Volatility_Quality_Index

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

//|                                     Volatility_Quality_Index.mq5 |

//|                        Copyright 2018, MetaQuotes Software Corp. |

//|                                                 https://mql5.com |

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

#property copyright "Copyright 2018, MetaQuotes Software Corp."

#property link      "https://mql5.com"

#property version   "1.00"

#property description "Volatility Quality Index indicator"

#property indicator_separate_window

#property indicator_buffers 7

#property indicator_plots   2

//--- plot UP

#property indicator_label1  "VQI Up"

#property indicator_type1   DRAW_ARROW

#property indicator_color1  clrGreen

#property indicator_style1  STYLE_SOLID

#property indicator_width1  1

//--- plot DN

#property indicator_label2  "VQI Down"

#property indicator_type2   DRAW_ARROW

#property indicator_color2  clrRed

#property indicator_style2  STYLE_SOLID

#property indicator_width2  1

//--- input parameters

input uint           InpPeriod      =  7;          // Period

input ENUM_MA_METHOD InpMethod      =  MODE_SMA;   // Method

input uint           InpSmoothing   =  1;          // Smoothing

input uint           InpFilter      =  5;          // Filter

//--- defines

#define              COUNT            (2)

//--- indicator buffers

double         BufferUP[];

double         BufferDN[];

double         BufferVQ[];

double         BufferMAO[];

double         BufferMAH[];

double         BufferMAL[];

double         BufferMAC[];

//--- global variables

string         prefix;

int            wnd;

int            period;

int            period_sm;

int            filter;

int            handle_maO;

int            handle_maH;

int            handle_maL;

int            handle_maC;

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

//| Custom indicator initialization function                         |

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

int OnInit()

  {

//--- set global variables

   prefix=MQLInfoString(MQL_PROGRAM_NAME)+"_";

   wnd=ChartWindowFind();

   period=int(InpPeriod<1 ? 1 : InpPeriod);

   period_sm=int(InpSmoothing<1 ? 1 : InpSmoothing);

   filter=int(InpFilter);

//---

   SizeByScale();

   Descriptions();

//--- indicator buffers mapping

   SetIndexBuffer(0,BufferUP,INDICATOR_DATA);

   SetIndexBuffer(1,BufferDN,INDICATOR_DATA);

   SetIndexBuffer(2,BufferVQ,INDICATOR_CALCULATIONS);

   SetIndexBuffer(3,BufferMAO,INDICATOR_CALCULATIONS);

   SetIndexBuffer(4,BufferMAH,INDICATOR_CALCULATIONS);

   SetIndexBuffer(5,BufferMAL,INDICATOR_CALCULATIONS);

   SetIndexBuffer(6,BufferMAC,INDICATOR_CALCULATIONS);

//--- setting a code from the Wingdings charset as the property of PLOT_ARROW

   for(int i=0; i<COUNT; i++)

      PlotIndexSetInteger(i,PLOT_ARROW,167);

//--- setting indicator parameters

   IndicatorSetString(INDICATOR_SHORTNAME,"Volatility Quality Index ("+(string)period+","+(string)period_sm+","+(string)filter+")");

   IndicatorSetInteger(INDICATOR_DIGITS,1);

   IndicatorSetInteger(INDICATOR_HEIGHT,60);

   IndicatorSetDouble(INDICATOR_MINIMUM,0);

   IndicatorSetDouble(INDICATOR_MAXIMUM,1);

//--- setting buffer arrays as timeseries

   ArraySetAsSeries(BufferUP,true);

   ArraySetAsSeries(BufferDN,true);

   ArraySetAsSeries(BufferVQ,true);

   ArraySetAsSeries(BufferMAO,true);

   ArraySetAsSeries(BufferMAH,true);

   ArraySetAsSeries(BufferMAL,true);

   ArraySetAsSeries(BufferMAC,true);

//--- create MA's handles

   ResetLastError();

   handle_maO=iMA(NULL,PERIOD_CURRENT,period,0,InpMethod,PRICE_OPEN);

   if(handle_maO==INVALID_HANDLE)

     {

      Print("The iMA(",(string)period,") by PRICE_OPEN object was not created: Error ",GetLastError());

      return INIT_FAILED;

     }

   handle_maH=iMA(NULL,PERIOD_CURRENT,period,0,InpMethod,PRICE_HIGH);

   if(handle_maH==INVALID_HANDLE)

     {

      Print("The iMA(",(string)period,") by PRICE_HIGH object was not created: Error ",GetLastError());

      return INIT_FAILED;

     }

   handle_maL=iMA(NULL,PERIOD_CURRENT,period,0,InpMethod,PRICE_LOW);

   if(handle_maL==INVALID_HANDLE)

     {

      Print("The iMA(",(string)period,") by PRICE_LOW object was not created: Error ",GetLastError());

      return INIT_FAILED;

     }

   handle_maC=iMA(NULL,PERIOD_CURRENT,period,0,InpMethod,PRICE_CLOSE);

   if(handle_maC==INVALID_HANDLE)

     {

      Print("The iMA(",(string)period,") by PRICE_CLOSE object was not created: Error ",GetLastError());

      return INIT_FAILED;

     }

//---

   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[])

