Force index - JMA

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

#property copyright   "© mladen"

#property link        "mladenfx@gmail.com"

#property description "Force index - JMA"

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

#property indicator_separate_window

#property indicator_buffers 4

#property indicator_plots   2

#property indicator_label1  "filling"

#property indicator_type1   DRAW_FILLING

#property indicator_color1  clrDeepSkyBlue,clrPink

#property indicator_label2  "Force index"

#property indicator_type2   DRAW_COLOR_LINE

#property indicator_color2  clrDarkGray,clrDodgerBlue,clrPaleVioletRed

#property indicator_width2  2

//

//---

//

input int                 inpPeriod = 14;          // Smoothing period

input double              inpPhase  = 0;           // Smoothing phase

input ENUM_APPLIED_VOLUME inpVolume = VOLUME_TICK; // Volume to use



//

//--- buffers and global variables declarations

//

double val[],valc[],fillu[],filld[];

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

//| Custom indicator initialization function                         |

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

int OnInit()

{

   SetIndexBuffer(0,fillu,INDICATOR_DATA); 

   SetIndexBuffer(1,filld,INDICATOR_DATA); 

   SetIndexBuffer(2,val  ,INDICATOR_DATA); 

   SetIndexBuffer(3,valc ,INDICATOR_COLOR_INDEX); 

      IndicatorSetString(INDICATOR_SHORTNAME,"Force index ("+(string)inpPeriod+")");

   return(INIT_SUCCEEDED);

}

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

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

   {

      double _diff = (i>0) ? (inpVolume==VOLUME_TICK ? tick_volume[i] : volume[i])*(close[i]-close[i-1]) : 0;

      val[i]   = iSmooth(_diff,inpPeriod,inpPhase,i);

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

      fillu[i] = val[i]; 

      filld[i] = 0;

   }

   return(i);

}

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

//    custom functions

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

#define _smoothInstances     1

#define _smoothInstancesSize 10

#define _smoothRingSize      11

double workSmooth[_smoothRingSize][_smoothInstances*_smoothInstancesSize];

#define bsmax  5

#define bsmin  6

#define volty  7

#define vsum   8

#define avolty 9

//

//

//

double iSmooth(double price, double length, double phase, int i, int instance=0)

{

   int _indP = (i-1)%_smoothRingSize;

   int _indC = (i  )%_smoothRingSize;

   int _inst = instance*_smoothInstancesSize;



   if(i==0 || length<=1) { int k=0; for(; k<volty; k++) workSmooth[_indC][_inst+k]=price; for(; k<_smoothInstancesSize; k++) workSmooth[_indC][_inst+k]=0; return(price); }



   //

   //

   //



      double len1 = MathMax(MathLog(MathSqrt(0.5*(length-1.0)))/MathLog(2.0)+2.0,0);

      double pow1 = MathMax(len1-2.0,0.5);

      double del1 = price - workSmooth[_indP][_inst+bsmax], absDel1 = MathAbs(del1);

      double del2 = price - workSmooth[_indP][_inst+bsmin], absDel2 = MathAbs(del2);

      int   _indF = (i-MathMin(i,10))%_smoothRingSize;



         workSmooth[_indC][_inst+volty]  = (absDel1 > absDel2) ? absDel1 : (absDel1 < absDel2) ? absDel2 : 0;

         workSmooth[_indC][_inst+vsum]   = workSmooth[_indP][_inst+vsum]+(workSmooth[_indC][_inst+volty]-workSmooth[_indF][_inst+volty])*0.1;

         workSmooth[_indC][_inst+avolty] = workSmooth[_indP][_inst+avolty]+(2.0/(MathMax(4.0*length,30)+1.0))*(workSmooth[_indC][_inst+vsum]-workSmooth[_indP][_inst+avolty]);

      

      double dVolty    = (workSmooth[_indC][_inst+avolty]>0) ? workSmooth[_indC][_inst+volty]/workSmooth[_indC][_inst+avolty]: 0;

      double dVoltyTmp = MathPow(len1,1.0/pow1);

         if (dVolty > dVoltyTmp) dVolty = dVoltyTmp;

         if (dVolty < 1.0)       dVolty = 1.0;



      double pow2 = MathPow(dVolty, pow1);

      double len2 = MathSqrt(0.5*(length-1))*len1;

      double Kv   = MathPow(len2/(len2+1), MathSqrt(pow2));



         workSmooth[_indC][_inst+bsmax] = (del1 > 0) ? price : price - Kv*del1;

         workSmooth[_indC][_inst+bsmin] = (del2 < 0) ? price : 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);



          workSmooth[_indC][_inst+0] = price + alpha*(workSmooth[_indP][_inst+0]-price);

          workSmooth[_indC][_inst+1] = (price - workSmooth[_indC][_inst+0])*(1-beta) + beta*workSmooth[_indP][_inst+1];

          workSmooth[_indC][_inst+2] = (workSmooth[_indC][_inst+0] + corr*workSmooth[_indC][_inst+1]);

          workSmooth[_indC][_inst+3] = (workSmooth[_indC][_inst+2] - workSmooth[_indP][_inst+4])*((1-alpha)*(1-alpha)) + (alpha*alpha)*workSmooth[_indP][_inst+3];

          workSmooth[_indC][_inst+4] = (workSmooth[_indP][_inst+4] + workSmooth[_indC][_inst+3]);

   return(workSmooth[_indC][_inst+4]);



   #undef bsmax

   #undef bsmin

   #undef volty

   #undef vsum

   #undef avolty

}