QWMA_ca

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

#property copyright   "© mladen, 2016, MetaQuotes Software Corp."

#property link        "www.forex-tsd.com, www.mql5.com"

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#property indicator_chart_window

#property indicator_buffers 8

#property indicator_plots   4

#property indicator_label1  "qwma zone"

#property indicator_type1   DRAW_FILLING

#property indicator_color1  clrGainsboro

#property indicator_label2  "qwma middle"

#property indicator_type2   DRAW_LINE

#property indicator_style2  STYLE_DOT

#property indicator_color2  clrGray

#property indicator_label3  "qwma original"

#property indicator_type3   DRAW_LINE

#property indicator_color3  clrGray

#property indicator_label4  "qwma"

#property indicator_type4   DRAW_COLOR_LINE

#property indicator_color4  clrDarkGray,clrLimeGreen,clrDarkOrange

#property indicator_width4  3



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enum enPrices

{

   pr_close,      // Close

   pr_open,       // Open

   pr_high,       // High

   pr_low,        // Low

   pr_median,     // Median

   pr_typical,    // Typical

   pr_weighted,   // Weighted

   pr_average,    // Average (high+low+open+close)/4

   pr_medianb,    // Average median body (open+close)/2

   pr_tbiased,    // Trend biased price

   pr_tbiased2,   // Trend biased (extreme) price

   pr_haclose,    // Heiken ashi close

   pr_haopen ,    // Heiken ashi open

   pr_hahigh,     // Heiken ashi high

   pr_halow,      // Heiken ashi low

   pr_hamedian,   // Heiken ashi median

   pr_hatypical,  // Heiken ashi typical

   pr_haweighted, // Heiken ashi weighted

   pr_haaverage,  // Heiken ashi average

   pr_hamedianb,  // Heiken ashi median body

   pr_hatbiased,  // Heiken ashi trend biased price

   pr_hatbiased2  // Heiken ashi trend biased (extreme) price

};

enum chgColor

{

   chg_onSlope,  // change color on slope change

   chg_onLevel,  // Change color on outer levels cross

   chg_onMiddle, // Change color on middle level cross

   chg_onQwma    // Change color on QWMA original cross

};

input ENUM_TIMEFRAMES TimeFrame        = PERIOD_CURRENT; // Time frame

input int             MaPeriod         = 25;             // MA period

input double          MaSpeed          =  2;             // MA "speed"

input enPrices        MaPrice          = pr_close;       // Average price

input int             CorrectionPeriod =  0;             // Deviations period (<1 same as ma period, -1 no correction)

input chgColor        ColorOn          = chg_onLevel;    // Color change on :

input int             FlPeriod         = 25;             // Period for finding floating levels

input double          FlUp             = 90;             // Upper level %

input double          FlDown           = 10;             // Lower level %

input bool            AlertsOn         = false;          // Turn alerts on?

input bool            AlertsOnCurrent  = true;           // Alert on current bar?

input bool            AlertsMessage    = true;           // Display messageas on alerts?

input bool            AlertsSound      = false;          // Play sound on alerts?

input bool            AlertsEmail      = false;          // Send email on alerts?

input bool            AlertsNotify     = false;          // Send push notification on alerts?

input bool            Interpolate      = true;           // Interpolate when in multi time frame mode?



double qwma[],qwmac[],mid[],fup[],fdn[],count[],work[];

int     _mtfHandle = INVALID_HANDLE; ENUM_TIMEFRAMES timeFrame;

#define _mtfCall iCustom(_Symbol,timeFrame,getIndicatorName(),PERIOD_CURRENT,MaPeriod,MaSpeed,MaPrice,CorrectionPeriod,ColorOn,FlPeriod,FlUp,FlDown,AlertsOn,AlertsOnCurrent,AlertsMessage,AlertsSound,AlertsEmail,AlertsNotify)



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int OnInit()

{

   SetIndexBuffer(0,fup  ,INDICATOR_DATA);

   SetIndexBuffer(1,fdn  ,INDICATOR_DATA);

   SetIndexBuffer(2,mid  ,INDICATOR_DATA);

   SetIndexBuffer(3,work ,INDICATOR_DATA);

   SetIndexBuffer(4,qwma ,INDICATOR_DATA);

   SetIndexBuffer(5,qwmac,INDICATOR_COLOR_INDEX);

