Relative_volatility_index

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

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

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

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#property indicator_separate_window

#property indicator_buffers 9

#property indicator_plots   5



#property indicator_label1  "rvi fill"

#property indicator_type1   DRAW_FILLING

#property indicator_color1  C'209,243,209',C'255,230,183'

#property indicator_label2  "rvi level up"

#property indicator_type2   DRAW_LINE

#property indicator_color2  clrLimeGreen

#property indicator_style2  STYLE_DOT

#property indicator_label3  "rvi middle level"

#property indicator_type3   DRAW_LINE

#property indicator_color3  clrSilver

#property indicator_style3  STYLE_DOT

#property indicator_label4  "rvi level down"

#property indicator_type4   DRAW_LINE

#property indicator_color4  clrOrange

#property indicator_style4  STYLE_DOT

#property indicator_label5  "relative volatility index"

#property indicator_type5   DRAW_COLOR_LINE

#property indicator_color5  clrSilver,clrLimeGreen,clrOrange

#property indicator_style5  STYLE_SOLID

#property indicator_width5  2



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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 enColorOn

{

   cc_onSlope,   // Change color on slope change

   cc_onMiddle,  // Change color on middle line cross

   cc_onLevels   // Change color on outer levels cross

};

enum enStdMethods

{

   std_custSam, // Custom - with sample correction

   std_custNos  // Custom - without sample correction

};

enum enMaTypes

{

   ma_sma,    // Simple moving average

   ma_ema,    // Exponential moving average

   ma_smma,   // Smoothed MA

   ma_lwma    // Linear weighted MA

};



input ENUM_TIMEFRAMES TimeFrame       = PERIOD_CURRENT; // Time frame

input int             VolPeriod       = 14;             // Relative volatility index period

input enPrices        VolPrice        = pr_close;       // Price to use

input enStdMethods    VolStdMethod    = std_custSam;    // Deviation method

input enMaTypes       VolMaMethod     = ma_smma;        // Average method for volatility calculation

input int             VolSmooth       = 10;             // Smoothing period 

input enMaTypes       VolSmoothMethod = ma_ema;         // Average method for volatility smoothing

input int             flLookBack      = 25;             // Floating levels look back period

input double          flLevelUp       = 80;             // Floating levels up level %

input double          flLevelDown     = 20;             // Floating levels down level %

input enColorOn       ColorOn         = cc_onLevels;    // Color change :

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 mtf data ?



double buffer[],levelup[],levelmi[],leveldn[],fill1[],fill2[],trend[],prices[],count[];

ENUM_TIMEFRAMES timeFrame;



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int OnInit()

{

   SetIndexBuffer(0,fill1  ,INDICATOR_DATA);

   SetIndexBuffer(1,fill2  ,INDICATOR_DATA);

   SetIndexBuffer(2,levelup,INDICATOR_DATA);

   SetIndexBuffer(3,levelmi,INDICATOR_DATA);

   SetIndexBuffer(4,leveldn,INDICATOR_DATA);

   SetIndexBuffer(5,buffer ,INDICATOR_DATA);

   SetIndexBuffer(6,trend  ,INDICATOR_COLOR_INDEX);

   SetIndexBuffer(7,prices ,INDICATOR_CALCULATIONS);

   SetIndexBuffer(8,count  ,INDICATOR_CALCULATIONS);

      for (int i=0; i<4; i++) PlotIndexSetInteger(i,PLOT_SHOW_DATA,false);

         timeFrame = MathMax(_Period,TimeFrame);

         IndicatorSetString(INDICATOR_SHORTNAME,timeFrameToString(timeFrame)+" relative volatility index ("+(string)VolPeriod+","+(string)VolSmooth+")");

