Volatility pivot

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#property copyright "mladen"

#property link      "mladenfx@gmail.com"

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#property indicator_chart_window

#property indicator_buffers 3

#property indicator_plots   1

#property indicator_label1  "Volatility pivot"

#property indicator_type1   DRAW_COLOR_LINE

#property indicator_color1  clrDarkGray,clrDodgerBlue,clrSandyBrown

//

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//

input int    inpAtrRange  = 100; // ATR period

input double inpAtrFactor = 3;   // ATR factor

input int    inpMaRange   = 10;  // EMA period



double val[],valc[],atr[];

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

//

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

int OnInit()

{

   SetIndexBuffer(0,val);

   SetIndexBuffer(1,valc,INDICATOR_COLOR_INDEX);

   SetIndexBuffer(2,atr,INDICATOR_CALCULATIONS);

   return(INIT_SUCCEEDED);

}

void OnDeinit(const int reason)

  {

  }

//

//--

//

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[] )

{ 

   double _alpha = 2.0 / (inpMaRange+1.0);

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

   {

      double _atr = 0; for (int k=0; k<inpAtrRange && (i-k)>=0; k++) _atr += (i>0) ? MathMax(high[i],close[i-1])-MathMin(low[i],close[i-1]) : high[i]-low[i];  _atr /= inpAtrRange;

      atr[i] = (i>0) ? atr[i-1] + _alpha*(_atr - atr[i-1]) : _atr;

      val[i] = close[i];

      double _deltaStop = atr[i]*inpAtrFactor;

      while (i>0 && true)

      {

         if (close[i]  == val[i-1]) { val[i] = val[i-1]; break; }

         if (close[i-1] < val[i-1] && close[i]<val[i-1]) { val[i] = MathMin(val[i-1], close[i] + _deltaStop); break; }

         if (close[i-1] > val[i-1] && close[i]>val[i-1]) { val[i] = MathMax(val[i-1], close[i] - _deltaStop); break; }         

         if (close[i]   > val[i-1]) 

              val[i] = close[i] - _deltaStop; 

         else val[i] = close[i] + _deltaStop;

         break;

      }

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

   }

   return(rates_total);

}