   SetIndexBuffer(6,count,INDICATOR_CALCULATIONS);

         timeFrame = MathMax(_Period,TimeFrame);

   IndicatorSetString(INDICATOR_SHORTNAME,timeFrameToString(timeFrame)+" qwma floating levels ("+(string)MaPeriod+","+(string)MaSpeed+")");

   return(0);

}



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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);

   

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      if (timeFrame!=_Period)

      {

         double result[]; datetime currTime[],nextTime[]; 

            if (!timeFrameCheck(timeFrame,time))         return(0);

            if (_mtfHandle==INVALID_HANDLE) _mtfHandle = _mtfCall;

            if (_mtfHandle==INVALID_HANDLE)              return(0);

            if (CopyBuffer(_mtfHandle,6,0,1,result)==-1) return(0); 

      

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                #define _mtfRatio PeriodSeconds(timeFrame)/PeriodSeconds(_Period)

                int k,n,i = MathMin(MathMax(prev_calculated-1,0),MathMax(rates_total-(int)result[0]*_mtfRatio-1,0));

                for (; i<rates_total && !_StopFlag; i++ )

                {

                  #define _mtfCopy(_buff,_buffNo) if (CopyBuffer(_mtfHandle,_buffNo,time[i],1,result)==-1) break; _buff[i] = result[0]

                          _mtfCopy(fup  ,0);

                          _mtfCopy(fdn  ,1);

                          _mtfCopy(mid  ,2);

                          _mtfCopy(work ,3);

                          _mtfCopy(qwma ,4);

                          _mtfCopy(qwmac,5);

                   

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                          #define _mtfInterpolate(_buff) _buff[i-k] = _buff[i]+(_buff[i-n]-_buff[i])*k/n

                          if (!Interpolate) continue;  CopyTime(_Symbol,timeFrame,time[i  ],1,currTime); 

                              if (i<(rates_total-1)) { CopyTime(_Symbol,timeFrame,time[i+1],1,nextTime); if (currTime[0]==nextTime[0]) continue; }

                              for(n=1; (i-n)> 0 && time[i-n] >= currTime[0]; n++) continue;	

                              for(k=1; (i-k)>=0 && k<n; k++)

                              {

                                  _mtfInterpolate(fup);

                                  _mtfInterpolate(fdn);

                                  _mtfInterpolate(mid);

                                  _mtfInterpolate(work);

                                  _mtfInterpolate(qwma);

                              }                                 

                }

                return(i);

      }

   

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   int colorOn          = (FlPeriod>1) ? ColorOn : chg_onSlope;

   int deviationsPeriod = (CorrectionPeriod>0) ? CorrectionPeriod : (CorrectionPeriod<0) ? 0 : MaPeriod ;

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

   {

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

             work[i] = iQwma(price,MaPeriod,MaSpeed,i,rates_total);

               double v1 =         MathPow(iDeviation(price,deviationsPeriod,false,i,rates_total),2);

               double v2 = (i>0) ? MathPow(qwma[i-1]-work[i],2) : 0;

               double c  = (v2<v1||v2==0) ? 0 : 1-v1/v2;

             qwma[i] = (i>0) ? qwma[i-1] + c*(work[i]-qwma[i-1]) : work[i];

             

         

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            int    start = MathMax(i-FlPeriod+1,0);

            double min   = qwma[ArrayMinimum(qwma,start,FlPeriod)];

            double max   = qwma[ArrayMaximum(qwma,start,FlPeriod)];

            double range = max-min;

                  fup[i] = min+FlUp  *range/100.0;

                  fdn[i] = min+FlDown*range/100.0;

                  mid[i] = (fup[i]+fdn[i])*0.5;

                  

            switch (colorOn)

            {

               case chg_onLevel :  qwmac[i] = (qwma[i]>fup[i])  ? 1 : (qwma[i]<fdn[i])  ? 2 : (i>0) ? (qwma[i]==qwma[i-1]) ? qwmac[i-1] : 0 : 0; break;

               case chg_onMiddle : qwmac[i] = (qwma[i]>mid[i])  ? 1 : (qwma[i]<mid[i])  ? 2 : (i>0) ? (qwma[i]==qwma[i-1]) ? qwmac[i-1] : 0 : 0; break;

               case chg_onQwma   : qwmac[i] = (qwma[i]<work[i]) ? 1 : (qwma[i]>work[i]) ? 2 : (i>0) ? (qwma[i]==qwma[i-1]) ? qwmac[i-1] : 0 : 0; break;

               default :           qwmac[i] = (i>0) ? (qwma[i]>qwma[i-1]) ? 1 : (qwma[i]<qwma[i-1]) ? 2 : (qwma[i]==qwma[i-1]) ? qwmac[i-1] : 0 : 0;

