PA adaptive EMA

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

#property copyright   "© mladen, 2018"

#property link        "mladenfx@gmail.com"

#property version     "1.00"

#property description "Phase accumulation adaptive EMA"

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

#property indicator_chart_window

#property indicator_buffers 2

#property indicator_plots   1

#property indicator_label1  "EMA"

#property indicator_type1   DRAW_COLOR_LINE

#property indicator_color1  clrDarkGray,clrDeepPink,clrGreen

#property indicator_width1  2



//

//--- input parameters

//



input double             inpCyclesPeriod  = 1;           // EMA cycles period

input double             inpCyclesFilter  = 0;           // EMA cycles filter (<=1 for no filtering)

input ENUM_APPLIED_PRICE inpPrice         = PRICE_CLOSE; // Price



//

//--- indicator buffers

//



double val[],valc[];

double ª_cycleFilter; 



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

// Custom indicator initialization function

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



int OnInit()

{

   SetIndexBuffer(0,val ,INDICATOR_DATA);

   SetIndexBuffer(1,valc,INDICATOR_COLOR_INDEX);

         ª_cycleFilter = (inpCyclesFilter>1) ? inpCyclesFilter : 1;

   IndicatorSetString(INDICATOR_SHORTNAME,"Phase accumulation adaptive EMA ("+(string)inpCyclesPeriod+")");

   return(INIT_SUCCEEDED);

}

void OnDeinit(const int reason) { return; }



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

// Custom iteration function

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

//

//---

//



#define _setPrice(_priceType,_target,_index) \

   { \

   switch(_priceType) \

   { \

      case PRICE_CLOSE:    _target = close[_index];                                              break; \

      case PRICE_OPEN:     _target = open[_index];                                               break; \

      case PRICE_HIGH:     _target = high[_index];                                               break; \

      case PRICE_LOW:      _target = low[_index];                                                break; \

      case PRICE_MEDIAN:   _target = (high[_index]+low[_index])/2.0;                             break; \

      case PRICE_TYPICAL:  _target = (high[_index]+low[_index]+close[_index])/3.0;               break; \

      case PRICE_WEIGHTED: _target = (high[_index]+low[_index]+close[_index]+close[_index])/4.0; break; \

      default : _target = 0; \

   }}

//

//---

//



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[])

{                

   int i=(prev_calculated>0?prev_calculated-1:0); for (; i<rates_total && !_StopFlag; i++)

   {

      double _price; _setPrice(inpPrice,_price,i);

         val[i]  = (i>0) ? val[i-1]+(2.0/(1+iHilbertPhase(_price,ª_cycleFilter,inpCyclesPeriod,i,rates_total)))*(_price-val[i-1]) : _price;

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

   }          

   return(rates_total);

}



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

// Custom functions

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

//

//---

//



#define _checkArrayReserve 500

#define _checkArraySize(_arrayName,_ratesTotal)                            \

     static bool _arrayError     = false;                                  \

   { static int  _arrayResizedTo = 0;                                      \

             if (_arrayResizedTo<_ratesTotal)                              \

             {                                                             \

                  int _res = (_ratesTotal+_checkArrayReserve);             \

                      _res -= ArrayResize(_arrayName,_res);                \

                  if (_res)                                                \

                        _arrayError     = true;                            \

                  else {_arrayResizedTo = _ratesTotal+_checkArrayReserve;  \

              }}                                                           \

   }



//

//---

//

//#define _hilInstances    1

#define _hilInstanceSize 9

#ifdef  _hilInstances

      double  _workHil[][_hilInstances*_hilInstanceSize];

#else   

      double  _workHil[][_hilInstanceSize];

#endif   

double iHilbertPhase(double price, double filter, double cyclesToReach, int i,int bars, int _inst=0)

{

   _checkArraySize(_workHil,bars); if (_arrayError) return(0);

      

   //

   //---

   //



      #define _price      _inst

      #define _smooth     _inst+1

      #define _detrender  _inst+2

      #define _period     _inst+3

      #define _instPeriod _inst+4

      #define _phase      _inst+5

      #define _deltaPhase _inst+6

      #define _Q1         _inst+7

      #define _I1         _inst+8

      

      _inst              *= _hilInstanceSize;

      _workHil[i][_price] = price; 

         if (i<6) { 

                     _workHil[i][_instPeriod] = 1;

                     _workHil[i][_period]     = 1;  

                     _workHil[i][_deltaPhase] = 7;  

                     _workHil[i][_smooth]     = _workHil[i][_Q1] = _workHil[i][_I1] = price; 

                     return(1); 

                  }

                  cyclesToReach *= 360.0;



      //

      //---

      //

      

      #define _calcComp(_ind) ((0.0962*_workHil[i][_ind] + 0.5769*_workHil[i-2][_ind] - 0.5769*_workHil[i-4][_ind] - 0.0962*_workHil[i-6][_ind]) * (0.075*_workHil[i-1][_period] + 0.54))



         _workHil[i][_smooth]     = (4.0*_workHil[i][_price]+3.0*_workHil[i-1][_price]+2.0*_workHil[i-2][_price]+_workHil[i-3][_price])/10.0;

         _workHil[i][_detrender]  = _calcComp(_smooth);

         _workHil[i][_Q1]         = 0.15*_calcComp(_detrender)    +0.85*_workHil[i-1][_Q1];

         _workHil[i][_I1]         = 0.15*_workHil[i-3][_detrender]+0.85*_workHil[i-1][_I1];

         _workHil[i][_phase]      = _workHil[i-1][_phase];

         _workHil[i][_instPeriod] = _workHil[i-1][_instPeriod];



         //

         //---

         //



         if (MathAbs(_workHil[i][_I1])>0)

                     _workHil[i][_phase] = 180.0/M_PI*MathArctan(MathAbs(_workHil[i][_Q1]/_workHil[i][_I1]));

           

         if (_workHil[i][_I1]<0 && _workHil[i][_Q1]>0) _workHil[i][_phase] = 180.0-_workHil[i][_phase];

         if (_workHil[i][_I1]<0 && _workHil[i][_Q1]<0) _workHil[i][_phase] = 180.0+_workHil[i][_phase];

         if (_workHil[i][_I1]>0 && _workHil[i][_Q1]<0) _workHil[i][_phase] = 360.0-_workHil[i][_phase];



         //

         //---

         //

                        

         _workHil[i][_deltaPhase] = _workHil[i-1][_phase]-_workHil[i][_phase];



         if (_workHil[i-1][_phase]<90.0 && _workHil[i][_phase]>270.0) _workHil[i][_deltaPhase] = 360.0+_workHil[i-1][_phase]-_workHil[i][_phase];

         if (_workHil[i][_deltaPhase]>60.0) _workHil[i][_deltaPhase] = 60.0;

         if (_workHil[i][_deltaPhase]< 7.0) _workHil[i][_deltaPhase] =  7.0;

      

         //

         //---

         //

         

         double phaseSum = _workHil[i][_deltaPhase]; int k=1; for (; phaseSum<cyclesToReach && i>=k; k++) phaseSum += _workHil[i-k][_deltaPhase];

           _workHil[i][_instPeriod]= k;

           _workHil[i][_period] = _workHil[i-1][_period]+(2.0/(1.0+filter))*(_workHil[i][_instPeriod]-_workHil[i-1][_period]);

   return (_workHil[i][_period]);



   //

   //---

   //

   

   #undef _price

   #undef _smooth

   #undef _detrender

   #undef _period

   #undef _instPeriod

   #undef _phase

   #undef _deltaPhase

   #undef _Q1

   #undef _I1

}