   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[]; 

         static int indHandle =-1;

                if (indHandle==-1) indHandle = iCustom(_Symbol,timeFrame,getIndicatorName(),PERIOD_CURRENT,VolPeriod,VolPrice,VolStdMethod,VolMaMethod,VolSmooth,VolSmoothMethod,flLookBack,flLevelUp,flLevelDown,ColorOn,alertsOn,alertsOnCurrent,alertsMessage,alertsSound,alertsEmail,alertsNotify);

                if (indHandle==-1)                          return(0);

                if (CopyBuffer(indHandle,8,0,1,result)==-1) return(0); 

             

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                #define _processed EMPTY_VALUE-1

                int i,limit = rates_total-(int)MathMin(result[0]*PeriodSeconds(timeFrame)/PeriodSeconds(_Period),rates_total); 

                for (limit=MathMax(limit,0); limit>0 && !IsStopped(); limit--) if (count[limit]==_processed) break;

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

                {

                   if (CopyBuffer(indHandle,0,time[i],1,result)==-1) break; fill1[i]   = result[0];

                   if (CopyBuffer(indHandle,1,time[i],1,result)==-1) break; fill2[i]   = result[0];

                   if (CopyBuffer(indHandle,2,time[i],1,result)==-1) break; levelup[i] = result[0];

                   if (CopyBuffer(indHandle,3,time[i],1,result)==-1) break; levelmi[i] = result[0];

                   if (CopyBuffer(indHandle,4,time[i],1,result)==-1) break; leveldn[i] = result[0];

                   if (CopyBuffer(indHandle,5,time[i],1,result)==-1) break; buffer[i]  = result[0];

                   if (CopyBuffer(indHandle,6,time[i],1,result)==-1) break; trend[i]   = result[0];

                                                                            count[i]   = _processed;

                   

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                   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; }

                      int n,k;

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

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

                         {

                            fill1[i-k]   = fill1[i]   + (fill1[i-n]  -fill1[i]  )*k/n;

                            fill2[i-k]   = fill2[i]   + (fill2[i-n]  -fill2[i]  )*k/n;

                            levelup[i-k] = levelup[i] + (levelup[i-n]-levelup[i])*k/n;

                            leveldn[i-k] = leveldn[i] + (leveldn[i-n]-leveldn[i])*k/n;

                            levelmi[i-k] = levelmi[i] + (levelmi[i-n]-levelmi[i])*k/n;

                            buffer[i-k]  = buffer[i]  + (buffer[i-n] -buffer[i] )*k/n;

                         }                            

                }     

                if (i!=rates_total) return(0); return(rates_total);

      }



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

   {

         prices[i] = getPrice(VolPrice,open,close,high,low,i,rates_total);

            double pricec =         prices[i];

            double pricep = (i>0) ? prices[i-1] : prices[i];

            double dev    = iDeviation(pricec,VolPeriod,VolStdMethod==std_custSam,i,rates_total);

            double u      = (i>0) ? (pricec>pricep) ? dev : 0 : 0;

            double d      = (i>0) ? (pricec<pricep) ? dev : 0 : 0;

            double avgu   = iCustomMa(VolMaMethod,u,VolPeriod,i,rates_total,0);

            double avgd   = iCustomMa(VolMaMethod,d,VolPeriod,i,rates_total,1);

                     if ((avgu+avgd)!=0)

                           buffer[i] = iCustomMa(VolSmoothMethod,100.0*avgu/(avgu+avgd),VolSmooth,i,rates_total,2);

                     else  buffer[i] = iCustomMa(VolSmoothMethod,50                    ,VolSmooth,i,rates_total,2);            

            if (flLookBack<=1)

            {                     

               levelup[i] = flLevelUp;

               leveldn[i] = flLevelDown;

               levelmi[i] = (levelup[i]+leveldn[i])/2;

            }

            else

            {               

               double min = buffer[i];

               double max = buffer[i];

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

               {

                  min = MathMin(buffer[i-k],min);

                  max = MathMax(buffer[i-k],max);

               }

               double range = max-min;

               levelup[i] = min+flLevelUp  *range/100.0;

               leveldn[i] = min+flLevelDown*range/100.0;

               levelmi[i] = min+0.5*range;

