Standard Deviation smoothing

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

//|                                 Standard Deviation smoothing.mq5 |

//|                              Copyright © 2018, Vladimir Karputov |

//|                                           http://wmua.ru/slesar/ |

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

#property copyright "Copyright © 2018, Vladimir Karputov"

#property link      "http://wmua.ru/slesar/"

#property version   "1.000"

#include <MovingAverages.mqh>

#property indicator_separate_window

#property indicator_buffers 2

#property indicator_plots   1

//--- the iStdDev plot

#property indicator_label1  "StdDev smoothing"

#property indicator_type1   DRAW_LINE

#property indicator_color1  clrGreenYellow

#property indicator_style1  STYLE_SOLID

#property indicator_width1  2

//--- input parameters 

input int                  Inp_StdDev_ma_period    = 20;          // period of averaging

input int                  Inp_StdDev_ma_shift     = 0;           // shift

input ENUM_MA_METHOD       Inp_StdDev_ma_method    = MODE_SMA;    // type of smoothing

input ENUM_APPLIED_PRICE   Inp_StdDev_applied_price= PRICE_CLOSE; // type of price

//--- indicator buffer 

double StdDevBuffer[];

double StdDevBufferTemp[];

int    handle_iStdDev;        // variable for storing the handle_iStdDev of the iStdDev indicator 

string short_name;            // name of the indicator on a chart 

int    bars_calculated=0;     // we will keep the number of values in the Standard Deviation indicator 

int    m_weightsum;

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

//| Custom indicator initialization function                         | 

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

int OnInit()

  {

   m_weightsum=0;

//--- assignment of array to indicator buffer 

   SetIndexBuffer(0,StdDevBuffer,INDICATOR_DATA);

   SetIndexBuffer(1,StdDevBufferTemp,INDICATOR_CALCULATIONS);

//--- set shift 

   PlotIndexSetInteger(0,PLOT_SHIFT,Inp_StdDev_ma_shift);

//--- create handle_iStdDev of the indicator iStdDev   

   handle_iStdDev=iStdDev(Symbol(),Period(),Inp_StdDev_ma_period,

                          Inp_StdDev_ma_shift,Inp_StdDev_ma_method,Inp_StdDev_applied_price);

//--- if the handle_iStdDev is not created 

   if(handle_iStdDev==INVALID_HANDLE)

     {

      //--- tell about the failure and output the error code 

      PrintFormat("Failed to create handle_iStdDev of the iStdDev indicator for the symbol %s/%s, error code %d",

                  Symbol(),

                  EnumToString(Period()),

                  GetLastError());

      //--- the indicator is stopped early 

      return(INIT_FAILED);

     }

//--- show the symbol/timeframe the Standard Deviation indicator is calculated for 

   short_name=StringFormat("StdDev smoothing(%d)",Inp_StdDev_ma_period);

   IndicatorSetString(INDICATOR_SHORTNAME,short_name);

//--- normal initialization of the indicator   

   return(INIT_SUCCEEDED);

  }

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

//| 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[])

  {

//--- number of values copied from the iStdDev indicator 

   int values_to_copy;

//--- determine the number of values calculated in the indicator 

   int calculated=BarsCalculated(handle_iStdDev);

   if(calculated<=0)

     {

      PrintFormat("BarsCalculated() returned %d, error code %d",calculated,GetLastError());

      return(0);

     }

//--- if it is the first start of calculation of the indicator or if the number of values in the iStdDev indicator changed 

//---or if it is necessary to calculated the indicator for two or more bars (it means something has changed in the price history) 

   if(prev_calculated==0 || calculated!=bars_calculated || rates_total>prev_calculated+1)

     {

      //--- if the iStdDevBuffer array is greater than the number of values in the iStdDev indicator for symbol/period, then we don't copy everything  

      //--- otherwise, we copy less than the size of indicator buffers 

      if(calculated>rates_total)

         values_to_copy=rates_total;

      else

         values_to_copy=calculated;

     }

   else

     {

      //--- it means that it's not the first time of the indicator calculation, and since the last call of OnCalculate() 

      //--- for calculation not more than one bar is added 

      values_to_copy=(rates_total-prev_calculated)+1;

     }

//--- fill the array with values of the Standard Deviation indicator 

//--- if FillArrayFromBuffer returns false, it means the information is nor ready yet, quit operation 

   if(!FillArrayFromBuffer(StdDevBufferTemp,Inp_StdDev_ma_shift,handle_iStdDev,values_to_copy))

      return(0);

   if(prev_calculated==0)

      for(int i=0;i<Inp_StdDev_ma_period-1;i++)

         StdDevBufferTemp[i]=0.0;

   switch(Inp_StdDev_ma_method)

     {

      case  MODE_SMA:

         SimpleMAOnBuffer(rates_total,prev_calculated,0,3,StdDevBufferTemp,StdDevBuffer);

         break;

      case  MODE_EMA:

         ExponentialMAOnBuffer(rates_total,prev_calculated,0,3,StdDevBufferTemp,StdDevBuffer);

         break;

      case  MODE_SMMA:

         SmoothedMAOnBuffer(rates_total,prev_calculated,0,3,StdDevBufferTemp,StdDevBuffer);

         break;

      default:

         LinearWeightedMAOnBuffer(rates_total,prev_calculated,0,9,StdDevBufferTemp,StdDevBuffer,m_weightsum);

         break;

     }

//--- memorize the number of values in the Standard Deviation indicator 

   bars_calculated=calculated;

//--- return the prev_calculated value for the next call 

   return(rates_total);

  }

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

//| Filling indicator buffers from the iStdDev indicator             | 

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

bool FillArrayFromBuffer(double &std_buffer[],  // indicator buffer of the Standard Deviation line 

                         int std_shift,         // shift of the Standard Deviation line 

                         int ind_handle,        // handle_iStdDev of the iStdDev indicator 

                         int amount             // number of copied values 

                         )

  {

//--- reset error code 

   ResetLastError();

//--- fill a part of the iStdDevBuffer array with values from the indicator buffer that has 0 index 

   if(CopyBuffer(ind_handle,0,-std_shift,amount,std_buffer)<0)

     {

      //--- if the copying fails, tell the error code 

      PrintFormat("Failed to copy data from the iStdDev indicator, error code %d",GetLastError());

      //--- quit with zero result - it means that the indicator is considered as not calculated 

      return(false);

     }

//--- everything is fine 

   return(true);

  }

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

//| Indicator deinitialization function                              | 

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

void OnDeinit(const int reason)

  {

//--- clear the chart after deleting the indicator 

   Comment("");

  }

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