  {

//--- @>25@:0 8 @0AGQB :>;8G5AB20 ?@>AG8BK205<KE 10@>2

   if(rates_total<fmax(period_sm,4) || Point()==0) return 0;

//--- @>25@:0 8 @0AGQB :>;8G5AB20 ?@>AG8BK205<KE 10@>2

   int limit=rates_total-prev_calculated;

   if(limit>1)

     {

      limit=rates_total-period_sm-2;

      ArrayInitialize(BufferUP,EMPTY_VALUE);

      ArrayInitialize(BufferDN,EMPTY_VALUE);

      ArrayInitialize(BufferVQ,0);

      ArrayInitialize(BufferMAO,0);

      ArrayInitialize(BufferMAH,0);

      ArrayInitialize(BufferMAL,0);

      ArrayInitialize(BufferMAC,0);

     }

//--- >43>B>2:0 40==KE

   int count=(limit>1 ? rates_total : 1),copied=0;

   copied=CopyBuffer(handle_maO,0,0,count,BufferMAO);

   if(copied!=count) return 0;

   copied=CopyBuffer(handle_maH,0,0,count,BufferMAH);

   if(copied!=count) return 0;

   copied=CopyBuffer(handle_maL,0,0,count,BufferMAL);

   if(copied!=count) return 0;

   copied=CopyBuffer(handle_maC,0,0,count,BufferMAC);

   if(copied!=count) return 0;



//---  0AGQB 8=48:0B>@0

   for(int i=limit; i>=0 && !IsStopped(); i--)

     {

      double o=BufferMAO[i];

      double h=BufferMAH[i];

      double l=BufferMAL[i];

      double c=BufferMAC[i];

      double c2=BufferMAC[i+period_sm];



      BufferDN[i]=BufferUP[i]=EMPTY_VALUE;

      double max=fmax(h-l,fmax(h-c2,c2-l));

      if(max!=0 && h-l!=0)

        {

         double VQnew=fabs(((c-c2)/max+(c-o)/(h-l))*0.5)*((c-c2+(c-o))*0.5);

         BufferVQ[i]=(fabs(VQnew)<filter*Point() ? BufferVQ[i+1] : VQnew);

         if(BufferVQ[i]>0)

           {

            BufferUP[i]=0.5;

            BufferDN[i]=EMPTY_VALUE;

           }

         else

           {

            BufferDN[i]=0.5;

            BufferUP[i]=EMPTY_VALUE;

           }

        }

     }



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

   return(rates_total);

  }

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

//| ChartEvent function                                              |

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

void OnChartEvent(const int id,

                  const long &lparam,

                  const double &dparam,

                  const string &sparam)

  {

   if(id==CHARTEVENT_CHART_CHANGE)

     {

      for(int i=0;i<COUNT;i++)

         PlotIndexSetInteger(i,PLOT_LINE_WIDTH,SizeByScale());

      Descriptions();

      ChartRedraw();

     }

  }

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

//| >72@0I05B @07<5@, A>>B25BAB2CNI89 <0AHB01C                      |

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

uchar SizeByScale(void)

  {

   uchar scale=(uchar)ChartGetInteger(0,CHART_SCALE);

   uchar size=(scale<3 ? 1 : scale==3 ? 2 : scale==4 ? 5 : 8);

   return size;

  }

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

//| ?8A0=85                                                         |

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

void Descriptions(void)

  {

   int x=4;

   int y=1;

   int arr_colors[]={indicator_color1,indicator_color2};

   string arr_texts[]={"Up direction","Down direction"};

   string arr_names[COUNT];

   for(int i=0; i<COUNT; i++)

     {

      arr_names[i]=prefix+"label"+(string)i;

      arr_colors[i]=PlotIndexGetInteger(i,PLOT_LINE_COLOR);

      x=(i==0 ? x : i==1 ? 110 : 230);

      Label(arr_names[i],x,y,CharToString(167),16,arr_colors[i],"Wingdings");

      Label(arr_names[i]+"_txt",x+10,y+5,arr_texts[i],10,clrGray,"Calibri");

     }

  }

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

//| K2>48B B5:AB>2CN <5B:C                                          |

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

void Label(const string name,const int x,const int y,const string text,const int size,const color clr,const string font)

  {

   if(ObjectFind(0,name)!=wnd)

      ObjectCreate(0,name,OBJ_LABEL,wnd,0,0,0,0);

   ObjectSetInteger(0,name,OBJPROP_SELECTABLE,false);

   ObjectSetInteger(0,name,OBJPROP_HIDDEN,true);

   ObjectSetInteger(0,name,OBJPROP_XDISTANCE,x);

   ObjectSetInteger(0,name,OBJPROP_YDISTANCE,y);

   ObjectSetInteger(0,name,OBJPROP_CORNER,CORNER_LEFT_LOWER);

   ObjectSetInteger(0,name,OBJPROP_ANCHOR,ANCHOR_LEFT_LOWER);

   ObjectSetInteger(0,name,OBJPROP_FONTSIZE,size);

   ObjectSetInteger(0,name,OBJPROP_COLOR,clr);

//---

   ObjectSetString(0,name,OBJPROP_FONT,font);

   ObjectSetString(0,name,OBJPROP_TEXT,text);

   ObjectSetString(0,name,OBJPROP_TOOLTIP,"\n");

  }

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