histvolatility_v1

//+------------------------------------------------------------------+
//|                                               HistVolatility.mq5 | 
//|                              Copyright © 2008, Victor Umnyashkin |
//|                                                   v354@hotbox.ru |
//+------------------------------------------------------------------+
#property copyright "Copyright © 2008, Victor Umnyashkin"
#property link      "v354@hotbox.ru"
//---- íîìåð âåðñèè èíäèêàòîðà
#property version   "1.00"
//---- îòðèñîâêà èíäèêàòîðà â îòäåëüíîì îêíå
#property indicator_separate_window
//---- êîëè÷åñòâî èíäèêàòîðíûõ áóôåðîâ
#property indicator_buffers 2 
//---- èñïîëüçîâàíî âñåãî îäíî ãðàôè÷åñêîå ïîñòðîåíèå
#property indicator_plots   1
//+-----------------------------------+
//| Ïàðàìåòðû îòðèñîâêè èíäèêàòîðà    |
//+-----------------------------------+
//---- îòðèñîâêà èíäèêàòîðà â âèäå òðåõöâåòíîé ãèñòîãðàììû
#property indicator_type1 DRAW_COLOR_HISTOGRAM
//---- â êà÷åñòâå öâåòîâ  èñïîëüçîâàíû
#property indicator_color1 clrGray,clrPurple,clrDarkTurquoise
//---- ëèíèÿ èíäèêàòîðà - íåïðåðûâíàÿ êðèâàÿ
#property indicator_style1 STYLE_SOLID
//---- òîëùèíà ëèíèè èíäèêàòîðà ðàâíà 4
#property indicator_width1  2
//---- îòîáðàæåíèå ìåòêè èíäèêàòîðà
#property indicator_label1  "HistVolatility"
//+-----------------------------------+
//| Îáúÿâëåíèå ïåðå÷èñëåíèé           |
//+-----------------------------------+
enum Scale_ //Òèï êîíñòàíòû
  {
   S1_ = 1,     //1
   S2_,         //2
   S3_          //3
  };
//+-----------------------------------+
//| Âõîäíûå ïàðàìåòðû èíäèêàòîðà      |
//+-----------------------------------+
input int Per=21;
input Scale_ Scale=S3_;
input int Trading_Day_In_Year=365;
input int Percent=100;
input double Coeff=1;
input int Shift=0; // Ñäâèã èíäèêàòîðà ïî ãîðèçîíòàëè â áàðàõ
//+-----------------------------------+
//---- èíäèêàòîðíûå áóôåðû
double LineBuffer[],ColorLineBuffer[];
//---- îáúÿâëåíèå öåëî÷èñëåííûõ ïåðåìåííûõ íà÷àëà îòñ÷åòà äàííûõ
int YearBase,min_rates_total;
//+------------------------------------------------------------------+   
//| HistVolatility initialization function                           | 
//+------------------------------------------------------------------+ 
void OnInit()
  {
//---- èíèöèàëèçàöèÿ ïåðåìåííûõ íà÷àëà îòñ÷åòà äàííûõ
   min_rates_total=Per+1;
//---- èíèöèàëèçàöèÿ ïåðåìåííûõ
   YearBase=Trading_Day_In_Year*PeriodSeconds(PERIOD_D1)/PeriodSeconds(PERIOD_CURRENT);
//---- ïðåâðàùåíèå äèíàìè÷åñêîãî ìàññèâà â èíäèêàòîðíûé áóôåð
   SetIndexBuffer(0,LineBuffer,INDICATOR_DATA);
//---- îñóùåñòâëåíèå ñäâèãà èíäèêàòîðà 1 ïî ãîðèçîíòàëè
   PlotIndexSetInteger(0,PLOT_SHIFT,Shift);
//---- îñóùåñòâëåíèå ñäâèãà íà÷àëà îòñ÷åòà îòðèñîâêè èíäèêàòîðà
   PlotIndexSetInteger(0,PLOT_DRAW_BEGIN,min_rates_total+1);
//---- óñòàíîâêà çíà÷åíèé èíäèêàòîðà, êîòîðûå íå áóäóò âèäèìû íà ãðàôèêå
   PlotIndexSetDouble(0,PLOT_EMPTY_VALUE,EMPTY_VALUE);
//---- èíäåêñàöèÿ ýëåìåíòîâ â áóôåðå êàê â òàéìñåðèè
   ArraySetAsSeries(LineBuffer,true);
//---- ïðåâðàùåíèå äèíàìè÷åñêîãî ìàññèâà â öâåòîâîé, èíäåêñíûé áóôåð   
   SetIndexBuffer(1,ColorLineBuffer,INDICATOR_COLOR_INDEX);
//---- èíäåêñàöèÿ ýëåìåíòîâ â áóôåðå êàê â òàéìñåðèè
   ArraySetAsSeries(ColorLineBuffer,true);
//---- èíèöèàëèçàöèÿ ïåðåìåííîé äëÿ êîðîòêîãî èìåíè èíäèêàòîðà
   string shortname;
   StringConcatenate(shortname,"HistVolatility(",Per,")");
//--- ñîçäàíèå èìåíè äëÿ îòîáðàæåíèÿ â îòäåëüíîì ïîäîêíå è âî âñïëûâàþùåé ïîäñêàçêå
