RMO_v1

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

#property copyright   "© mladen, 2018"

#property link        "mladenfx@gmail.com"

#property description "Recursive Median Oscillator"

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

#property indicator_separate_window

#property indicator_buffers 3

#property indicator_plots   1

#property indicator_label1  "RMO"

#property indicator_type1   DRAW_COLOR_LINE

#property indicator_color1  clrDarkGray,clrMediumSeaGreen,clrOrangeRed

#property indicator_width1  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 enColorOn

{

   clr_onSlope, // Color change on slope change

   clr_onZero   // Color change on zero cross

};

input enColorOn inpColorOn = clr_onZero; // Color change mode



//

//---

//



double val[],valc[],prices[];



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

// Custom indicator initialization function

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

//

//

//



int OnInit()

{

   //

   //--- indicator buffers mapping

   //

         SetIndexBuffer(0,val   ,INDICATOR_DATA);

         SetIndexBuffer(1,valc  ,INDICATOR_COLOR_INDEX);

         SetIndexBuffer(2,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[])

{

   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 (inpColorOn==clr_onSlope)

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

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

   }

   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;