Random walk index - jma smoothed

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

#property copyright   "© mladen, 2018"

#property link        "mladenfx@gmail.com"

#property version     "1.00"

#property description "Random walk index - JMA smoothed"

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

#property indicator_separate_window

#property indicator_buffers 2

#property indicator_plots   2

#property indicator_label1  "Random walk index up"

#property indicator_type1   DRAW_LINE

#property indicator_color1  clrLimeGreen

#property indicator_style1  STYLE_SOLID

#property indicator_width1  2

#property indicator_label2  "Random walk index down"

#property indicator_type2   DRAW_LINE

#property indicator_color2  clrPaleVioletRed

#property indicator_style2  STYLE_SOLID

#property indicator_width2  2

//

//---

//

input int    inpRwiLength    = 25;  // Random walk index period

input int    inpSmoothPeriod = 14;  // Smooth period

input double inpSmoothPhase  = 0;   // Smooth phase



double rwiUp[],rwiDn[];



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

//                                                                  

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

int OnInit()

{

   SetIndexBuffer(0,rwiUp,INDICATOR_DATA); 

   SetIndexBuffer(1,rwiDn,INDICATOR_DATA); 

   IndicatorSetString(INDICATOR_SHORTNAME," JMA smoothed Random walk index ("+string(inpRwiLength)+","+string(inpSmoothPeriod)+")");

   return(INIT_SUCCEEDED);

}

//

//---

//

double ranges[];

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 (ArraySize(ranges)!=rates_total) ArrayResize(ranges,rates_total);

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

   {

      ranges[i] = (i>2) ? MathMax(high[i-1],close[i-2])-MathMin(low[i-1],close[i-2]) : 0;

         double trwiUp = 0;

         double trwiDo = 0;

         double atr    = ranges[i];

         

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

         {

            atr += ranges[i-k];  

            //

            //---

            //

            double denominator  = (atr/(k+1.0))*MathSqrt(k+1);

               if (denominator != 0)

               {

                  trwiUp = MathMax(trwiUp,(high[i] - low[i-k]) / denominator);

                  trwiDo = MathMax(trwiDo,(high[i-k] - low[i]) / denominator);

               }

         }

         rwiUp[i] = iSmooth(trwiUp,inpSmoothPeriod,inpSmoothPhase,i,rates_total,0);

         rwiDn[i] = iSmooth(trwiDo,inpSmoothPeriod,inpSmoothPhase,i,rates_total,1);

   }      

   return(rates_total);

}

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

//| Custom functions                                                 |

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

#define _smoothInstances     2

#define _smoothInstancesSize 10

double m_wrk[][_smoothInstances*_smoothInstancesSize];

int    m_size=0;

//

//---

//

double iSmooth(double price,double length,double phase,int r,int bars,int instanceNo=0)

  {

   #define bsmax  5

   #define bsmin  6

   #define volty  7

   #define vsum   8

   #define avolty 9



   if(ArrayRange(m_wrk,0)!=bars) ArrayResize(m_wrk,bars); if(ArrayRange(m_wrk,0)!=bars) return(price); instanceNo*=_smoothInstancesSize;

   if(r==0 || length<=1) { int k=0; for(; k<7; k++) m_wrk[r][instanceNo+k]=price; for(; k<10; k++) m_wrk[r][instanceNo+k]=0; return(price); }



//

//---

//



   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   = price - m_wrk[r-1][instanceNo+bsmax];

   double del2   = price - m_wrk[r-1][instanceNo+bsmin];

   int    forBar = MathMin(r,10);



   m_wrk[r][instanceNo+volty]=0;

   if(MathAbs(del1) > MathAbs(del2)) m_wrk[r][instanceNo+volty] = MathAbs(del1);

   if(MathAbs(del1) < MathAbs(del2)) m_wrk[r][instanceNo+volty] = MathAbs(del2);

   m_wrk[r][instanceNo+vsum]=m_wrk[r-1][instanceNo+vsum]+(m_wrk[r][instanceNo+volty]-m_wrk[r-forBar][instanceNo+volty])*0.1;



//

//---

//



   m_wrk[r][instanceNo+avolty]=m_wrk[r-1][instanceNo+avolty]+(2.0/(MathMax(4.0*length,30)+1.0))*(m_wrk[r][instanceNo+vsum]-m_wrk[r-1][instanceNo+avolty]);

   double dVolty=(m_wrk[r][instanceNo+avolty]>0) ? m_wrk[r][instanceNo+volty]/m_wrk[r][instanceNo+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) m_wrk[r][instanceNo+bsmax] = price; else m_wrk[r][instanceNo+bsmax] = price - Kv*del1;

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



//

//---

//



   double corr  = MathMax(MathMin(phase,100),-100)/100.0 + 1.5;

   double beta  = 0.45*(length-1)/(0.45*(length-1)+2);

   double alpha = MathPow(beta,pow2);



   m_wrk[r][instanceNo+0] = price + alpha*(m_wrk[r-1][instanceNo+0]-price);

   m_wrk[r][instanceNo+1] = (price - m_wrk[r][instanceNo+0])*(1-beta) + beta*m_wrk[r-1][instanceNo+1];

   m_wrk[r][instanceNo+2] = (m_wrk[r][instanceNo+0] + corr*m_wrk[r][instanceNo+1]);

   m_wrk[r][instanceNo+3] = (m_wrk[r][instanceNo+2] - m_wrk[r-1][instanceNo+4])*MathPow((1-alpha),2) + MathPow(alpha,2)*m_wrk[r-1][instanceNo+3];

   m_wrk[r][instanceNo+4] = (m_wrk[r-1][instanceNo+4] + m_wrk[r][instanceNo+3]);



//

//---

//



   return(m_wrk[r][instanceNo+4]);



   #undef bsmax

   #undef bsmin

   #undef volty

   #undef vsum

   #undef avolty

  }