RMO (fl)

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

#property copyright   "© mladen, 2018"

#property link        "mladenfx@gmail.com"

#property description "Recursive Median Oscillator"

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

#property indicator_separate_window

#property indicator_buffers 6

#property indicator_plots   4

#property indicator_label1  "Upper level"

#property indicator_type1   DRAW_LINE

#property indicator_color1  clrGray

#property indicator_style1  STYLE_DOT

#property indicator_label2  "Middle level"

#property indicator_type2   DRAW_LINE

#property indicator_color2  clrGray

#property indicator_style2  STYLE_DOT

#property indicator_label3  "Lower level"

#property indicator_type3   DRAW_LINE

#property indicator_color3  clrGray

#property indicator_style3  STYLE_DOT

#property indicator_label4  "RMO"

#property indicator_type4   DRAW_COLOR_LINE

#property indicator_color4  clrDarkGray,clrMediumSeaGreen,clrOrangeRed

#property indicator_width4  2



//

//

//



input int                inpPeriod     = 12;          // Low pass period

input int                inpPeriod2    = 30;          // High pass period

input int                inpPeriod3    = 5;           // Median period

input ENUM_APPLIED_PRICE inpPrice      = PRICE_CLOSE; // Price

enum enColorChangeOn

{

   cchange_onSlope,  // Change color on slope change

   cchange_onLevels, // Change color on outer levels cross

   cchange_onZero    // Change color on middle level cross

};

input int                inpFlPeriod    = 25;               // Floating levels period

input double             inpFlLevelUp   = 90;               // Floating levels up %

input double             inpFlLevelDn   = 10;               // Floating levels down %

input enColorChangeOn    inpColorChange = cchange_onLevels; // Color changing mode



//

//---

//



double val[],valc[],levu[],levd[],levm[],prices[];



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

// Custom indicator initialization function

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

//

//

//



int OnInit()

{

   //

   //--- indicator buffers mapping

   //

         SetIndexBuffer(0,levu  ,INDICATOR_DATA);

         SetIndexBuffer(1,levm  ,INDICATOR_DATA);

         SetIndexBuffer(2,levd  ,INDICATOR_DATA);

         SetIndexBuffer(3,val   ,INDICATOR_DATA);

         SetIndexBuffer(4,valc  ,INDICATOR_COLOR_INDEX);

         SetIndexBuffer(5,prices,INDICATOR_CALCULATIONS);

            iRmo.init(inpPeriod,inpPeriod2,inpPeriod3);

   //

   //--- indicator short name assignment

   //

   IndicatorSetString(INDICATOR_SHORTNAME,"RMO ("+(string)inpPeriod+","+(string)inpPeriod2+","+(string)inpPeriod3+")");

   return (INIT_SUCCEEDED);

}

void OnDeinit(const int reason) { }



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

// Custom indicator 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[])

{

   static int    prev_i=-1;

   static double prev_max,prev_min;



   //

   //

   //

   

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

   {

      _setPrice(inpPrice,prices[i],i);

         val[i] =  iRmo.calculate(prices,i);

         if (prev_i!=i)

         {

            prev_i = i; 

            int start    = i-inpFlPeriod+1; if (start<0) start=0;

                prev_max = val[ArrayMaximum(val,start,inpFlPeriod-1)];

                prev_min = val[ArrayMinimum(val,start,inpFlPeriod-1)];

         }

         double max = (val[i] > prev_max) ? val[i] : prev_max;

         double min = (val[i] < prev_min) ? val[i]  : prev_min;

         double range = (max-min)/100.0;

            levu[i] = min+inpFlLevelUp*range;

            levd[i] = min+inpFlLevelDn*range;

            levm[i] = (levu[i]+levd[i])/2;

         

         //

         //

         //

         

         switch (inpColorChange)

         {

            case cchange_onLevels : valc[i] = (val[i]>levu[i]) ? 1 :(val[i]<levd[i]) ? 2 : 0; break;

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

            case cchange_onZero   : valc[i] = (val[i]>levm[i]) ? 1 :(val[i]<levm[i]) ? 2 : 0; break;

         }         

   }

   return(i);

}



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

// Custom functions

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

//

//---

//



class CRmo

{

   private :

      int    m_lowPass_period;

      int    m_highPass_period;

      int    m_median_period;

      int    m_arraySize;

      int    m_1;

      int    m_2;

      double m_alpha1;

      double m_alpha2;

      double m_sort[];

      struct sRmoStruct

      {

         double rm;

         double rmo;

      };

      sRmoStruct m_array[];



   public :

      CRmo(void) { init(1,1,1);                           return; }

     ~CRmo(void) { ArrayFree(m_array); ArrayFree(m_sort); return; }

    

      //

      //

      //



      bool init(int lowPassPeriod, int highPassPeriod, int medianPeriod)

      {

         m_lowPass_period  = (lowPassPeriod>1)  ? lowPassPeriod  : 1;

         m_highPass_period = (highPassPeriod>1) ? highPassPeriod : 1;

         m_median_period   = (medianPeriod>1)   ? medianPeriod   : 1;

         m_alpha1          = (MathCos(      2*M_PI/m_lowPass_period ) + MathSin(      2*M_PI/m_lowPass_period )-1.0)/MathCos(      2*M_PI/m_lowPass_period );

         m_alpha2          = (MathCos(0.707*2*M_PI/m_highPass_period) + MathSin(0.707*2*M_PI/m_highPass_period)-1.0)/MathCos(0.707*2*M_PI/m_highPass_period);

         m_1               = int(m_median_period/2.0);

         m_2               = (2*m_1==m_median_period) ? m_1-1 : m_1;

         

            //

            //---

            //

               

            m_arraySize = 32;

               if (ArrayResize(m_array,m_arraySize)!=m_arraySize)         return(false);

               if (ArrayResize(m_sort ,m_median_period)!=m_median_period) return(false);

                                                                          return(true);

      }

      

      double calculate(double& values[], int i) 

      {       

         int _indC = (i)%m_arraySize;

         if (i>2)

         {

            int _indP  = (i-1)%m_arraySize;

            int _indS  = (i-2)%m_arraySize;

            int _start = i-m_median_period+1; if (_start<0) _start=0;

               ArrayCopy(m_sort,values,0,_start,m_median_period);

               ArraySort(m_sort);



               m_array[_indC].rm  = m_alpha1*(m_sort[m_1]+m_sort[m_2])/2.0+(1-m_alpha1)*m_array[_indP].rm;

               m_array[_indC].rmo = (1-m_alpha2/2.0)*(1-m_alpha2/2.0)*(m_array[_indC].rm-2.0*m_array[_indP].rm+m_array[_indS].rm) + 2.0*(1-m_alpha2)*m_array[_indP].rmo-(1-m_alpha2)*(1-m_alpha2)*m_array[_indS].rmo;

         }

         else m_array[_indC].rm = m_array[_indC].rmo = 0;

         return(m_array[_indC].rmo);

      }

};

CRmo iRmo;