Trend trigger factor JMA

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

#property copyright   "© mladen, 2018"

#property link        "mladenfx@gmail.com"

#property version     "1.00"

#property description "Trend trigger factor JMA"

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

#property indicator_separate_window

#property indicator_buffers 5

#property indicator_plots   3

#property indicator_label1  "Filling"

#property indicator_type1   DRAW_FILLING

#property indicator_color1  clrDeepSkyBlue,clrSandyBrown

#property indicator_label2  "Trend trigger factor levels"

#property indicator_type2   DRAW_LINE

#property indicator_color2  clrDarkGray

#property indicator_width2  0

#property indicator_type3   DRAW_COLOR_LINE

#property indicator_color3  clrDarkGray,clrDodgerBlue,clrOrangeRed

#property indicator_width3  2

//

//---

//

input int      inpPeriod        = 15;            // Period

input int      inpJmaPeriod     = 5;             // JMA smoothing period

input double   inpLevels        = 100;           // Levels at +- (nnn)



double val[],valc[],lev[],fup[],fdn[];

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

//| Custom indicator initialization function                         | 

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

int OnInit()

  {

   SetIndexBuffer(0,fup,INDICATOR_DATA);     

   SetIndexBuffer(1,fdn,INDICATOR_DATA);

   SetIndexBuffer(2,lev,INDICATOR_DATA); 

   SetIndexBuffer(3,val,INDICATOR_DATA); 

   SetIndexBuffer(4,valc,INDICATOR_COLOR_INDEX);

   IndicatorSetString(INDICATOR_SHORTNAME,"Trend trigger factor (JMA)("+(string)inpPeriod+","+(string)inpJmaPeriod+")");

   return(INIT_SUCCEEDED);

  }

void OnDeinit(const int reason) { return; }

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

//| 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[])

  {

   if(Bars(_Symbol,_Period)<rates_total) return(prev_calculated);

   //

   //---

   //

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

     {

         int _start  = MathMax(i-inpPeriod+1,0);

         int _starto = MathMax(i-inpPeriod-inpPeriod+1,0);

         double HighestHighRecent = high[ArrayMaximum(high,_start ,inpPeriod)];

         double HighestHighOlder  = high[ArrayMaximum(high,_starto,inpPeriod)];

         double LowestLowRecent   = low [ArrayMinimum(low ,_start ,inpPeriod)];

         double LowestLowOlder    = low [ArrayMinimum(low ,_starto,inpPeriod)];

         double BuyPower  = HighestHighRecent - LowestLowOlder;

         double SellPower = HighestHighOlder  - LowestLowRecent;

         double ttf = (BuyPower+SellPower!=0) ? 100*(BuyPower-SellPower)/(0.5*(BuyPower+SellPower)) : 0;

         val[i]  = iSmooth(ttf,inpJmaPeriod,0,i,rates_total);     

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

         lev[i]  = (val[i]>0) ? inpLevels : (val[i]<0) ? -inpLevels : 0;

         fup[i]  =  val[i];

         fdn[i]  = (val[i]>0) ? MathMin(val[i],inpLevels) : MathMax(val[i],-inpLevels);

     }

   return(i);

  }



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

//| Custom functions                                                 |

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

#define _smoothInstances     1

#define _smoothInstancesSize 10

double m_wrk[][_smoothInstances*_smoothInstancesSize];

int    m_size=0;

//

//---

//

double iSmooth(double price,double length,double phase,int r,int bars,int instanceNo=0)

  {

   #define bsmax  5

   #define bsmin  6

   #define volty  7

   #define vsum   8

   #define avolty 9



   if(ArrayRange(m_wrk,0)!=bars) ArrayResize(m_wrk,bars); if(ArrayRange(m_wrk,0)!=bars) return(price); instanceNo*=_smoothInstancesSize;

   if(r==0 || length<=1) { int k=0; for(; k<7; k++) m_wrk[r][instanceNo+k]=price; for(; k<10; k++) m_wrk[r][instanceNo+k]=0; return(price); }



//

//---

//



   double len1   = MathMax(MathLog(MathSqrt(0.5*(length-1)))/MathLog(2.0)+2.0,0);

   double pow1   = MathMax(len1-2.0,0.5);

   double del1   = price - m_wrk[r-1][instanceNo+bsmax];

   double del2   = price - m_wrk[r-1][instanceNo+bsmin];

   int    forBar = MathMin(r,10);



   m_wrk[r][instanceNo+volty]=0;

   if(MathAbs(del1) > MathAbs(del2)) m_wrk[r][instanceNo+volty] = MathAbs(del1);

   if(MathAbs(del1) < MathAbs(del2)) m_wrk[r][instanceNo+volty] = MathAbs(del2);

   m_wrk[r][instanceNo+vsum]=m_wrk[r-1][instanceNo+vsum]+(m_wrk[r][instanceNo+volty]-m_wrk[r-forBar][instanceNo+volty])*0.1;



//

//---

//



   m_wrk[r][instanceNo+avolty]=m_wrk[r-1][instanceNo+avolty]+(2.0/(MathMax(4.0*length,30)+1.0))*(m_wrk[r][instanceNo+vsum]-m_wrk[r-1][instanceNo+avolty]);

   double dVolty=(m_wrk[r][instanceNo+avolty]>0) ? m_wrk[r][instanceNo+volty]/m_wrk[r][instanceNo+avolty]: 0;

   if(dVolty > MathPow(len1,1.0/pow1)) dVolty = MathPow(len1,1.0/pow1);

   if(dVolty < 1)                      dVolty = 1.0;



//

//---

//



   double pow2 = MathPow(dVolty, pow1);

   double len2 = MathSqrt(0.5*(length-1))*len1;

   double Kv   = MathPow(len2/(len2+1), MathSqrt(pow2));



   if(del1 > 0) m_wrk[r][instanceNo+bsmax] = price; else m_wrk[r][instanceNo+bsmax] = price - Kv*del1;

   if(del2 < 0) m_wrk[r][instanceNo+bsmin] = price; else m_wrk[r][instanceNo+bsmin] = price - Kv*del2;



//

//---

//



   double corr  = MathMax(MathMin(phase,100),-100)/100.0 + 1.5;

   double beta  = 0.45*(length-1)/(0.45*(length-1)+2);

   double alpha = MathPow(beta,pow2);



   m_wrk[r][instanceNo+0] = price + alpha*(m_wrk[r-1][instanceNo+0]-price);

   m_wrk[r][instanceNo+1] = (price - m_wrk[r][instanceNo+0])*(1-beta) + beta*m_wrk[r-1][instanceNo+1];

   m_wrk[r][instanceNo+2] = (m_wrk[r][instanceNo+0] + corr*m_wrk[r][instanceNo+1]);

   m_wrk[r][instanceNo+3] = (m_wrk[r][instanceNo+2] - m_wrk[r-1][instanceNo+4])*MathPow((1-alpha),2) + MathPow(alpha,2)*m_wrk[r-1][instanceNo+3];

   m_wrk[r][instanceNo+4] = (m_wrk[r-1][instanceNo+4] + m_wrk[r][instanceNo+3]);



//

//---

//



   return(m_wrk[r][instanceNo+4]);



   #undef bsmax

   #undef bsmin

   #undef volty

   #undef vsum

   #undef avolty

  }    

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