Historical volatility

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#property copyright   "© mladen, 2018"

#property link        "mladenfx@gmail.com"

#property description "Historical volatility"

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#property indicator_separate_window

#property indicator_buffers 2

#property indicator_plots   1

#property indicator_label1  "Historical volatility"

#property indicator_type1   DRAW_COLOR_LINE

#property indicator_color1  clrDarkGray,clrSkyBlue,clrDodgerBlue

#property indicator_width1  2

//--- input parameters

input int inpVolPeriod=18; // Volatility period

//--- buffers and global variables declarations

double val[],valc[];

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

//| Custom indicator initialization function                         |

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

int OnInit()

  {

//--- indicator buffers mapping

   SetIndexBuffer(0,val,INDICATOR_DATA);

   SetIndexBuffer(1,valc,INDICATOR_COLOR_INDEX);

//---

   IndicatorSetString(INDICATOR_SHORTNAME,"Historical volatility ("+(string)inpVolPeriod+")");

   return (INIT_SUCCEEDED);

  }

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

//| Custom indicator de-initialization function                      |

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

void OnDeinit(const int reason)

  {

  }

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

//| 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[])

  {

   if(Bars(_Symbol,_Period)<rates_total) return(prev_calculated);

   double work[]; ArrayResize(work,inpVolPeriod); ArrayInitialize(work,0);

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

     {

      double avg = 0;

      double sum = 0;

      for(int k=0; k<inpVolPeriod && (i-k)>0; k++)

        {

         work[k] = MathLog(close[i-k]/close[i-k-1]);

         avg    += work[k];

        }

      avg/=inpVolPeriod;

      for(int k=0; k<inpVolPeriod; k++) sum+=(work[k]-avg)*(work[k]-avg);



      //

      //---

      //



      val[i]  = MathSqrt(sum/inpVolPeriod);

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

     }

   return (i);

  }

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