MA_Oscillator_v1

ÿþ//+------------------------------------------------------------------+

//|                                                MA_Oscillator.mq5 |

//|                        Copyright 2018, MetaQuotes Software Corp. |

//|                                                 https://mql5.com |

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

#property copyright "Copyright 2018, MetaQuotes Software Corp."

#property link      "https://mql5.com"

#property version   "1.00"

#property description "MA as an oscillator.\n\nFormulas:\nMA Oscillator=Price/MA-1.0"

#property indicator_separate_window

#property indicator_buffers 4

#property indicator_plots   1

//--- plot OSC

#property indicator_label1  "OSC"

#property indicator_type1   DRAW_COLOR_HISTOGRAM

#property indicator_color1  clrGreen,clrRed,clrDarkGray

#property indicator_style1  STYLE_SOLID

#property indicator_width1  8

//--- enums

enum ENUM_MA_METHOD_EXT

  {

   METHOD_SMA,          // Simple

   METHOD_EMA,          // Exponential

   METHOD_SMMA,         // Smoothed

   METHOD_LWMA,         // Linear-Weighted

   METHOD_WILDER_EMA,   // Wilder Exponential

   METHOD_SINE_WMA,     // Sine-Weighted

   METHOD_TRI_MA,       // Triangular

   METHOD_LSMA,         // Least Square

   METHOD_HMA,          // Hull MA by Alan Hull

   METHOD_ZL_EMA,       // Zero-Lag Exponential

   METHOD_ITREND_MA,    // Instantaneous Trendline by J.Ehlers

   METHOD_MOVING_MEDIAN,// Moving Median

   METHOD_GEO_MEAN,     // Geometric Mean

   METHOD_REMA,         // Regularized EMA by Chris Satchwell

   METHOD_ILRS,         // Integral of Linear Regression Slope

   METHOD_IE_2,         // Combination of LSMA and ILRS

   METHOD_TRI_MA_GEN,   // Triangular MA generalized by J.Ehlers

   METHOD_VWMA          // Volume-Weighted

  };

//--- input parameters

input uint                 InpPeriod         =  20;            // MA period

input ENUM_MA_METHOD_EXT   InpMethod         =  METHOD_SMA;    // MA method

input ENUM_APPLIED_PRICE   InpAppliedPrice   =  PRICE_CLOSE;   // MA applied price

//--- indicator buffers

double         BufferOSC[];

double         BufferColors[];

double         BufferMA[];

double         BufferPrice[];

//--- global variables

int            period_ma;

int            handle_ma;

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

//| Custom indicator initialization function                         |

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

int OnInit()

  {

//--- set global variables

   period_ma=int(InpPeriod<1 ? 1 : InpPeriod);

//--- indicator buffers mapping

   SetIndexBuffer(0,BufferOSC,INDICATOR_DATA);

   SetIndexBuffer(1,BufferColors,INDICATOR_COLOR_INDEX);

   SetIndexBuffer(2,BufferMA,INDICATOR_CALCULATIONS);

   SetIndexBuffer(3,BufferPrice,INDICATOR_CALCULATIONS);

//--- setting indicator parameters

   IndicatorSetString(INDICATOR_SHORTNAME,"MA Oscillator ("+(string)period_ma+")");

   IndicatorSetInteger(INDICATOR_DIGITS,Digits());

//--- setting plot buffer parameters

   PlotIndexSetString(0,PLOT_LABEL,MethodExtToString(InpMethod)+" Osc("+string(period_ma)+")");

//--- setting buffer arrays as timeseries

   ArraySetAsSeries(BufferOSC,true);

   ArraySetAsSeries(BufferColors,true);

   ArraySetAsSeries(BufferMA,true);

   ArraySetAsSeries(BufferPrice,true);

//--- create handles

   ResetLastError();

   handle_ma=iMA(NULL,PERIOD_CURRENT,1,0,MODE_SMA,InpAppliedPrice);

   if(handle_ma==INVALID_HANDLE)

     {

      Print("The iMA(1) object was not created: Error ",GetLastError());

      return INIT_FAILED;

     }

//---

   return(INIT_SUCCEEDED);

  }

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

//| 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[])

  {

//--- #AB0=>2:0 <0AA82>2 1CD5@>2 :0: B09<A5@89

   ArraySetAsSeries(close,true);

   ArraySetAsSeries(tick_volume,true);

//--- @>25@:0 :>;8G5AB20 4>ABC?=KE 10@>2

   if(rates_total<fmax(period_ma,4)) return 0;

//--- @>25@:0 8 @0AGQB :>;8G5AB20 ?@>AG8BK205<KE 10@>2

   int limit=rates_total-prev_calculated;

   if(limit>1)