   IndicatorSetString(INDICATOR_SHORTNAME,shortname);
//--- îïðåäåëåíèå òî÷íîñòè îòîáðàæåíèÿ çíà÷åíèé èíäèêàòîðà
   IndicatorSetInteger(INDICATOR_DIGITS,_Digits+1);
//---- çàâåðøåíèå èíèöèàëèçàöèè
  }
//+------------------------------------------------------------------+ 
//| HistVolatility iteration function                                | 
//+------------------------------------------------------------------+ 
int OnCalculate(const int rates_total,    // êîëè÷åñòâî èñòîðèè â áàðàõ íà òåêóùåì òèêå
                const int prev_calculated,// êîëè÷åñòâî èñòîðèè â áàðàõ íà ïðåäûäóùåì òèêå
                const int begin,          // íîìåð íà÷àëà äîñòîâåðíîãî îòñ÷åòà áàðîâ
                const double &price[])    // öåíîâîé ìàññèâ äëÿ ðàñ÷åòà èíäèêàòîðà
  {
//---- ïðîâåðêà êîëè÷åñòâà áàðîâ íà äîñòàòî÷íîñòü äëÿ ðàñ÷åòà
   if(rates_total<min_rates_total+begin) return(0);
//---- îáúÿâëåíèå ïåðåìåííûõ ñ ïëàâàþùåé òî÷êîé  
   double Volatility;
//---- îáúÿâëåíèå öåëî÷èñëåííûõ ïåðåìåííûõ è ïîëó÷åíèå óæå ïîñ÷èòàííûõ áàðîâ
   int limit,bar;
//---- ðàñ÷åòû íåîáõîäèìîãî êîëè÷åñòâà êîïèðóåìûõ äàííûõ è
//---- ñòàðòîâîãî íîìåðà limit äëÿ öèêëà ïåðåñ÷åòà áàðîâ
   if(prev_calculated>rates_total || prev_calculated<=0)// ïðîâåðêà íà ïåðâûé ñòàðò ðàñ÷åòà èíäèêàòîðà
     {
      limit=rates_total-1-min_rates_total-begin; // ñòàðòîâûé íîìåð äëÿ ðàñ÷åòà âñåõ áàðîâ
      //---- îñóùåñòâëåíèå ñäâèãà íà÷àëà îòñ÷åòà îòðèñîâêè èíäèêàòîðà
      PlotIndexSetInteger(0,PLOT_DRAW_BEGIN,min_rates_total+1+begin);
     }
   else
     {
      limit=rates_total-prev_calculated; // ñòàðòîâûé íîìåð äëÿ ðàñ÷åòà íîâûõ áàðîâ
     }
//---- èíäåêñàöèÿ ýëåìåíòîâ â ìàññèâàõ êàê â òàéìñåðèÿõ  
   ArraySetAsSeries(price,true);
//---- îñíîâíîé öèêë ðàñ÷åòà èíäèêàòîðà
   for(bar=limit; bar>=0 && !IsStopped(); bar--)
     {
      Volatility=WVHiVol(Per,price,bar,Scale);
      LineBuffer[bar]=Volatility*MathSqrt(1.0*YearBase/Per)*Percent*Coeff;
     }
//----
   if(prev_calculated>rates_total || prev_calculated<=0) limit--;
//---- îñíîâíîé öèêë ðàñêðàñêè èíäèêàòîðà
   for(bar=limit; bar>=0 && !IsStopped(); bar--)
     {
      ColorLineBuffer[bar]=0;
      if(LineBuffer[bar]>LineBuffer[bar+1]) ColorLineBuffer[bar]=2;
      if(LineBuffer[bar]<LineBuffer[bar+1]) ColorLineBuffer[bar]=1;
     }
//----     
   return(rates_total);
  }
//+------------------------------------------------------------------+  
//| Custom iteration function                                        | 
//+------------------------------------------------------------------+
double WVHiVol(int N,const double &Price[],int index,Scale_ IsLog)
  {
//----
   double Mid,MidLog,MidIncr,delta,Vol,VolLog,VolIncr;
//----
   Mid=0;
   MidIncr=0;
   MidLog=0;
//----
   for(int i=0; i<N; i++)
     {
      delta=Price[index+i]-Price[index+i+1];
      Mid+=delta;
      delta/=Price[index+i];
      MidIncr+=delta;
      delta=Price[index+i]/Price[index+i+1];
      MidLog+=MathLog(delta);
     }
//----
   Vol=0;
   VolLog=0;
   VolIncr=0;
//----
   for(int i=0; i<N; i++)
     {
      delta=Price[index+i]-Price[index+i+1];
      Vol+=(delta-Mid)*(delta-Mid);
      delta/=Price[i];
      VolIncr+=(delta-MidIncr)*(delta-MidIncr);
      delta=MathLog(Price[index+i]/Price[index+i+1]);
      VolLog+=(delta-MidLog)*(delta-MidLog);
     }
//----
   if(IsLog == S2_) return(MathSqrt(Vol/(N-1.0)));
   if(IsLog == S1_) return(MathSqrt(VolIncr/(N-1.0)));
//----
   return(MathSqrt(VolLog/(N-1.0)));
  }
//+------------------------------------------------------------------+