Triple Jurik smooth

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

#property copyright "© mladen, 2018"

#property link      "mladenfx@gmail.com"

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

#property indicator_chart_window

#property indicator_buffers 6

#property indicator_plots   3

#property indicator_label1  "Smooth high"

#property indicator_type1   DRAW_COLOR_LINE

#property indicator_color1  clrDarkGray,clrDeepPink,clrLimeGreen

#property indicator_width1  2

#property indicator_label2  "Smooth close"

#property indicator_type2   DRAW_COLOR_LINE

#property indicator_color2  clrDarkGray,clrDeepPink,clrLimeGreen

#property indicator_width2  2

#property indicator_label3  "Smooth low"

#property indicator_type3   DRAW_COLOR_LINE

#property indicator_color3  clrDarkGray,clrDeepPink,clrLimeGreen

#property indicator_width3  2

//--- input parameters

input double inpSmoothPeriod=27;  // Smooth period

input double inpSmoothPhase=0;    // Smooth phase

//--- indicator buffers

double valu[],valuc[],valc[],valcc[],vald[],valdc[];

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

//| Custom indicator initialization function                         | 

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

int OnInit()

  {

//--- indicator buffers mapping

   SetIndexBuffer(0,valu,INDICATOR_DATA);

   SetIndexBuffer(1,valuc,INDICATOR_COLOR_INDEX);

   SetIndexBuffer(2,valc,INDICATOR_DATA);

   SetIndexBuffer(3,valcc,INDICATOR_COLOR_INDEX);

   SetIndexBuffer(4,vald,INDICATOR_DATA);

   SetIndexBuffer(5,valdc,INDICATOR_COLOR_INDEX);

//--- indicator short name assignment

   IndicatorSetString(INDICATOR_SHORTNAME,"Triple Jurik smooth ("+(string)inpSmoothPeriod+")");

//---

   return (INIT_SUCCEEDED);

  }

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

//| Custom indicator de-initialization function                      |

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

void OnDeinit(const int reason)

  {

  }

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

//| 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);

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

     {

      valu[i] = iSmooth[0].CalculateValue(high[i] ,inpSmoothPeriod,inpSmoothPhase,i,rates_total);

      valc[i] = iSmooth[1].CalculateValue(close[i],inpSmoothPeriod,inpSmoothPhase,i,rates_total);

      vald[i] = iSmooth[2].CalculateValue(low[i]  ,inpSmoothPeriod,inpSmoothPhase,i,rates_total);

      valuc[i] = (i>0) ? (valu[i]>valu[i-1]) ? 2 : (valu[i]<valu[i-1]) ? 1 : valuc[i-1] : 0;

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

      valdc[i] = (i>0) ? (vald[i]>vald[i-1]) ? 2 : (vald[i]<vald[i-1]) ? 1 : valdc[i-1] : 0;

     }

   return(rates_total);

  }

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

//| Custom functions                                                 |

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

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

//| Custom classes                                                   |

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

class CJurikSmooth

  {

private:

   int               m_size;

   double            m_wrk[][10];



   //

   //---

   //



public :



                     CJurikSmooth(void) : m_size(0) { return; }

                    ~CJurikSmooth(void)             { return; }



   double CalculateValue(double price,double length,double phase,int r,int bars)

     {

      #define bsmax  5

      #define bsmin  6

      #define volty  7

      #define vsum   8

      #define avolty 9



      if (m_size!=bars) ArrayResize(m_wrk,bars); if (ArrayRange(m_wrk,0)!=bars) return(price); m_size=bars;

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

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

      int    forBar = MathMin(r,10);



      m_wrk[r][volty]=0;

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

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

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



      //

      //---

      //



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

      double dVolty=(m_wrk[r][avolty]>0) ? m_wrk[r][volty]/m_wrk[r][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][bsmax] = price; else m_wrk[r][bsmax] = price - Kv*del1;

      if(del2 < 0) m_wrk[r][bsmin] = price; else m_wrk[r][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][0] = price + alpha*(m_wrk[r-1][0]-price);

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

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

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

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



      //

      //---

      //



      return(m_wrk[r][4]);



      #undef bsmax

      #undef bsmin

      #undef volty

      #undef vsum

      #undef avolty

     }

  };

CJurikSmooth iSmooth[3];

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