Range oscillator + bands smoothed

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

#property copyright   "mladen"

#property link        "mladenfx@gmail.com"

#property description "Range oscillator with bands (smoothed version)"

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

#property indicator_separate_window

#property indicator_buffers 5

#property indicator_plots   4

#property indicator_label1  "Band up"

#property indicator_type1   DRAW_LINE

#property indicator_color1  clrDodgerBlue

#property indicator_style1  STYLE_DOT

#property indicator_label2  "Average range oscillator"

#property indicator_type2   DRAW_LINE

#property indicator_color2  clrDarkGray

#property indicator_style2  STYLE_DOT

#property indicator_label3  "Band down"

#property indicator_type3   DRAW_LINE

#property indicator_color3  clrSandyBrown

#property indicator_style3  STYLE_DOT

#property indicator_label4  "Range oscillator"

#property indicator_type4   DRAW_COLOR_LINE

#property indicator_color4  clrDarkGray,clrDodgerBlue,clrSandyBrown

#property indicator_width4  2

//--- input parameters

input int     inpRngPeriod       = 40;  // Range oscillator period

input int     inpBandsPeriod     = 20;  // Bands period 

input double  inpBandsDeviations = 2.0; // Bands deviation

input int     inpSmtPeriod       = 14;  // Smoothing period

//--- buffers declarations

double val[],valc[],bandu[],bandm[],bandd[];

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

//| Custom indicator initialization function                         |

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

int OnInit()

  {

//--- indicator buffers mapping

   SetIndexBuffer(0,bandu,INDICATOR_DATA);

   SetIndexBuffer(1,bandm,INDICATOR_DATA);

   SetIndexBuffer(2,bandd,INDICATOR_DATA);

   SetIndexBuffer(3,val,INDICATOR_DATA);

   SetIndexBuffer(4,valc,INDICATOR_COLOR_INDEX);

//---

   IndicatorSetString(INDICATOR_SHORTNAME,"Range oscillator + bands (smoothed)("+(string)inpRngPeriod+","+(string)inpBandsPeriod+","+(string)inpSmtPeriod+")");

   return (INIT_SUCCEEDED);

  }

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

//| Custom indicator de-initialization function                      |

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

void OnDeinit(const int reason)

  {

  }

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

//| 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[])

  {

   if(Bars(_Symbol,_Period)<rates_total) return(prev_calculated);

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

     {

      int    _start = MathMax(i-inpRngPeriod+1,0);

      double _max   = high[ArrayMaximum(high,_start,inpRngPeriod)];

      double _min   = low [ArrayMinimum(low ,_start,inpRngPeriod)];

      double _med   = (high[i]+low[i])/2;

      val[i]   = iSmooth((_max!=_min) ? 100*(_med-_min)/(_max-_min) : 0,inpSmtPeriod,0,i,rates_total,0);;

      bandm[i] = iSma(val[i],inpBandsPeriod,i,rates_total);

      double _dev=iDeviation(val[i],inpBandsPeriod,i,rates_total);

      bandu[i] = bandm[i]+inpBandsDeviations*_dev;

      bandd[i] = bandm[i]-inpBandsDeviations*_dev;

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

     }

   return (i);

  }



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

//| Custom functions                                                 |

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

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

//| Custom functions                                                 |

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

#define _smoothInstances     1

#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

  }    

//

//---

//  

double workSma[][1];

//

//---

//  

double iSma(double price,int period,int r,int _bars,int instanceNo=0)

  {

   if(ArrayRange(workSma,0)!=_bars) ArrayResize(workSma,_bars);



   workSma[r][instanceNo]=price;

   double avg=price; int k=1; for(; k<period && (r-k)>=0; k++) avg+=workSma[r-k][instanceNo];

   return(avg/(double)k);

  }

//

//---

//  

double workDev[];

//

//---

//

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

  {

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

   double sumx=0,sumxx=0; for(int k=0; k<length && (i-k)>=0; sumx+=workDev[i-k],sumxx+=workDev[i-k]*workDev[i-k],k++) {}

   return(MathSqrt((sumxx-sumx*sumx/length)/MathMax(length-isSample,1)));

  }

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