     {

      limit=rates_total-3;

      ArrayInitialize(BufferOSC,EMPTY_VALUE);

      ArrayInitialize(BufferColors,2);

      ArrayInitialize(BufferMA,0);

      ArrayInitialize(BufferPrice,0);

     }

//--- >43>B>2:0 40==KE

   int copied=0,count=(limit==0 ? 1 : rates_total);

   copied=CopyBuffer(handle_ma,0,0,count,BufferPrice);

   if(copied!=count) return 0;

   for(int i=limit; i>=0; i--)

      CalculateMA(rates_total,InpMethod,period_ma,i,BufferPrice,BufferMA,tick_volume);

   

//---  0AGQB 8=48:0B>@0

   for(int i=limit; i>=0; i--)

     {

      BufferOSC[i]=(BufferMA[i]!=0 ? (close[i]/BufferMA[i])-1.0 : 0);

      BufferColors[i]=(BufferOSC[i]>BufferOSC[i+1] ? 0 : BufferOSC[i]<BufferOSC[i+1] ? 1 : 2);

     }

   

//--- return value of prev_calculated for next call

   return(rates_total);

  }

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

//| GetMA                                                            |

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

template<typename T>

void CalculateMA(const int rates_total,const ENUM_MA_METHOD_EXT method,const int period,const int shift,const double &buffer_price[],double &buffer_ma[],T &tick_volume[])

  {

   switch(method)

     {

      case METHOD_EMA            : buffer_ma[shift] = EMA(rates_total,buffer_price[shift],buffer_ma[shift+1],period,shift);      break;

      case METHOD_SMMA           : buffer_ma[shift] = SMMA(rates_total,buffer_price,buffer_ma[shift+1],period,shift);            break;

      case METHOD_LWMA           : buffer_ma[shift] = LWMA(rates_total,buffer_price,period,shift);                               break;

      case METHOD_WILDER_EMA     : buffer_ma[shift] = Wilder(rates_total,buffer_price[shift],buffer_ma[shift+1],period,shift);   break;

      case METHOD_SINE_WMA       : buffer_ma[shift] = SineWMA(rates_total,buffer_price,period,shift);                            break;

      case METHOD_TRI_MA         : buffer_ma[shift] = TriMA(rates_total,buffer_price,period,shift);                              break;

      case METHOD_LSMA           : buffer_ma[shift] = LSMA(rates_total,buffer_price,period,shift);                               break;

      case METHOD_HMA            : buffer_ma[shift] = HMA(rates_total,buffer_price,period,shift);                                break;

      case METHOD_ZL_EMA         : buffer_ma[shift] = ZeroLagEMA(rates_total,buffer_price,buffer_ma[shift+1],period,shift);      break;

      case METHOD_ITREND_MA      : buffer_ma[shift] = ITrend(rates_total,buffer_price,buffer_ma,period,shift);                   break;

      case METHOD_MOVING_MEDIAN  : buffer_ma[shift] = Median(rates_total,buffer_price,period,shift);                             break;

      case METHOD_GEO_MEAN       : buffer_ma[shift] = GeoMean(rates_total,buffer_price,period,shift);                            break;

      case METHOD_REMA           : buffer_ma[shift] = REMA(rates_total,buffer_price[shift],buffer_ma,period,0.5,shift);          break;

      case METHOD_ILRS           : buffer_ma[shift] = ILRS(rates_total,buffer_price,period,shift);                               break;

      case METHOD_IE_2           : buffer_ma[shift] = IE2(rates_total,buffer_price,period,shift);                                break;

      case METHOD_TRI_MA_GEN     : buffer_ma[shift] = TriMAgen(rates_total,buffer_price,period,shift);                           break;

      case METHOD_VWMA           : buffer_ma[shift] = VWMA(rates_total,buffer_price,tick_volume,period,shift);                   break;

      default /*METHOD_SMA*/     : buffer_ma[shift] = SMA(rates_total,buffer_price,period,shift);                                break;

     }

  }

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

//| Simple Moving Average                                            |

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

double SMA(const int rates_total,const double &array_src[],const int period,const int shift)

  {

   if(period<1 || shift>rates_total-period-1)

      return array_src[shift];

   double sum=0;

   for(int i=0; i<period; i++)

      sum+=array_src[shift+i];

   return(sum/period);

  }

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

//| Exponential Moving Average                                       |

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

double EMA(const int rates_total,const double price,const double prev,const int period,const int shift)

  {

   return(shift>=rates_total-2 || period<1 ? price : prev+2.0/(1+period)*(price-prev));

