Gann high-low activator JMA

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

#property copyright "© mladen, 2018"

#property link      "mladenfx@gmail.com"

#property version   "1.00"

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

#property indicator_chart_window

#property indicator_buffers 6

#property indicator_plots   3

#property indicator_label1  "Gann zone"

#property indicator_type1   DRAW_FILLING

#property indicator_color1  clrGainsboro,clrGainsboro

#property indicator_label2  "Gann middle"

#property indicator_type2   DRAW_LINE

#property indicator_style2  STYLE_DOT

#property indicator_color2  clrGray

#property indicator_label3  "Gann high/low"

#property indicator_type3   DRAW_COLOR_LINE

#property indicator_color3  clrDimGray,clrLimeGreen,clrDarkOrange

#property indicator_width3  2



//

//---

//

input int  AvgPeriod = 32; // Average period

double sup[],supc[],mid[],fup[],fdn[];



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

//

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

int OnInit()

{

   SetIndexBuffer(0,fup,INDICATOR_DATA);

   SetIndexBuffer(1,fdn,INDICATOR_DATA);

   SetIndexBuffer(2,mid,INDICATOR_DATA);

   SetIndexBuffer(3,sup,INDICATOR_DATA);

   SetIndexBuffer(4,supc,INDICATOR_COLOR_INDEX);

   IndicatorSetString(INDICATOR_SHORTNAME,"Gann high/low activator("+string(AvgPeriod)+")");

   return(0);

}

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[])

{                

   if (Bars(_Symbol,_Period)<rates_total) return(-1);

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

      {

         fup[i] = iSmooth((i>0?high[i-1]:high[i]),AvgPeriod,0,i,rates_total,0);

         fdn[i] = iSmooth((i>0?low[i-1] :low[i] ),AvgPeriod,0,i,rates_total,1);

         mid[i] = (fup[i]+fdn[i])/2.0;

         supc[i] = (close[i]>fup[i]) ? 1 : (close[i]<fdn[i]) ? 2 : (i>0) ? supc[i-1] : 0;

         sup[i]  = (supc[i]==1) ? fdn[i] : (supc[i]==2) ? fup[i] : close[i];

      }

   return(rates_total);

}





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

//                                                                  

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

#define _smoothInstances     2

#define _smoothInstancesSize 10

double m_wrk[][_smoothInstances*_smoothInstancesSize];

//

//---

//

double iSmooth(double price,double length,double phase,int r,int bars,int instanceNo=0)

  {

   #define bsmax  5

   #define bsmin  6

   #define volty  7

   #define vsum   8

   #define avolty 9



   if(ArrayRange(m_wrk,0)!=bars) ArrayResize(m_wrk,bars); if(ArrayRange(m_wrk,0)!=bars) return(price); instanceNo*=_smoothInstancesSize;

   if(r==0 || length<=1) { int k=0; for(; k<7; k++) m_wrk[r][instanceNo+k]=price; for(; k<10; k++) m_wrk[r][instanceNo+k]=0; return(price); }



//

//---

//



   double len1   = MathMax(MathLog(MathSqrt(0.5*(length-1)))/MathLog(2.0)+2.0,0);

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

   double del1   = price - m_wrk[r-1][instanceNo+bsmax];

   double del2   = price - m_wrk[r-1][instanceNo+bsmin];

   int    forBar = MathMin(r,10);



   m_wrk[r][instanceNo+volty]=0;

   if(MathAbs(del1) > MathAbs(del2)) m_wrk[r][instanceNo+volty] = MathAbs(del1);

   if(MathAbs(del1) < MathAbs(del2)) m_wrk[r][instanceNo+volty] = MathAbs(del2);

   m_wrk[r][instanceNo+vsum]=m_wrk[r-1][instanceNo+vsum]+(m_wrk[r][instanceNo+volty]-m_wrk[r-forBar][instanceNo+volty])*0.1;



//

//---

//



   m_wrk[r][instanceNo+avolty]=m_wrk[r-1][instanceNo+avolty]+(2.0/(MathMax(4.0*length,30)+1.0))*(m_wrk[r][instanceNo+vsum]-m_wrk[r-1][instanceNo+avolty]);

   double dVolty=(m_wrk[r][instanceNo+avolty]>0) ? m_wrk[r][instanceNo+volty]/m_wrk[r][instanceNo+avolty]: 0;

   if(dVolty > MathPow(len1,1.0/pow1)) dVolty = MathPow(len1,1.0/pow1);

   if(dVolty < 1)                      dVolty = 1.0;



//

//---

//



   double pow2 = MathPow(dVolty, pow1);

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

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



   if(del1 > 0) m_wrk[r][instanceNo+bsmax] = price; else m_wrk[r][instanceNo+bsmax] = price - Kv*del1;

   if(del2 < 0) m_wrk[r][instanceNo+bsmin] = price; else m_wrk[r][instanceNo+bsmin] = 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);



   m_wrk[r][instanceNo+0] = price + alpha*(m_wrk[r-1][instanceNo+0]-price);

   m_wrk[r][instanceNo+1] = (price - m_wrk[r][instanceNo+0])*(1-beta) + beta*m_wrk[r-1][instanceNo+1];

   m_wrk[r][instanceNo+2] = (m_wrk[r][instanceNo+0] + corr*m_wrk[r][instanceNo+1]);

   m_wrk[r][instanceNo+3] = (m_wrk[r][instanceNo+2] - m_wrk[r-1][instanceNo+4])*MathPow((1-alpha),2) + MathPow(alpha,2)*m_wrk[r-1][instanceNo+3];

   m_wrk[r][instanceNo+4] = (m_wrk[r-1][instanceNo+4] + m_wrk[r][instanceNo+3]);



//

//---

//



   return(m_wrk[r][instanceNo+4]);



   #undef bsmax

   #undef bsmin

   #undef volty

   #undef vsum

   #undef avolty

  }