            }                  

   }

   count[rates_total-1] = MathMax(rates_total-prev_calculated+1,1);

   manageAlerts(time,qwmac,rates_total);

   return(rates_total);

}





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double workDev[];

double iDeviation(double value, int length, bool isSample, int i, int bars)

{

   if (ArraySize(workDev)!=bars) ArrayResize(workDev,bars); workDev[i] = value;

                 

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      double oldMean   = value;

      double newMean   = value;

      double squares   = 0; int k;

      for (k=1; k<length && (i-k)>=0; k++)

      {

         newMean  = (workDev[i-k]-oldMean)/(k+1)+oldMean;

         squares += (workDev[i-k]-oldMean)*(workDev[i-k]-newMean);

         oldMean  = newMean;

      }

      return(MathSqrt(squares/MathMax(k-isSample,1)));

}





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void manageAlerts(const datetime& _time[], double& _trend[], int bars)

{

   if (AlertsOn)

   {

      int whichBar = bars-1; if (!AlertsOnCurrent) whichBar = bars-2; datetime time1 = _time[whichBar];

      if (_trend[whichBar] != _trend[whichBar-1])

      {

         string add = "slope changed to";

         switch (ColorOn)

         {

            case chg_onLevel  : add = "outer level crossed"; break;

            case chg_onMiddle : add = "outer middle crossed";

         }                  

         if (_trend[whichBar] == 1) doAlert(time1,add+" up");

         if (_trend[whichBar] == 2) doAlert(time1,add+" down");

      }         

   }

}   



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void doAlert(datetime forTime, string doWhat)

{

   static string   previousAlert="nothing";

   static datetime previousTime;

   

   if (previousAlert != doWhat || previousTime != forTime) 

   {

      previousAlert  = doWhat;

      previousTime   = forTime;



      //

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      string message = TimeToString(TimeLocal(),TIME_SECONDS)+" "+_Symbol+" qwma floating levels state changed to "+doWhat;

         if (AlertsMessage) Alert(message);

         if (AlertsEmail)   SendMail(_Symbol+" qwma floating levels",message);

         if (AlertsNotify)  SendNotification(message);

         if (AlertsSound)   PlaySound("alert2.wav");

   }

}



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#define _qwmaInstances 3

double workQwma[][_qwmaInstances];

double iQwma(double price, double period, double speed, int r, int bars, int instanceNo=0)

{

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

   

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   workQwma[r][instanceNo] = price;

      double sumw = MathPow(period,speed);

      double sum  = sumw*price;



      for(int k=1; k<period && (r-k)>=0; k++)

      {

         double weight = MathPow(period-k,speed);

                sumw  += weight;

                sum   += weight*workQwma[r-k][instanceNo];  

      }             

      return(sum/sumw);

}



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#define _pricesInstances 1

#define _pricesSize      4

double workHa[][_pricesInstances*_pricesSize];

double getPrice(int tprice, const double& open[], const double& close[], const double& high[], const double& low[], int i,int _bars, int instanceNo=0)

{

  if (tprice>=pr_haclose)

   {

      if (ArrayRange(workHa,0)!= _bars) ArrayResize(workHa,_bars); instanceNo*=_pricesSize;

         

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         double haOpen;

         if (i>0)

                haOpen  = (workHa[i-1][instanceNo+2] + workHa[i-1][instanceNo+3])/2.0;

         else   haOpen  = (open[i]+close[i])/2;

         double haClose = (open[i] + high[i] + low[i] + close[i]) / 4.0;

         double haHigh  = MathMax(high[i], MathMax(haOpen,haClose));

         double haLow   = MathMin(low[i] , MathMin(haOpen,haClose));



         if(haOpen  <haClose) { workHa[i][instanceNo+0] = haLow;  workHa[i][instanceNo+1] = haHigh; } 

         else                 { workHa[i][instanceNo+0] = haHigh; workHa[i][instanceNo+1] = haLow;  } 

                                workHa[i][instanceNo+2] = haOpen;

