volatility_step_channel

//+---------------------------------------------------------------------+
//|                                         Volatility_Step_Channel.mq5 | 
//|                                            Copyright © 2015, fxborg | 
//|                                      http://fxborg-labo.hateblo.jp/ | 
//+---------------------------------------------------------------------+ 
//| Äëÿ ðàáîòû  èíäèêàòîðà  ñëåäóåò  ïîëîæèòü ôàéë SmoothAlgorithms.mqh |
//| â ïàïêó (äèðåêòîðèþ): êàòàëîã_äàííûõ_òåðìèíàëà\\MQL5\Include        |
//+---------------------------------------------------------------------+
#property copyright "Copyright © 2015, fxborg"
#property link "http://fxborg-labo.hateblo.jp/"
#property description "Volatility Step Channel"
//---- íîìåð âåðñèè èíäèêàòîðà
#property version   "1.00"
//---- îòðèñîâêà èíäèêàòîðà â ãëàâíîì îêíå
#property indicator_chart_window 
//---- êîëè÷åñòâî èíäèêàòîðíûõ áóôåðîâ 3
#property indicator_buffers 3 
//---- èñïîëüçîâàíî âñåãî 5 ãðàôè÷åñêèõ ïîñòðîåíèé
#property indicator_plots   3
//+-----------------------------------+
//| Ïàðàìåòðû îòðèñîâêè èíäèêàòîðà    |
//+-----------------------------------+
//---- îòðèñîâêà èíäèêàòîðà â âèäå ëèíèè
#property indicator_type1   DRAW_LINE
//---- â êà÷åñòâå öâåòà ëèíèè èíäèêàòîðà èñïîëüçîâàí ñèíå-ôèîëåòîâûé öâåò
#property indicator_color1 clrBlueViolet
//---- ëèíèÿ èíäèêàòîðà - ñïëîøíàÿ ëèíèÿ
#property indicator_style1  STYLE_SOLID
//---- òîëùèíà ëèíèè èíäèêàòîðà ðàâíà 2
#property indicator_width1  2
//---- îòîáðàæåíèå ìåòêè èíäèêàòîðà
#property indicator_label1  "Median Line"
//+--------------------------------------------+
//| Ïàðàìåòðû îòðèñîâêè èíäèêàòîðà BB óðîâíåé  |
//+--------------------------------------------+
//---- îòðèñîâêà óðîâíåé â âèäå ëèíèé
#property indicator_type2   DRAW_LINE
#property indicator_type3   DRAW_LINE
//---- ââûáîð öâåòîâ óðîâíåé
#property indicator_color2  clrLime
#property indicator_color3  clrRed
//---- óðîâíè êàíàëà - ñïëîøíûå ëèíèè
#property indicator_style2 STYLE_SOLID
#property indicator_style3 STYLE_SOLID
//---- òîëùèíà óðîâíåé ðàâíà 3
#property indicator_width2  3
#property indicator_width3  3
//---- îòîáðàæåíèå ìåòîê óðîâíåé Áîëëèíäæåðà
#property indicator_label2  "Upper Channel"
#property indicator_label3  "Lower Channel"
//+-----------------------------------+
//| Îïèñàíèå êëàññîâ óñðåäíåíèé       |
//+-----------------------------------+
#include <SmoothAlgorithms.mqh> 
//+-----------------------------------+