  }

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

//| Wilder Exponential Moving Average                                |

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

double Wilder(const int rates_total,const double price,const double prev,const int period,const int shift)

  {

   return(shift>=rates_total-2 || period<1 ? price : prev+(price-prev)/period);

  }

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

//| Linear Weighted Moving Average                                   |

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

double LWMA(const int rates_total,const double &array_src[],const int period,const int shift)

  {

   if(period<1 || shift>rates_total-period-1)

      return 0;

   double sum=0;

   double weight=0;

   for(int i=0; i<period; i++)

     {

      weight+=(period-i);

      sum+=array_src[shift+i]*(period-i);

     }

   return(weight>0 ? sum/weight : 0);

  }

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

//| Sine Weighted Moving Average                                     |

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

double SineWMA(const int rates_total,const double &array_src[],const int period,const int shift)

  {

   if(period<1 || shift>rates_total-period-1)

      return 0;

   double sum=0;

   double weight=0;

   for(int i=0; i<period; i++)

     {

      weight+=sin(M_PI*(i+1)/(period+1));

      sum+=array_src[shift+i]*sin(M_PI*(i+1)/(period+1));

     }

   return(weight>0 ? sum/weight : 0);

  }

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

//| Triangular Moving Average                                        |

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

double TriMA(const int rates_total,const double &array_src[],const int period,const int shift)

  {

   if(period<1 || shift>rates_total-period-1)

      return 0;

   double sma;

   int len=(int)ceil((period+1)*0.5);

   double sum=0;

   for(int i=0; i<len; i++)

     {

      sma=SMA(rates_total,array_src,len,shift+i);

      sum+=sma;

     }

   double trima=sum/len;

   return(trima);

  }

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

//| Least Square Moving Average                                      |

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

double LSMA(const int rates_total,const double &array_src[],const int period,const int shift)

  {

   if(period<1 || shift>rates_total-period-1)

      return 0;

   double sum=0;

   for(int i=period; i>=1; i--)

      sum+=(i-(period+1)/3.0)*array_src[shift+period-i];

   double lsma=sum*6.0/(period*(period+1));

   return(lsma);

  }

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

//| Smoothed Moving Average                                          |

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

double SMMA(const int rates_total,const double &array_src[],const double prev,const int period,const int shift)

  {

   if(period<1 || shift>rates_total-period-1)

      return 0;

   double smma=0;

   if(shift==rates_total-period-1)

      smma=SMA(rates_total,array_src,period,shift);

   else if(shift<rates_total-period-1)

     {

      double sum=0;

      for(int i = 0; i<period; i++)

         sum+=array_src[shift+i+1];

      smma=(sum-prev+array_src[shift])/period;

     }

   return smma;

  }

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

//| Hull Moving Average by Alan Hull                                 |

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

double HMA(const int rates_total,const double &array_src[],const int period,const int shift)

  {

   if(period<1 || shift>rates_total-period-1)

      return 0;

   double tmp1[];

   double hma=0;

   int len=(int)sqrt(period);

   ArrayResize(tmp1,len);

   if(shift==rates_total-period-1)

      hma=array_src[shift];

   else if(shift<rates_total-period-1)

     {

      for(int i=0; i<len; i++)

         tmp1[i]=2.0*LWMA(rates_total,array_src,period/2,shift+i)-LWMA(rates_total,array_src,period,shift+i);

      hma=LWMA(rates_total,tmp1,len,0);

     }

   return hma;

  }

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

//| Zero-Lag Exponential Moving Average                              |

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

double ZeroLagEMA(const int rates_total,const double &array_src[],const double prev,const int period,const int shift)

  {

   double alfa=2.0/(1+period);

   int lag=int(0.5*(period-1));

   return(shift>=rates_total-lag ? array_src[shift] : alfa*(2.0*array_src[shift]-array_src[shift+lag])+(1-alfa)*prev);

  }

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

//| Instantaneous Trendline by J.Ehlers                              |

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

double ITrend(const int rates_total,const double &array_src[],const double &array[],const int period,const int shift)

  {

   double alfa=2.0/(period+1);

   return

     (

      shift<rates_total-7 ?

