Volatility ratio

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

#property copyright   "© mladen, 2019"

#property link        "mladenfx@gmail.com"

#property description "Volatility ratio"

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

#property indicator_separate_window

#property indicator_buffers 2

#property indicator_plots   1

#property indicator_label1  "Volatility ratio"

#property indicator_type1   DRAW_COLOR_LINE

#property indicator_color1  clrGray,clrMediumSeaGreen,clrOrangeRed

#property indicator_width1  2

#property indicator_level1  1



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input int                inpPeriod = 25;          // Volatility period

input ENUM_APPLIED_PRICE inpPrice  = PRICE_CLOSE; // Price 



//

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double val[],valc[];



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int OnInit()

{

   //

   //--- indicator buffers mapping

   //

         SetIndexBuffer(0,val ,INDICATOR_DATA);

         SetIndexBuffer(1,valc,INDICATOR_COLOR_INDEX); 



      //

      //

      //



      iVolatilityRatio.init(inpPeriod);

         IndicatorSetString(INDICATOR_SHORTNAME,"Volatility ratio ("+(string)inpPeriod+")");

   return(0);

}



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#define _setPrice(_priceType,_target,_index) \

   { \

   switch(_priceType) \

   { \

      case PRICE_CLOSE:    _target = close[_index];                                              break; \

      case PRICE_OPEN:     _target = open[_index];                                               break; \

      case PRICE_HIGH:     _target = high[_index];                                               break; \

      case PRICE_LOW:      _target = low[_index];                                                break; \

      case PRICE_MEDIAN:   _target = (high[_index]+low[_index])/2.0;                             break; \

      case PRICE_TYPICAL:  _target = (high[_index]+low[_index]+close[_index])/3.0;               break; \

      case PRICE_WEIGHTED: _target = (high[_index]+low[_index]+close[_index]+close[_index])/4.0; break; \

      default : _target = 0; \

   }}



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//---

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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[])

{

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

   {

      double _price; _setPrice(inpPrice,_price,i);

         val[i]  = iVolatilityRatio.calculate(_price,i,rates_total);

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

   }      

   return(i);

}



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class cStdDevVolatilityRatio

{

   private :

      int m_period;

      int m_arraySize;

         struct sStdDevVolatilityRatioStruct

         {

            public :

               double price;

               double price2;

               double sum;

               double sum2;

               double sumd;

               double deviation;

         };

      sStdDevVolatilityRatioStruct m_array[];

   public:

      cStdDevVolatilityRatio() : m_arraySize(-1) {  }

     ~cStdDevVolatilityRatio()                   { ArrayFree(m_array); }



      //

      //---

      //



      void init(int period)

      {

         m_period = (period>1) ? period : 1;

      }

      

      double calculate(double price, int i, int bars)

      {

         if (m_arraySize<bars) { m_arraySize = ArrayResize(m_array,bars+500); if (m_arraySize<bars) return(0); }



            m_array[i].price =price;

            m_array[i].price2=price*price;

            

            //

            //---

            //

            

            if (i>m_period)

            {

                  m_array[i].sum  = m_array[i-1].sum +m_array[i].price -m_array[i-m_period].price;

                  m_array[i].sum2 = m_array[i-1].sum2+m_array[i].price2-m_array[i-m_period].price2;

            }

            else  

            {

                  m_array[i].sum  = m_array[i].price;

                  m_array[i].sum2 = m_array[i].price2; 

                  for(int k=1; k<m_period && i>=k; k++) 

                  {

                        m_array[i].sum  += m_array[i-k].price; 

                        m_array[i].sum2 += m_array[i-k].price2; 

                  }                  

            }         

            m_array[i].deviation = (MathSqrt((m_array[i].sum2-m_array[i].sum*m_array[i].sum/(double)m_period)/(double)m_period));

            if (i>m_period) 

                  m_array[i].sumd  = m_array[i-1].sumd +m_array[i].deviation -m_array[i-m_period].deviation;

            else

            {

                  m_array[i].sumd = m_array[i].deviation;

                  for(int k=1; k<m_period && i>=k; k++) 

                        m_array[i].sumd += m_array[i-k].deviation; 

            }



            double deviationAverage = m_array[i].sumd/(double)m_period;

            return(deviationAverage != 0 ? m_array[i].deviation/deviationAverage : 1);

      }

};

cStdDevVolatilityRatio iVolatilityRatio;