RSI candles - smoothed

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

#property copyright   "© mladen, 2018"

#property link        "mladenfx@gmail.com"

#property description "Rsi candles smoothed"

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

#property indicator_separate_window

#property indicator_buffers 5

#property indicator_plots   1

#property indicator_label1  "RSI"

#property indicator_type1   DRAW_COLOR_CANDLES

#property indicator_color1  clrGray,clrDodgerBlue,clrCrimson



enum enMaTypes

  {

   ma_sma,    // Simple moving average

   ma_ema,    // Exponential moving average

   ma_smma,   // Smoothed MA

   ma_lwma    // Linear weighted MA

  };

input int       inpRsiPeriod = 32;      // RSI period

input int       inpSmtPeriod = 14;      // Smoothing period (<=1 for no smoothing)

input enMaTypes inpMaMethod  = ma_sma;  // Smoothing method

                                //

//--- indicator buffers

//



double rsio[],rsih[],rsil[],rsic[],rsicl[];

string _avgNames[]={"SMA","EMA","SMMA","LWMA"};

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

// Custom indicator initialization function

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

int OnInit()

  {

   SetIndexBuffer(0,rsio,INDICATOR_DATA);

   SetIndexBuffer(1,rsih,INDICATOR_DATA);

   SetIndexBuffer(2,rsil,INDICATOR_DATA);

   SetIndexBuffer(3,rsic,INDICATOR_DATA);

   SetIndexBuffer(4,rsicl,INDICATOR_COLOR_INDEX);

   IndicatorSetString(INDICATOR_SHORTNAME,"Rsi candles ("+(string)inpRsiPeriod+")("+(string)inpSmtPeriod+" "+_avgNames[inpMaMethod]+" smoothed+)");

   return(INIT_SUCCEEDED);

  }

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

// Custom indicator de-initialization function

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

void OnDeinit(const int reason) { return; }

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

// Custom 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(-1);



//

//---

//



   double _rsi[4];

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

     {

      _rsi[0] = iRsi(iCustomMa(inpMaMethod,open[i] ,inpSmtPeriod,i,rates_total,0),inpRsiPeriod,i,rates_total,0);

      _rsi[1] = iRsi(iCustomMa(inpMaMethod,high[i] ,inpSmtPeriod,i,rates_total,1),inpRsiPeriod,i,rates_total,1);

      _rsi[2] = iRsi(iCustomMa(inpMaMethod,low[i]  ,inpSmtPeriod,i,rates_total,2),inpRsiPeriod,i,rates_total,2);

      _rsi[3] = iRsi(iCustomMa(inpMaMethod,close[i],inpSmtPeriod,i,rates_total,3),inpRsiPeriod,i,rates_total,3);

      rsio[i] = _rsi[0];

      rsic[i] = _rsi[3];

      rsih[i] = _rsi[ArrayMaximum(_rsi,0,4)];

      rsil[i] = _rsi[ArrayMinimum(_rsi,0,4)];

      rsicl[i]=(rsic[i]>rsio[i]) ? 1 :(rsic[i]<rsio[i]) ? 2 : 0;

     }

   return(i);

  }

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

// Custom functions

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

#define _maInstances 4

#define _maWorkBufferx1 _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);

     }

  }

//

//---

//

double workSma[][_maWorkBufferx1];

//

//---

//

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 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]);

  }

//

//---

//

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]);

  }

//

//---

//

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);

  }

//

//---

//

#define rsiInstances 4

#define rsiInstancesSize 3

double workRsi[][rsiInstances*rsiInstancesSize];

#define _price  0

#define _change 1

#define _changa 2

//

//---

//

double iRsi(double price,double period,int r,int bars,int instanceNo=0)

  {

   if(ArrayRange(workRsi,0)!=bars) ArrayResize(workRsi,bars);

   int z=instanceNo*rsiInstancesSize;



//

//---

//



   workRsi[r][z+_price]=price;

   double alpha=1.0/MathMax(period,1);

   if(r<period)

     {

      int k; double sum=0; for(k=0; k<period && (r-k-1)>=0; k++) sum+=MathAbs(workRsi[r-k][z+_price]-workRsi[r-k-1][z+_price]);

      workRsi[r][z+_change] = (workRsi[r][z+_price]-workRsi[0][z+_price])/MathMax(k,1);

      workRsi[r][z+_changa] =                                         sum/MathMax(k,1);

     }

   else

     {

      double change=workRsi[r][z+_price]-workRsi[r-1][z+_price];

      workRsi[r][z+_change] = workRsi[r-1][z+_change] + alpha*(        change  - workRsi[r-1][z+_change]);

      workRsi[r][z+_changa] = workRsi[r-1][z+_changa] + alpha*(MathAbs(change) - workRsi[r-1][z+_changa]);

     }

   return(50.0*(workRsi[r][z+_change]/MathMax(workRsi[r][z+_changa],DBL_MIN)+1));

  }

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