      (alfa-0.25*alfa*alfa)*array_src[shift]+0.5*alfa*alfa*array_src[shift+1]-(alfa-0.75*alfa*alfa)*array_src[shift+2]+2*(1-alfa)*array[shift+1]-(1-alfa)*(1-alfa)*array[shift+2]:

      (array_src[shift]+2*array_src[shift+1]+array_src[shift+2])/4.0

     );

  }

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

//| Moving Median                                                    |

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

double Median(const int rates_total,const double &array_src[],const int period,const int shift)

  {

   if(period<2 || shift>rates_total-period-1)

      return 0;

   double array[];

   ArrayResize(array,period);

   for(int i=0; i<period; i++)

      array[i]=array_src[shift+i];

   ArraySort(array);

   int num=(int)round((period-1)/2);

   return(fmod(period,2)>0 ? array_src[num] : 0.5*(array_src[num]+array[num+1]));

  }

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

//| Geometric Mean                                                   |

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

double GeoMean(const int rates_total,const double &array_src[],const int period,const int shift)

  {

   double gmean=0;

   if(shift<rates_total-period)

     {

      gmean=pow(array_src[shift],1.0/period);

      for(int i=1; i<period; i++)

         gmean*=pow(array_src[shift+i],1.0/period);

     }

   return(gmean);

  }

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

//| Regularized EMA by Chris Satchwell                               |

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

double REMA(const int rates_total,const double price,const double &array[],const int period,const double lambda,const int shift)

  {

   double alpha=2.0/(period+1);

   return(shift>=rates_total-3 ? price : (array[shift+1]*(1+2*lambda)+alpha*(price-array[shift+1])-lambda*array[shift+2])/(1+lambda));

  }

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

//| Integral of Linear Regression Slope                              |

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

double ILRS(const int rates_total,const double &array_src[],const int period,const int shift)

  {

   if(period<1 || shift>rates_total-period-1)

      return 0;

   double sum=period*(period-1)*0.5;

   double sum2=(period-1)*period*(2*period-1)/6.0;

   double sum1=0;

   double sumy=0;

   for(int i=0; i<period; i++)

     {

      sum1+=i*array_src[shift+i];

      sumy+=array_src[shift+i];

     }

   double num1=period*sum1-sum*sumy;

   double num2=sum*sum-period*sum2;

   double slope=(num2!=0 ? num1/num2 : 0);

   return(slope+SMA(rates_total,array_src,period,shift));

  }

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

//| Combination of LSMA and ILRS                                     |

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

double IE2(const int rates_total,const double &array_src[],const int period,const int shift)

  {

   if(period<1 || shift>rates_total-period-1)

      return 0;

   return(0.5*(ILRS(rates_total,array_src,period,shift)+LSMA(rates_total,array_src,period,shift)));

  }

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

//| Triangular Moving Average generalized by J.Ehlers                |

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

double TriMAgen(const int rates_total,const double &array_src[],const int period,const int shift)

  {

   if(period<1 || shift>rates_total-period-1)

      return 0;

   int len1=(int)floor((period+1)*0.5);

   int len2=(int)ceil((period+1)*0.5);

   double sum=0;

   for(int i=0; i<len2; i++)

      sum+=SMA(rates_total,array_src,len1,shift+i);

   return(sum/len2);

  }

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

//| Volume-Weighted Moving Average                                   |

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

template<typename T>

double VWMA(const int rates_total,const double &array_src[],const T &volume[],const int period,const int shift)

  {

   if(period<1 || shift>rates_total-period-1)

      return 0;

   double sum=0;

   double weight=0;

   for(int i=0; i<period; i++)

     {

      weight+=(double)volume[shift+i];

      sum+=array_src[shift+i]*volume[shift+i];

     }

   return(weight>0 ? sum/weight : 0);

  }

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

//| >72@0I05B =08<5=>20=85 <5B>40                                 |

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

string MethodExtToString(ENUM_MA_METHOD_EXT method)

  {

   switch(method)

     {

      case METHOD_EMA            :  return "EMA";

      case METHOD_SMMA           :  return "SMMA";

      case METHOD_LWMA           :  return "LWMA";

      case METHOD_WILDER_EMA     :  return "WMA";

      case METHOD_SINE_WMA       :  return "SinMA";

      case METHOD_TRI_MA         :  return "TriMA";

      case METHOD_LSMA           :  return "LSMA";

      case METHOD_HMA            :  return "HMA";

      case METHOD_ZL_EMA         :  return "ZLMA";

      case METHOD_ITREND_MA      :  return "ITrendMA";

      case METHOD_MOVING_MEDIAN  :  return "Median";

      case METHOD_GEO_MEAN       :  return "GeoMean";

      case METHOD_REMA           :  return "REMA";

      case METHOD_ILRS           :  return "ILRS";

      case METHOD_IE_2           :  return "IE2";

      case METHOD_TRI_MA_GEN     :  return "TriMAgen";

      case METHOD_VWMA           :  return "VWMA";

      default                    :  return "SMA";

     }

  }

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

//| >72@0I05B =08<5=>20=85 F5=K                                     |

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

string PriceToString(ENUM_APPLIED_PRICE price)

  { 

   return StringSubstr(EnumToString(price),6); 

  }

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