//---- îáúÿâëåíèå ïåðåìåííûõ êëàññîâ CXMA è CStdDeviation èç ôàéëà SmoothAlgorithms.mqh
CXMA XMA1,XMA2,XMA3,XMA4,XMA5,XMA6,XMA7,XMA8;
CStdDeviation STD;
//+-----------------------------------+
//| Îáúÿâëåíèå ïåðå÷èñëåíèé           |
//+-----------------------------------+
enum Applied_price_ //òèï êîíñòàíòû
  {
   PRICE_CLOSE_ = 1,     //Close
   PRICE_OPEN_,          //Open
   PRICE_HIGH_,          //High
   PRICE_LOW_,           //Low
   PRICE_MEDIAN_,        //Median Price (HL/2)
   PRICE_TYPICAL_,       //Typical Price (HLC/3)
   PRICE_WEIGHTED_,      //Weighted Close (HLCC/4)
   PRICE_SIMPL_,         //Simpl Price (OC/2)
   PRICE_QUARTER_,       //Quarted Price (HLOC/4) 
   PRICE_TRENDFOLLOW0_,  //TrendFollow_1 Price 
   PRICE_TRENDFOLLOW1_,  //TrendFollow_2 Price
   PRICE_DEMARK_         //Demark Price
  };
//+-----------------------------------+
//| Îáúÿâëåíèå ïåðå÷èñëåíèé           |
//+-----------------------------------+
/*enum Smooth_Method - ïåðå÷èñëåíèå îáúÿâëåíî â ôàéëå SmoothAlgorithms.mqh
  {
   MODE_SMA_,  //SMA
   MODE_EMA_,  //EMA
   MODE_SMMA_, //SMMA
   MODE_LWMA_, //LWMA
   MODE_JJMA,  //JJMA
   MODE_JurX,  //JurX
   MODE_ParMA, //ParMA
   MODE_T3,    //T3
   MODE_VIDYA, //VIDYA
   MODE_AMA    //AMA
  }; */
//+-----------------------------------+
//| Îáúÿâëåíèå ïåðå÷èñëåíèé           |
//+-----------------------------------+
enum MODE //òèï êîíñòàíòû
  {
   ENAM_SIMPLE = 1,     //Simple Mode
   ENAM_HIBRID          //hybrid Mode
  };
//+-----------------------------------+
//| Âõîäíûå ïàðàìåòðû èíäèêàòîðà      |
//+-----------------------------------+
input Smooth_Method MA_Method0=MODE_SMA; // Ìåòîä óñðåäíåíèÿ òàéìñåðèé
input int Length0=3; // Ãëóáèíà óñðåäíåíèÿ òàéìñåðèé
input int Phase0=15; // Ïàðàìåòð óñðåäíåíèÿ òàéìñåðèé
//---- äëÿ JJMA èçìåíÿþùèéñÿ â ïðåäåëàõ -100 ... +100, âëèÿåò íà êà÷åñòâî ïåðåõîäíîãî ïðîöåññà;
//---- äëÿ VIDIA ýòî ïåðèîä CMO, äëÿ AMA ýòî ïåðèîä ìåäëåííîé ñêîëüçÿùåé
input Smooth_Method MA_Method1=MODE_SMMA; // Ìåòîä óñðåäíåíèÿ ñêîëüçÿùåé ñðåäíåé
input int Length1=10; // Ãëóáèíà óñðåäíåíèÿ ñêîëüçÿùåé ñðåäíåé
input int Phase1=15;  // Ïàðàìåòð óñðåäíåíèÿ ñêîëüçÿùåé ñðåäíåé
//---- äëÿ JJMA èçìåíÿþùèéñÿ â ïðåäåëàõ -100 ... +100, âëèÿåò íà êà÷åñòâî ïåðåõîäíîãî ïðîöåññà;
//---- äëÿ VIDIA ýòî ïåðèîä CMO, äëÿ AMA ýòî ïåðèîä ìåäëåííîé ñêîëüçÿùåé
input Smooth_Method MA_Method2=MODE_SMA; // Ìåòîä ñãëàæèâàíèÿ ñòàíäàðòíîãî îòêëîíåíèÿ
input int Length2=70; // Ãëóáèíà ñãëàæèâàíèÿ ñòàíäàðòíîãî îòêëîíåíèÿ