                                workHa[i][instanceNo+3] = haClose;

         //

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         switch (tprice)

         {

            case pr_haclose:     return(haClose);

            case pr_haopen:      return(haOpen);

            case pr_hahigh:      return(haHigh);

            case pr_halow:       return(haLow);

            case pr_hamedian:    return((haHigh+haLow)/2.0);

            case pr_hamedianb:   return((haOpen+haClose)/2.0);

            case pr_hatypical:   return((haHigh+haLow+haClose)/3.0);

            case pr_haweighted:  return((haHigh+haLow+haClose+haClose)/4.0);

            case pr_haaverage:   return((haHigh+haLow+haClose+haOpen)/4.0);

            case pr_hatbiased:

               if (haClose>haOpen)

                     return((haHigh+haClose)/2.0);

               else  return((haLow+haClose)/2.0);        

            case pr_hatbiased2:

               if (haClose>haOpen)  return(haHigh);

               if (haClose<haOpen)  return(haLow);

                                    return(haClose);        

         }

   }

   

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   switch (tprice)

   {

      case pr_close:     return(close[i]);

      case pr_open:      return(open[i]);

      case pr_high:      return(high[i]);

      case pr_low:       return(low[i]);

      case pr_median:    return((high[i]+low[i])/2.0);

      case pr_medianb:   return((open[i]+close[i])/2.0);

      case pr_typical:   return((high[i]+low[i]+close[i])/3.0);

      case pr_weighted:  return((high[i]+low[i]+close[i]+close[i])/4.0);

      case pr_average:   return((high[i]+low[i]+close[i]+open[i])/4.0);

      case pr_tbiased:   

               if (close[i]>open[i])

                     return((high[i]+close[i])/2.0);

               else  return((low[i]+close[i])/2.0);        

      case pr_tbiased2:   

               if (close[i]>open[i]) return(high[i]);

               if (close[i]<open[i]) return(low[i]);

                                     return(close[i]);        

   }

   return(0);

}



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string getIndicatorName()

{

   string path = MQL5InfoString(MQL5_PROGRAM_PATH);

   string data = TerminalInfoString(TERMINAL_DATA_PATH)+"\\MQL5\\Indicators\\";

   string name = StringSubstr(path,StringLen(data));

      return(name);

}



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int    _tfsPer[]={PERIOD_M1,PERIOD_M2,PERIOD_M3,PERIOD_M4,PERIOD_M5,PERIOD_M6,PERIOD_M10,PERIOD_M12,PERIOD_M15,PERIOD_M20,PERIOD_M30,PERIOD_H1,PERIOD_H2,PERIOD_H3,PERIOD_H4,PERIOD_H6,PERIOD_H8,PERIOD_H12,PERIOD_D1,PERIOD_W1,PERIOD_MN1};

string _tfsStr[]={"1 minute","2 minutes","3 minutes","4 minutes","5 minutes","6 minutes","10 minutes","12 minutes","15 minutes","20 minutes","30 minutes","1 hour","2 hours","3 hours","4 hours","6 hours","8 hours","12 hours","daily","weekly","monthly"};

string timeFrameToString(int period)

{

   if (period==PERIOD_CURRENT) 

       period = _Period;   

         int i; for(i=0;i<ArraySize(_tfsPer);i++) if(period==_tfsPer[i]) break;

   return(_tfsStr[i]);   

}



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bool timeFrameCheck(ENUM_TIMEFRAMES _timeFrame,const datetime& time[])

{

   static bool warned=false;

   if (time[0]<SeriesInfoInteger(_Symbol,_timeFrame,SERIES_FIRSTDATE))

   {

      datetime startTime,testTime[]; 

         if (SeriesInfoInteger(_Symbol,PERIOD_M1,SERIES_TERMINAL_FIRSTDATE,startTime))

         if (startTime>0)                       { CopyTime(_Symbol,_timeFrame,time[0],1,testTime); SeriesInfoInteger(_Symbol,_timeFrame,SERIES_FIRSTDATE,startTime); }

         if (startTime<=0 || startTime>time[0]) { Comment(MQL5InfoString(MQL5_PROGRAM_NAME)+"\nMissing data for "+timeFrameToString(_timeFrame)+" time frame\nRe-trying on next tick"); warned=true; return(false); }

   }

   if (warned) { Comment(""); warned=false; }

   return(true);

}