HistVolatility6

//+------------------------------------------------------------------+
//|                                            Victor Umnyashkin.mq4 |
//|                      Copyright © 2008, MetaQuotes Software Corp. |
//|  ver 6.0  Final                        http://www.metaquotes.net |
//+------------------------------------------------------------------+
//---â ñðàâíåíèè ñ 4 âåð óáðàíî äåëåíèå íà N è èçìåíåí ïåðèîä äëÿ ñîâìåñòèìîñòè ñ Ïàðêèíñîíîâñêîé ( âåð. 5 òåñòîâàÿ)
#property copyright "Copyright © 2008, Victor Umnyashkin"
#property link      "v354@hotbox.ru"
//---------
#property indicator_separate_window
#property indicator_buffers 1
#property indicator_color1 LightSeaGreen
#property indicator_width1 1
//------parameters
extern int HI_Vol_Period=21;
extern int Trading_Day_In_Year=365;
extern bool Volatility_In_Percent=true;
extern int No_Use_Log_Scale = 0;
extern int Number_Of_Bars=1000;
extern double Coeff_Impl_Vol=1;
//--------------common arrays--------------------------
double HiVol[];
double Price[];
//----------common  variables
int Nbar,Per,YearBase,IsLog;
double Percent,Coeff;
//--------------------------
int init()
{  
  //------åñëè íå çàäàíî êîëè÷åñòâî áàðîâ áåðåì âñþ èñòîðèþ
  if( Number_Of_Bars == 0 ) Number_Of_Bars=Bars;
  //------reassign parameters
  IsLog=No_Use_Log_Scale;
  Per=HI_Vol_Period-1; //------Èçìåíåíî !!! ÷òîáû êîëè÷åñòâî áàðîâ äëÿ ðàñêåòà ñîâïàäàëî ñ Ïàðêèíñîíîâñêîé âîëàòèëüíîñòüþ
  Coeff=Coeff_Impl_Vol; 
  //------ïåðèîä äîëæåí áûòü >=2
  if( Per <= 1 ) Per=2;
  //-----íåëüçÿ ïîñ÷èòàòü çà ïðåäåëàìè äîñòóïíîé èñòîðèè
  if( Number_Of_Bars > Bars) Number_Of_Bars=Bars;  
  //------
  Nbar=Number_Of_Bars-Per-1;  
  //---------------check enough history
  if( Nbar <= 1 ) Alert("Íåäîñòàòî÷íî èñòîðèè äëÿ ðàñ÷åòà èíäèêàòîðà. Äîñòóïíî  áàðîâ ", Bars," Íàäî ",Per+1);
  //------type of measurement unit
  Percent=1;
  if( Volatility_In_Percent ) Percent=100;
  //--------âû÷èñëÿåì ãîäîâóþ áàçó òåêóùåãî òàéìôðåéìà
  //-------ò.å. êîëè÷åñòâî áàðîâ òåêóùåãî òàéìôðåéìà â êîëè÷åñòâå òîðãîâûõ äíåé ãîäà( êîë-âî áàðîâ â ãîäó)
  YearBase=Trading_Day_In_Year;
  YearBase=YearBase*PERIOD_D1/Period();  
  //--------åñëè ÷èñëî òîðãîâûõ äíåé â ãîäó íå óêàçàíî òî âû÷èñëÿåì ïðîñòî âîëàòèëüíîñòü çà N bar
  if( YearBase == 0 ) YearBase=Per+1;   
  //---- indicators
  int dig = MathMax(Digits,4);
  if( Volatility_In_Percent ) dig=4;
  IndicatorDigits(dig);
  IndicatorBuffers(1);  
  SetIndexBuffer(0,HiVol);
  //----òèï ëèíèè
  SetIndexStyle(0, DRAW_LINE);
  //------------------íå ðèñîâàòü íóëè  
  SetIndexEmptyValue(0,0);
  //-----------ôîðìèðóåì èìÿ èíäèêàòîðíîé ëèíèè
  string shortname,fullname;
  shortname ="HV("+HI_Vol_Period+")";
  if (Volatility_In_Percent) shortname=shortname+" % ";
  SetIndexLabel(0,shortname);
  //ôîðìèðóåì íàçâàíèå èíäèêàòîðà
  fullname="Hist.Volatility ";
  if(IsLog == 1 ) fullname="HV of increment";
  if(IsLog == 2 ) fullname="HV of difference";
  //--------äîáàâëÿåì çíà÷åíèå ãîäîâîé áàçû â áàðàõ åñëè íàäî
  if( YearBase != Per+1 ) fullname=fullname+" taken on "+YearBase+ " bars year base";
  fullname=fullname+"  "+shortname;    
  //Print(fullname);
  IndicatorShortName(fullname);
  //-----------ôîðìèðóåì ìàññèâ öåí ïå÷àòàì êîëè÷åñòâî áàðîâ
  ArraySetAsSeries(Price,true);
  int TMP=ArrayResize(Price,Per+1);
  //int TMP2=ArraySize(HiVol);
  Print(shortname+" Bars used for calculation ", TMP," All History Bars ", Bars,
        " Used history bars ",Number_Of_Bars," Result array lenght Bars ",Nbar);

  return(0);