input int Phase2=100; // Ïàðàìåòð ñãëàæèâàíèÿ ñòàíäàðòíîãî îòêëîíåíèÿ
//---- äëÿ JJMA èçìåíÿþùèéñÿ â ïðåäåëàõ -100 ... +100, âëèÿåò íà êà÷åñòâî ïåðåõîäíîãî ïðîöåññà;
//---- äëÿ VIDIA ýòî ïåðèîä CMO, äëÿ AMA ýòî ïåðèîä ìåäëåííîé ñêîëüçÿùåé
input Applied_price_ IPC=PRICE_CLOSE;//öåíîâàÿ êîíñòàíòà
//---- 
input Smooth_Method MA_Method3=MODE_SMA; // Ìåòîä ñãëàæèâàíèÿ êàíàëà
input int Length3=3; // Ãëóáèíà ñãëàæèâàíèÿ êàíàëà
input int Phase3=100;  // Ïàðàìåòð ñãëàæèâàíèÿ êàíàëà
//---- äëÿ JJMA èçìåíÿþùèéñÿ â ïðåäåëàõ -100 ... +100, âëèÿåò íà êà÷åñòâî ïåðåõîäíîãî ïðîöåññà;
//---- äëÿ VIDIA ýòî ïåðèîä CMO, äëÿ AMA ýòî ïåðèîä ìåäëåííîé ñêîëüçÿùåé
//----
input double BandsDeviation=2.0; // Îòêëîíåíèå
input MODE Mode=ENAM_HIBRID; // Âàðèàíò àëãîðèòìà
input int Shift=0; // Ñäâèã èíäèêàòîðà ïî ãîðèçîíòàëè â áàðàõ
//+-----------------------------------+
//---- îáúÿâëåíèå äèíàìè÷åñêîãî ìàññèâà, êîòîðûé áóäåò â 
//---- äàëüíåéøåì èñïîëüçîâàí â êà÷åñòâå èíäèêàòîðíîãî áóôåðà
double ExtLineBuffer0[];
//---- îáúÿâëåíèå äèíàìè÷åñêèõ ìàññèâîâ, êîòîðûå áóäóò â 
//---- äàëüíåéøåì èñïîëüçîâàíû â êà÷åñòâå èíäèêàòîðíûõ áóôåðîâ óðîâíåé
double ExtLineBuffer1[],ExtLineBuffer2[];
//---- îáúÿâëåíèå öåëî÷èñëåííûõ ïåðåìåííûõ íà÷àëà îòñ÷åòà äàííûõ
int min_rates_total,min_rates_1,min_rates_2,min_rates_3;
//+------------------------------------------------------------------+   
//| Custom indicator initialization function                         | 
//+------------------------------------------------------------------+ 
void OnInit()
  {
//---- èíèöèàëèçàöèÿ ïåðåìåííûõ íà÷àëà îòñ÷åòà äàííûõ
   min_rates_1=GetStartBars(MA_Method1,Length1,Phase1)+1;
   min_rates_2=min_rates_1+int(Length1);
   min_rates_total=min_rates_2+GetStartBars(MA_Method2,Length2,Phase2);
   int  min_rates_0=GetStartBars(MA_Method0,Length0,Phase0)+1;
   min_rates_3=MathMax(min_rates_total,min_rates_0);
   min_rates_total=min_rates_3+GetStartBars(MA_Method3,Length3,Phase3)+1;
//---- ïðåâðàùåíèå äèíàìè÷åñêîãî ìàññèâà â èíäèêàòîðíûé áóôåð
   SetIndexBuffer(0,ExtLineBuffer0,INDICATOR_DATA);
//---- îñóùåñòâëåíèå ñäâèãà èíäèêàòîðà 1 ïî ãîðèçîíòàëè
   PlotIndexSetInteger(0,PLOT_SHIFT,Shift);
//---- îñóùåñòâëåíèå ñäâèãà íà÷àëà îòñ÷åòà îòðèñîâêè èíäèêàòîðà
   PlotIndexSetInteger(0,PLOT_DRAW_BEGIN,min_rates_total);
//---- óñòàíîâêà çíà÷åíèé èíäèêàòîðà, êîòîðûå íå áóäóò âèäèìû íà ãðàôèêå
   PlotIndexSetDouble(0,PLOT_EMPTY_VALUE,EMPTY_VALUE);
//---- ïðåâðàùåíèå äèíàìè÷åñêèõ ìàññèâîâ â èíäèêàòîðíûå áóôåðû
