Jurik volty

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

#property copyright   "© mladen, 2018"

#property link        "mladenfx@gmail.com"

#property description "Jurik volty"

#property version     "1.00"

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

#property indicator_separate_window

#property indicator_buffers 4

#property indicator_plots   2

#property indicator_label1  "Jurik volty"

#property indicator_type1   DRAW_COLOR_LINE

#property indicator_color1  clrSilver,clrLimeGreen,clrOrange

#property indicator_width1  2

#property indicator_label2  "Jurik volty signal"

#property indicator_type2   DRAW_COLOR_LINE

#property indicator_color2  clrSilver,clrLimeGreen,clrOrange

//

// input parameters

//

input int                inpPeriod    = 14;          // Volty period

input ENUM_APPLIED_PRICE inpPrice     = PRICE_CLOSE; // Price



double  val[],valc[],sig[],sigc[];

struct sVoltyAnswer

{

   double volty;

   double voltySignal;

};

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

//|                                                                  |

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

void OnInit()

  {

   SetIndexBuffer(0,val,INDICATOR_DATA);

   SetIndexBuffer(1,valc,INDICATOR_COLOR_INDEX);

   SetIndexBuffer(2,sig,INDICATOR_DATA);

   SetIndexBuffer(3,sigc,INDICATOR_COLOR_INDEX);

   IndicatorSetString(INDICATOR_SHORTNAME,"Jurik volty ("+(string)inpPeriod+")");

  }

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

//|                                                                  |

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

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);

//

//---

//

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

     {

      double price=getPrice(inpPrice,open,close,high,low,i,rates_total);

      sVoltyAnswer _answer = iVolty(price,inpPeriod,i,rates_total);

      val[i]  = _answer.volty;

      sig[i]  = _answer.voltySignal;

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

      sigc[i] = valc[i];

     }

   return(i);

  }

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

// custom functions

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

double wrk[][5];

#define bsmax  0

#define bsmin  1

#define voltya 2

#define vsum   3

#define avolty 4

#define avgLen 65

//

//---

//

sVoltyAnswer iVolty(double price, double length, int r, int bars)

{

   if (ArrayRange(wrk,0) != bars) ArrayResize(wrk,bars);

   sVoltyAnswer _answer;

                _answer.volty = 0;

                _answer.voltySignal = 0;

                

   

   if (r==0) { for(int k=0; k<5; k++) wrk[0][k]=0; return(_answer); }



   //

   //

   //

   //

   //

   

      double len1 = MathMax(MathLog(MathSqrt(0.5*(length-1)))/MathLog(2.0)+2.0,0);

      double pow1 = MathMax(len1-2.0,0.5);

      double del1 = (r>0) ? price - wrk[r-1][bsmax] : 0;

      double del2 = (r>0) ? price - wrk[r-1][bsmin] : 0;

	

         wrk[r][voltya] = 0;

               if(MathAbs(del1) > MathAbs(del2)) wrk[r][voltya] = MathAbs(del1); 

               if(MathAbs(del1) < MathAbs(del2)) wrk[r][voltya] = MathAbs(del2); 

         wrk[r][vsum] =	(r>9) ? wrk[r-1][vsum] + 0.1*(wrk[r][voltya]-wrk[r-10][voltya]) : wrk[r][voltya];

   

         double avg = wrk[r][vsum];  int k=1; for (; k<avgLen && (r-k)>=0 ; k++) avg += wrk[r-k][vsum];

                                                                                 avg /= k;

         wrk[r][avolty] = avg;                                           

               double dVolty = (wrk[r][avolty] > 0) ? wrk[r][voltya]/wrk[r][avolty] : 0;   

	               if (dVolty > MathPow(len1,1.0/pow1)) dVolty = MathPow(len1,1.0/pow1);

                  if (dVolty < 1)                      dVolty = 1.0;



      //

      //---

      //



   	double pow2 = MathPow(dVolty, pow1);

      double len2 = MathSqrt(0.5*(length-1))*len1;

      double Kv   = MathPow(len2/(len2+1), MathSqrt(pow2));		

	

         if (del1 > 0) wrk[r][bsmax] = price; else wrk[r][bsmax] = price - Kv*del1;

         if (del2 < 0) wrk[r][bsmin] = price; else wrk[r][bsmin] = price - Kv*del2;



   //

   //---

   //



          _answer.voltySignal = wrk[r][avolty];

          _answer.volty       = wrk[r][vsum];

   return(_answer);                

}  

//

//---

//

//

//---

//

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

  {

   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);

  }

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