenHiLo=5.0;
extern double HMALenZ=3.0;
//----
double         ExtBuffer0[];
double         ExtBuffer1[];
double         ExtBuffer2[];
//+------------------------------------------------------------------+
//|                                                                  |
//+------------------------------------------------------------------+
int init()
  {
   SetIndexStyle(0,DRAW_NONE);
   SetIndexStyle(1,DRAW_HISTOGRAM);
   SetIndexStyle(2,DRAW_HISTOGRAM);
   IndicatorDigits(Digits+1);
   //
   SetIndexBuffer(0,ExtBuffer0);
   SetIndexBuffer(1,ExtBuffer1);
   SetIndexBuffer(2,ExtBuffer2);
   //
   IndicatorShortName("Fisher_mbk");
   SetIndexLabel(1,NULL);
   SetIndexLabel(2,NULL);
//----
   return(0);
  }
//+------------------------------------------------------------------+
//|                                                                  |
//+------------------------------------------------------------------+
int start()
  {
   int    limit;
   int    counted_bars=IndicatorCounted();
   double prev,current,old;
   double Value=0;
   double price;
   double MinL=0;
   double MaxH=0;
//----
   if(counted_bars>0) counted_bars--;
   limit=Bars-period-1; // counted_bars;
   // Idea, do a HMA on boht the
   int N=Bars-period;
   double HiLo[];
   double HMAofHiLo[];
   double Ztransformed[];
   ArrayResize(HiLo,N);
   ArrayResize(HMAofHiLo,N);
   ArrayResize(Ztransformed,N);
//----
   for(int i=N-1; i>=0; i--)
     {
      MaxH=High[Highest(NULL,0,MODE_HIGH,period,i)];
      MinL=Low[Lowest(NULL,0,MODE_LOW,period,i)];
      price=Close[i]; // (High[i]+Low[i])/2;
      HiLo[i]=2.0* (price-MinL)/(MaxH-MinL) - 1.0;
     }
   HMAOnArray(N,HMALenHiLo,HiLo,HMAofHiLo);
     for(i=N-1; i>=0; i--) 
     {
      Value=MathMin(MathMax(HMAofHiLo[i],-0.999),0.999);
      Ztransformed[i]= MathLog((1+Value)/(1-Value));
     }
   HMAOnArray(N,HMALenZ,Ztransformed,ExtBuffer0);
//----
   bool up=true;
   for(i=limit-2; i>=0; i--)
     {
      current=ExtBuffer0[i];
      prev=ExtBuffer0[i+1];
      if (((current<0)&&(prev>0))||(current<0)) up= false;
      if (((current>0)&&(prev<0))||(current>0)) up= true;
      if(!up)
        {
         ExtBuffer2[i]=current;
         ExtBuffer1[i]=0.0;
        }
      else
        {
         ExtBuffer1[i]=current;
         ExtBuffer2[i]=0.0;
        }
     }
//----     
   return(0);
  }
//+------------------------------------------------------------------+
//|                                                                  |
//+------------------------------------------------------------------+
  void HMAOnArray(int N, double HMALen, double input[], double& output[]) 
  {
   // Given input[N-1 .. 0] return HMA filtered version in output.
   double ma1, ma2, hma, mix, mixprime;
   ma1=input[N-1];
   ma2=ma1;
   mix=3.0/(2.0 + HMALen);
   mixprime=1.0-mix;
//----   
     for(int i=N-2; i>=0; i--) 
     {
      ma1=mixprime*ma1 + mix*input[i];
      ma2=mixprime*ma2 + mix*ma1;
      output[i]=1.5*ma1-ma2;
     }
  }
//+------------------------------------------------------------------+