   SetIndexBuffer(1,ExtLineBuffer1,INDICATOR_DATA);
   SetIndexBuffer(2,ExtLineBuffer2,INDICATOR_DATA);
//---- óñòàíîâêà ïîçèöèè, ñ êîòîðîé íà÷èíàåòñÿ îòðèñîâêà óðîâíåé Áîëëèíäæåðà
   PlotIndexSetInteger(1,PLOT_DRAW_BEGIN,min_rates_total);
   PlotIndexSetInteger(2,PLOT_DRAW_BEGIN,min_rates_total);
//---- çàïðåò íà îòðèñîâêó èíäèêàòîðîì ïóñòûõ çíà÷åíèé
   PlotIndexSetDouble(1,PLOT_EMPTY_VALUE,EMPTY_VALUE);
   PlotIndexSetDouble(2,PLOT_EMPTY_VALUE,EMPTY_VALUE);
//---- îñóùåñòâëåíèå ñäâèãà èíäèêàòîðà 1 ïî ãîðèçîíòàëè
   PlotIndexSetInteger(2,PLOT_SHIFT,Shift);
   PlotIndexSetInteger(3,PLOT_SHIFT,Shift);
//---- èíèöèàëèçàöèÿ ïåðåìåííîé äëÿ êîðîòêîãî èìåíè èíäèêàòîðà
   string shortname="Volatility_Step_Channel";
//--- ñîçäàíèå èìåíè äëÿ îòîáðàæåíèÿ â îòäåëüíîì ïîäîêíå è âî âñïëûâàþùåé ïîäñêàçêå
   IndicatorSetString(INDICATOR_SHORTNAME,shortname);
//--- îïðåäåëåíèå òî÷íîñòè îòîáðàæåíèÿ çíà÷åíèé èíäèêàòîðà
   IndicatorSetInteger(INDICATOR_DIGITS,_Digits+1);
//---- çàâåðøåíèå èíèöèàëèçàöèè
  }
//+------------------------------------------------------------------+ 
//| Custom indicator iteration function                              | 
//+------------------------------------------------------------------+ 
int OnCalculate(const int rates_total,    // êîëè÷åñòâî èñòîðèè â áàðàõ íà òåêóùåì òèêå
                const int prev_calculated,// êîëè÷åñòâî èñòîðèè â áàðàõ íà ïðåäûäóùåì òèêå
                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[])
  {
//---- ïðîâåðêà êîëè÷åñòâà áàðîâ íà äîñòàòî÷íîñòü äëÿ ðàñ÷åòà
   if(rates_total<min_rates_total) return(0);
//---- îáúÿâëåíèå ïåðåìåííûõ ñ ïëàâàþùåé òî÷êîé  
   double price,xma,stdev,xstdev,xlow,xhigh,xclose,base,base2,Middle=0.0,Upper,Lower,iLow,iHigh,iClose;
   static double iLow_prev,iHigh_prev,iClose_prev;
//---- îáúÿâëåíèå öåëî÷èñëåííûõ ïåðåìåííûõ è ïîëó÷åíèå óæå ïîñ÷èòàííûõ áàðîâ
   int first,bar;
//---- ðàñ÷åò ñòàðòîâîãî íîìåðà first äëÿ öèêëà ïåðåñ÷åòà áàðîâ
   if(prev_calculated>rates_total || prev_calculated<=0) // ïðîâåðêà íà ïåðâûé ñòàðò ðàñ÷åòà èíäèêàòîðà
     {
      first=0; // ñòàðòîâûé íîìåð äëÿ ðàñ÷åòà âñåõ áàðîâ
      iLow_prev=low[first];
      iHigh_prev=high[first];
      iClose_prev=close[first];
      for(bar=0; bar<=min_rates_total && !IsStopped(); bar++)
        {
         ExtLineBuffer0[bar]=close[bar];
         ExtLineBuffer1[bar]=high[bar];
         ExtLineBuffer2[bar]=low[bar];
        }
     }
   else first=prev_calculated-1; // ñòàðòîâûé íîìåð äëÿ ðàñ÷åòà íîâûõ áàðîâ