}
//+------------------------------------------------------------------+
//| Custom indicator deinitialization function                       |
//+------------------------------------------------------------------+
int deinit()
  {
//----
   
//----
   return(0);
  }
//+------------------------------------------------------------------+
//| Custom indicator iteration function                              |
//+------------------------------------------------------------------+
int start()
{
   int limit;
   int    counted_bars=IndicatorCounted();
   
   //----initial zero
   if( counted_bars < 1 )for(int i2=Bars-1; i2<Nbar;i2--) HiVol[i2]=0.0;   
   //limit=Bars-counted_bars;
   limit=Nbar+1;//-counted_bars;
   if(counted_bars>Bars-Nbar) limit=Bars-counted_bars+1;
   // Print("KT1 Limit = ",limit); 
//----calculate indicator
    //limit=3;
    for( int i = 0 ; i< limit ; i++)
       {
       //------form price array from Per+1 elemrnts
       for( int j=0;j<=Per;j++)
         { 
         Price[j]=Close[i+j];       
         }
       //---------call function of calculate N-Bar volatility
       double Volatility= WVHiVol(Per,Price,IsLog);       
       //------take volatility to year base
       //------& multiply on approx coeff of implyed voatility
       HiVol[i]=Volatility*MathSqrt(1.0*YearBase/HI_Vol_Period)*Percent*Coeff;
       }   
   return(0);
}
//+------------------------------------------------------------------+
//===========calculate N-Bars Historical Volatility on array Price
//=========== IsLog =0 use the Log scale ; IsLog = 1 use increment Scale Islog=2 difference scale
//=========return N-bar volatility or -1 if error
double WVHiVol(int N,double Price[],int IsLog)
{
  int i,Log;double Mid,MidLog,MidIncr;
  //-------use the Log scale ?
  Log=IsLog;
  //if( IsLog != 1 ) Log=0;
  //---check parameters 
  //-------N must be >=2
  if( N<=1 )
     {
     Print("WVHiVol  Volatility period = ",N, " It must be >= 2 ",
            "Calculation impossible ");
     return(-1);
     } 
  //------check array lenght
  int M=ArraySize(Price);
  if( M < N+1 )
      {
      Print("WVHiVol Price array lenght = ",M," Volatility period = ",N,
            "Calculation impossible ");
      return(-1);
      } 
  //---------check price values != 0
  bool zerovalue = false;
  for( i = 0; i<= N ; i++) 
     {
     if( Price[i] == 0) zerovalue =true;
     break;
     }
  if( zerovalue )
     {
     Print("WVHiVol Price array contain zero value in ",i," element"+
            "Calculation impossible. Switch off the Log scale ");
            return(-1);
     }
  //---------Calc middle value  Mid MidIncr & MidLog        
  Mid=0;MidIncr=0;MidLog=0;double delta=0;
  for( i=1; i <= N ; i++)
     {        
     delta=Price[i-1]-Price[i];
     Mid    = Mid     + delta;
     delta=delta/Price[i];
     MidIncr= MidIncr + delta;
     delta=Price[i-1]/Price[i];
     MidLog = MidLog  + MathLog(delta); 
     }
  //-------divide them on inerval
  Mid = Mid;//N;
  MidIncr=MidIncr;//N;
  MidLog = MidLog;//N;
  //----------calc disperce
  double Vol=0,VolLog=0,VolIncr=0;delta=0;
  for( i=1; i<=N; i++)
     {
     delta=Price[i-1]-Price[i];
     Vol = Vol + (delta-Mid)*(delta-Mid);
     delta=delta/Price[i];
     VolIncr= VolIncr + (delta-MidIncr)*(delta-MidIncr);
     delta = MathLog(Price[i-1]/Price[i]);
     VolLog = VolLog + (delta-MidLog)*(delta-MidLog);    
     }
  //Print(" Vol ", DoubleToStr(Vol,15), " VolLog ", DoubleToStr(VolLog,15));
  //--------calc volatility
  Vol = MathSqrt(Vol/(N-1.0));
  VolLog = MathSqrt(VolLog/(N-1.0));
  VolIncr = MathSqrt(VolIncr/(N-1.0));
  //Print(" Vol ", DoubleToStr(Vol,10), " VolLog ", DoubleToStr(VolLog,10));
  //-------return no log scale value 
  if( Log == 2 ) return(Vol);
  if( Log == 1 )return(VolIncr);
  //-------return  Log scale value
  return(VolLog);
}