KAMA Keltner channel

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

#property copyright   "© mladen, 2018"

#property link        "mladenfx@gmail.com"

#property version     "1.00"

#property description "Kaufman adaptive average Keltner channel"

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

#property indicator_chart_window

#property indicator_buffers 9

#property indicator_plots   5

#property indicator_label1  "upper filling"

#property indicator_type1   DRAW_FILLING

#property indicator_color1  C'207,243,207'

#property indicator_label2  "lower filling"

#property indicator_type2   DRAW_FILLING

#property indicator_color2  C'252,225,205'

#property indicator_label3  "Upper band"

#property indicator_type3   DRAW_COLOR_LINE

#property indicator_color3  clrLimeGreen,clrSandyBrown

#property indicator_label4  "Lower band"

#property indicator_type4   DRAW_COLOR_LINE

#property indicator_color4  clrLimeGreen,clrSandyBrown

#property indicator_label5  "Middle value"

#property indicator_type5   DRAW_LINE

#property indicator_color5  clrDarkGray

//

//---

//

input int                inpPeriod        = 14;            // Period

input int                inpFastPeriod    =  2;            // Fast end period

input int                inpSlowPeriod    = 30;            // Slow end period

input double             inpPower         =  2;            // Smooth power

input ENUM_APPLIED_PRICE inpPrice         = PRICE_TYPICAL; // Price

input int                inpAtrPeriod     = 14;            // ATR period

input double             inpAtrMultiplier = 1.5;           // Channel multiplier



double bufferUp[],bufferUpc[],bufferDn[],bufferDnc[],bufferMe[],fupu[],fupd[],fdnd[],fdnu[];

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

//

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

int OnInit()

  {

   SetIndexBuffer(0,fupu,INDICATOR_DATA);     SetIndexBuffer(1,fupd,INDICATOR_DATA);

   SetIndexBuffer(2,fdnu,INDICATOR_DATA);     SetIndexBuffer(3,fdnd,INDICATOR_DATA);

   SetIndexBuffer(4,bufferUp,INDICATOR_DATA); SetIndexBuffer(5,bufferUpc,INDICATOR_COLOR_INDEX);

   SetIndexBuffer(6,bufferDn,INDICATOR_DATA); SetIndexBuffer(7,bufferDnc,INDICATOR_COLOR_INDEX);

   SetIndexBuffer(8,bufferMe,INDICATOR_DATA);

   return(INIT_SUCCEEDED);

  }

void OnDeinit(const int reason) { return; }

//

//---

//

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);

   //

   //---

   //

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

     {

      double _atr = 0;

         for (int k=0; k<inpAtrPeriod && (i-k-1)>=0; k++) _atr += MathMax(high[i-k],close[i-k-1])-MathMin(low[i-k],close[i-k-1]); _atr /= inpAtrPeriod;

      bufferMe[i] = iKama(getPrice(inpPrice,open,close,high,low,i,rates_total),inpPeriod,inpFastPeriod,inpSlowPeriod,inpPower,i,open,close,high,low,rates_total);

      bufferUp[i] = bufferMe[i] + _atr*inpAtrMultiplier;

      bufferDn[i] = bufferMe[i] - _atr*inpAtrMultiplier;

      fupd[i]     = bufferMe[i]; fupu[i] = bufferUp[i];

      fdnu[i]     = bufferMe[i]; fdnd[i] = bufferDn[i];

      if(i>0)

        {

         bufferUpc[i] = bufferUpc[i-1];

         bufferDnc[i] = bufferDnc[i-1];



         //

         //

         //

         //

         //



         if(bufferUp[i]>bufferUp[i-1]) bufferUpc[i] = 0;

         if(bufferUp[i]<bufferUp[i-1]) bufferUpc[i] = 1;

         if(bufferDn[i]>bufferDn[i-1]) bufferDnc[i] = 0;

         if(bufferDn[i]<bufferDn[i-1]) bufferDnc[i] = 1;

        }

     }

   return(i);

  }



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

//| Custom functions                                                 |

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

#define amaInstances     1

#define amaInstancesSize 3

double workAma[][amaInstances*amaInstancesSize];

#define _diff  0

#define _kama  1

#define _price 2

//

//---

//

double iKama(double price,int period,double fast,double slow,double power,int i,const double &open[],const double &close[],const double &high[],const double &low[],int bars,int instanceNo=0)

  {

   if(ArrayRange(workAma,0)!=bars) ArrayResize(workAma,bars);  int r=i; instanceNo*=amaInstancesSize;

   double fastend = (2.0 /(fast + 1));

   double slowend = (2.0 /(slow + 1));

//

//---

//

   double efratio=1; workAma[r][instanceNo+_price]=price;

   double signal = (r>=period) ? MathAbs(price-workAma[r-period][instanceNo+_price]) : 0;

   double noise  = 0;

   workAma[r][instanceNo+_diff]=(r>0) ? MathAbs(price-workAma[r-1][instanceNo+_price]) : 0;

   for(int k=0; k<period && r-k>=0; k++)

      noise+=workAma[r-k][instanceNo+_diff];

//

//---

//

   if(noise!=0)

      efratio = signal/noise;

   else  efratio = 1;

   double smooth=MathPow(efratio*(fastend-slowend)+slowend,power);

   workAma[r][instanceNo+_kama]=(r>0) ? workAma[r-1][instanceNo+_kama]+smooth*(price-workAma[r-1][instanceNo+_kama]) : price;

   return(workAma[r][instanceNo+_kama]);

  }

//

//---

//

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);

  }

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