//---- îñíîâíîé öèêë ðàñ÷åòà èíäèêàòîðà
   for(bar=first; bar<rates_total && !IsStopped(); bar++)
     {
      iLow=low[bar];
      iHigh=high[bar];
      iClose=close[bar];
      price=PriceSeries(IPC,bar,open,low,high,close);
      xma=XMA1.XMASeries(0,prev_calculated,rates_total,MA_Method1,Phase1,Length1,price,bar,false);
      stdev=STD.StdDevSeries(min_rates_1,prev_calculated,rates_total,Length1,1.0,price,xma,bar,false);
      xstdev=XMA2.XMASeries(min_rates_2,prev_calculated,rates_total,MA_Method2,Phase2,Length2,stdev,bar,false);
      base=xstdev*BandsDeviation;
      base2=base/2.0;
      xlow=XMA3.XMASeries(0,prev_calculated,rates_total,MA_Method0,Phase0,Length0,low[bar],bar,false);
      xhigh=XMA4.XMASeries(0,prev_calculated,rates_total,MA_Method0,Phase0,Length0,high[bar],bar,false);
      xclose=XMA5.XMASeries(0,prev_calculated,rates_total,MA_Method0,Phase0,Length0,close[bar],bar,false);
      //---
      if(xhigh-base>iHigh_prev) iHigh=xhigh;
      else if(xhigh+base<iHigh_prev) iHigh=xhigh+base;
      else iHigh=iHigh_prev;
      //---
      if(xlow+base<iLow_prev) iLow=xlow;
      else if(xlow-base>iLow_prev) iLow=xlow-base;
      else iLow=iLow_prev;
      //---
      switch(Mode)
        {
         case ENAM_SIMPLE :
           {
            if(xclose-base>iClose_prev) iClose=xclose-base;
            else if(xclose+base<iClose_prev) iClose=xclose+base;
            else iClose=iClose_prev;
            Middle=(iHigh+iLow+iClose)/3;
            break;
           }
         case ENAM_HIBRID :
           {
            if(xclose-base2>iClose_prev) iClose=xclose-base2;
            else if(xclose+base2<iClose_prev) iClose=xclose+base2;
            else iClose=iClose_prev;
            Middle=(iHigh+iLow+2*iClose)/4;
           }
        }
      Upper=iHigh+base2;
      Lower=iLow-base2;
      //---      
      ExtLineBuffer2[bar]=XMA6.XMASeries(min_rates_3,prev_calculated,rates_total,MA_Method3,Phase3,Length3,Lower,bar,false);
      ExtLineBuffer1[bar]=XMA7.XMASeries(min_rates_3,prev_calculated,rates_total,MA_Method3,Phase3,Length3,Upper,bar,false);
      ExtLineBuffer0[bar]=XMA8.XMASeries(min_rates_3,prev_calculated,rates_total,MA_Method3,Phase3,Length3,Middle,bar,false);
      //---
      if(bar<rates_total-1)
        {
         iLow_prev=iLow;
         iHigh_prev=iHigh;
         iClose_prev=iClose;
        }
     }
//----     
   return(rates_total);
  }
//+------------------------------------------------------------------+