            }               

            switch(ColorOn)

            {

               case cc_onLevels: trend[i] = (buffer[i]>levelup[i])  ? 1 : (buffer[i]<leveldn[i])  ? 2 : 0; break;

               case cc_onMiddle: trend[i] = (buffer[i]>levelmi[i])  ? 1 : (buffer[i]<levelmi[i])  ? 2 : 0; break;

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

            }                  

         fill1[i] =  buffer[i];

         fill2[i] = (buffer[i]>levelup[i]) ? levelup[i] : (buffer[i]<leveldn[i]) ? leveldn[i] : buffer[i];

   }      

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

   manageAlerts(time,trend,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& ttrend[], int bars)

{

   if (!alertsOn) return;

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

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

      {

         if (ttrend[whichBar] == 1) doAlert(time1,"up");

         if (ttrend[whichBar] == 2) doAlert(time1,"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;



      string message = timeFrameToString(_Period)+" "+_Symbol+" at "+TimeToString(TimeLocal(),TIME_SECONDS)+" relative volatility index state changed to "+doWhat;

         if (alertsMessage) Alert(message);

         if (alertsEmail)   SendMail(_Symbol+" relative volatility index",message);

         if (alertsNotify)  SendNotification(message);

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

   }

}



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#define priceInstances 1

double workHa[][priceInstances*4];

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*=4;

         

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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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#define _maInstances 3

#define _maWorkBufferx1 1*_maInstances

#define _maWorkBufferx2 2*_maInstances



double iCustomMa(int mode, double price, double length, int r, int bars, int instanceNo=0)

{

   switch (mode)

   {

      case ma_sma   : return(iSma(price,(int)length,r,bars,instanceNo));

      case ma_ema   : return(iEma(price,length,r,bars,instanceNo));

      case ma_smma  : return(iSmma(price,(int)length,r,bars,instanceNo));

      case ma_lwma  : return(iLwma(price,(int)length,r,bars,instanceNo));

      default       : return(price);

   }

}



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double workSma[][_maWorkBufferx2];

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

{

   if (ArrayRange(workSma,0)!= _bars) ArrayResize(workSma,_bars); instanceNo *= 2; int k;



   workSma[r][instanceNo+0] = price;

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

   workSma[r][instanceNo+1] /= 1.0*k;

   return(workSma[r][instanceNo+1]);

}



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double workEma[][_maWorkBufferx1];

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

{

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



   workEma[r][instanceNo] = price;

   if (r>0 && period>1)

          workEma[r][instanceNo] = workEma[r-1][instanceNo]+(2.0/(1.0+period))*(price-workEma[r-1][instanceNo]);

   return(workEma[r][instanceNo]);

}



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double workSmma[][_maWorkBufferx1];

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

{

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



   workSmma[r][instanceNo] = price;

   if (r>1 && period>1)

          workSmma[r][instanceNo] = workSmma[r-1][instanceNo]+(price-workSmma[r-1][instanceNo])/period;

   return(workSmma[r][instanceNo]);

}



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double workLwma[][_maWorkBufferx1];

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

{

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

   

   workLwma[r][instanceNo] = price; if (period<=1) return(price);

      double sumw = period;

      double sum  = period*price;



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

      {

         double weight = period-k;

                sumw  += weight;

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

      }             

      return(sum/sumw);

}



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string getIndicatorName()

{

   string progPath = MQL5InfoString(MQL5_PROGRAM_PATH); int start=-1;

   while (true)

   {

      int foundAt = StringFind(progPath,"\\",start+1);

      if (foundAt>=0) 

               start = foundAt;

      else  break;     

   }

   string indicatorName = StringSubstr(progPath,start+1);

          indicatorName = StringSubstr(indicatorName,0,StringLen(indicatorName)-4);

   return(indicatorName);

}



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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=ArraySize(_tfsPer)-1;i>=0;i--) if(period==_tfsPer[i]) break;

   return(_tfsStr[i]);   

}