Garch11

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

//|                                                      Garch11.mq4 |

//|                                              Andres Barale Sarti |

//|                                             https://www.mql5.com |

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

#property copyright "Copyright © 2022, andresbarale@gmail.com  "

#property link      "http://www.mql5.com"



#property indicator_separate_window

#property indicator_color1 Blue

#property indicator_width1 2

#property indicator_buffers 2

#property strict



double ExtOutputBuffer[]; // output buffer

double MA_Buffer[];

double GarchNumVar;

string INDICATOR_NAME="Garch11";



//************************************************************

// Input parameters

//************************************************************

 

enum DATA_TYPE {

                  CandleClose,

                  CandleOpen,

                  CandleHigh,

                  CandleLow

               };

extern DATA_TYPE          e_type_data   = CandleClose;

extern int                e_reverse_data   = 0;

extern double             e_alpha = 0.010; 

extern double             e_beta = 0.450;

extern int                MA_Period = 50;

extern ENUM_MA_METHOD     MA_Method = MODE_EMA;

extern double multi = 100;



double tmpArray[];



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

//| Custom indicator initialization function                         |

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

int OnInit()

  {

  GarchNumVar = 0.000001;

//--- indicator buffers mapping

   IndicatorBuffers(2);

   SetIndexBuffer(0, ExtOutputBuffer );

   SetIndexStyle(0, DRAW_LINE, STYLE_SOLID, 2,clrWhite);

   

   SetIndexBuffer(1,MA_Buffer);

   SetIndexStyle(1, DRAW_LINE, STYLE_SOLID, 2,clrLimeGreen);   

   

//---

   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 limit;

      int counted_bars = IndicatorCounted();

      if(counted_bars < 0) 

         return(-1);

      limit = Bars - counted_bars -1;

      

      double GarchNumber;

      double residual;

      double residualSquared;

      static double GarchNumVar_;

      if(limit <= 0)

         GarchNumVar_ = 0.0;

      

      GarchNumVar = GarchNumVar_;

      //limit = 3000;

      for(int i = limit-1; i >= 1; i--) {

         

         switch(e_type_data) {

            case CandleClose: residual = Close[i] - Close[i+1]; break;

            case CandleOpen: residual = Open[i] - Open[i+1]; break;

            case CandleHigh: residual = High[i] - High[i+1]; break;

            case CandleLow: residual = Low[i] - Low[i+1]; break;

            default: residual = Close[i] - Close[i+1];

         }

         

         residualSquared = MathPow(residual, 2.0);

         GarchNumVar = (e_alpha * residualSquared) + (e_beta * GarchNumVar);

         GarchNumber = MathSqrt(GarchNumVar);

         GarchNumber = GarchNumber * multi;

         ExtOutputBuffer[i] = GarchNumber;

         

         if(i)

            GarchNumVar_ = GarchNumVar;

         

         MA_Buffer[i] = iMAOnArray(ExtOutputBuffer, 0, MA_Period, 0, MA_Method, i); //ignoring shift

      }

        switch(e_type_data) {

            case CandleClose: residual = Close[0] - Close[1]; break;

            case CandleOpen: residual = Open[0] - Open[1]; break;

            case CandleHigh: residual = High[0] - High[1]; break;

            case CandleLow: residual = Low[0] - Low[1]; break;

            default: residual = Close[0] - Close[1];

         }

         residualSquared = MathPow(residual, 2.0);

         GarchNumVar = (e_alpha * residualSquared) + (e_beta * GarchNumVar);

         GarchNumber = MathSqrt(GarchNumVar);

         GarchNumber = GarchNumber * multi;

         ExtOutputBuffer[0] = GarchNumber;

         MA_Buffer[0] = iMAOnArray(ExtOutputBuffer, 0, MA_Period, 0, MA_Method, 0); //ignoring shift

      //ExtOutputBuffer[0] = 0;

//--- return value of prev_calculated for next call

   return(rates_total);

  }

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