Henderson's filter

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

#property copyright   "© mladen, 2018"

#property link        "mladenfx@gmail.com"

#property version     "1.00"

#property description "Henderson's filter"

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

#property indicator_chart_window

#property indicator_buffers 2

#property indicator_plots   1

#property indicator_label1  "Henderson's filter"

#property indicator_type1   DRAW_LINE

#property indicator_color1  clrCrimson

#property indicator_width1  2

//

//---

//

input int                inpPeriod = 32;          // Period

input ENUM_APPLIED_PRICE inpPrice  = PRICE_CLOSE; // Price



double val[],prices[],weights[];

int _filterSize,_half,_size;

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

//                                                                  

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

int OnInit()

{

   SetIndexBuffer(0,val,INDICATOR_DATA); 

   SetIndexBuffer(1,prices,INDICATOR_CALCULATIONS); 

   //

   //---

   //

      _filterSize = MathMax(inpPeriod,3);

         if (MathMod(_filterSize,2)==0) _filterSize++; ArrayResize(weights,_filterSize);

         double m = MathFloor(_filterSize/2.0); _half = (int)m;

         double divisor = 8.0*(m+2.0)*((m+2.0)*(m+2.0)-1.0)*(4.0*(m+2.0)*(m+2)-1.0)*(4.0*(m+2.0)*(m+2.0)-9.0)*(4.0*(m+2.0)*(m+2.0)-25.0);  

         for (int j=-_half; j<=_half; j++)

            weights[j+_half] = 315.0*((m+1.0)*(m+1.0)-(j*j))*((m+2.0)*(m+2.0)-(j*j))*((m+3.0)*(m+3.0)-(j*j))*(3.0*(m+2.0)*(m+2.0)-11.0*(j*j)-16.0)/divisor;

            _size = ArraySize(weights);

   //

   //---            

   //

   IndicatorSetString(INDICATOR_SHORTNAME,"Henderson's filter ("+string(inpPeriod)+")");

   return(INIT_SUCCEEDED);

}

//

//---

//

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-_half,0); i<rates_total; i++)

   {

      double mod = 1.0;

      if ((rates_total-i-1)<_half)

      {

         double weightTotal = 0; for (int k=_half-(rates_total-i-1); k<_size; k++) weightTotal += weights[k]; mod = 1.0/weightTotal;               

      }

      //

      //---

      //

      double sum = mod*weights[_half]*getPrice(inpPrice,open,close,high,low,i,rates_total);

      for(int j=1; j<=_half; j++)

      {

         if (i-j>=0         ) sum += mod*weights[_half+j]*getPrice(inpPrice,open,close,high,low,i-j,rates_total);

         if (i+j<rates_total) sum += mod*weights[_half-j]*getPrice(inpPrice,open,close,high,low,i+j,rates_total);

      }

      val[i] = sum;

   }      

   return(rates_total);

}



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

//| Custom functions                                                 |

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

double getPrice(ENUM_APPLIED_PRICE tprice,const double &open[],const double &close[],const double &high[],const double &low[],int i,int _bars)

  {

   if(i>=0)

      switch(tprice)

        {

         case PRICE_CLOSE:     return(close[i]);

         case PRICE_OPEN:      return(open[i]);

         case PRICE_HIGH:      return(high[i]);

         case PRICE_LOW:       return(low[i]);

         case PRICE_MEDIAN:    return((high[i]+low[i])/2.0);

         case PRICE_TYPICAL:   return((high[i]+low[i]+close[i])/3.0);

         case PRICE_WEIGHTED:  return((high[i]+low[i]+close[i]+close[i])/4.0);

        }

   return(0);

  }

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