VolatilityLevels

#property copyright "Âëàäèñëàâ Âàñèëüåâ"
#property link      "http://www.mql4.com/ru/users/incognitos"
// v1.1

//----------------------------------------------------------------------------------------------------------------------------------+
// Ðèñóåò âíóòðè äíÿ óðîâíè âîëàòèëüíîñòè (ñðåäíåäíåâ. è ìàêñ. çà íåñêîëüêî äíåé) äîêóäà ìîæåò äîéòè öåíà.                          |
// Äàëüøå íèõ ñåãîäíÿ öåíà íå ïîéä¸ò ñ >95% ñòåïåíüþ âåðîÿòíîñòè.                                                                   |
// (Ïî÷åìó óêàçûâàþ òàêîé ïðîöåíò? Ïðîñòî 90% - ýòî 1 ðàç èç 10, à âîëàòèëüíîñòü âûøå ìàêñèìàëüíîé çà 10 äíåé áûâàåò âåñüìà ðåäêî.) |
// Àëãîðèòì: Âîëàòèëüíîñòü ïðåäûäóùèõ äíåé (çà PeriodDays) äîáàâëÿåòñÿ ê ìèí/ìàêñ. ýòîãî äíÿ - ïîëó÷àåì óðîâíè ñ êàæäîé ñòîðîíû.    |
//  òå÷åíèè äíÿ ïîÿâëÿþòñÿ íîâûå ýêñòðåìóìû, ïîýòîìó ê ñåðåäèíå äíÿ ãðàíèöû èíäèêàòîðà ñìåùàþòñÿ.                                  | 
// Óðîâíè ðèñóþòñÿ ñ íà÷àëà òåêóùèõ ñóòîê (00:00).                                                                                  |                                                                                                                  
// 2 âàðèàíòà ðèñîâàíèÿ: êâàäðàòîì èëè ëèíèÿìè.                                                                                     |
//----------------------------------------------------------------------------------------------------------------------------------+
#property indicator_chart_window

   extern   int   PeriodDays=20;  // ïåðèîä äíåé.  1 = â÷åðà, 20 = ÷åòûðå ðàáî÷èå íåäåëè (ìåñÿö)

// ðèñîâàòü êâàäðàò. íèæíÿÿ è âåðõíÿÿ ãðàíèöû - ñðåäíåäíåâ. è ìàêñ. âîëàòèëüíîñòè, ïðàâî-ëåâî - ãðàíèöû ñóòîê   
   extern   bool  ShowRectangle = true;  
// ðèñîâàòü ëèíèè 
   extern   bool  ShowLinesAvrDaysVol = false;  // ðèñîâàòü ëèíèè ñðåäíåäíåâíîé âîë.
   extern   bool  ShowLinesMaxDaysVol = false;  // ðèñîâàòü ëèíèè ìàêñ.äíåâíîé âîë.
// öâåò è ñòèëü ëèíèè
   extern   color Color = LightBlue;     // ïî óìîë÷àíèþ öâåò LightBlue, ñèìâîëèç. îñòûâàíèå òðýíäà, âîçìîæíûé îòñêîê êàê îò ëüäà
   extern   int   Style = STYLE_DASH;  

   extern   bool  ShowVolsInComment=false;  // Ïîêàçûâàòü êîììåíòàðèåì çíà÷åíèÿ âîëàòèëüíîñòè


//+------------------------------------------------------------------+
int init()
{
   // Åñëè âêë.îòîáðàæåíèå êâàäðàòà, âêëþ÷àòåëè îòîáðàæåíèÿ ëèíèÿìè íå ïðèíèìàòü âî âíèìàíèå
   //if (ShowRectangle) {ShowLinesAvrDaysVol=false; ShowLinesMaxDaysVol=false;} 
    
   ObjectDelete ("âîëàòèëüíîñòü ââåðõ");
   ObjectDelete ("âîëàòèëüíîñòü âíèç"); 
   ObjectDelete ("ñðåäíåäíåâ.âîëàòèëüíîñòü ââåðõ");
   ObjectDelete ("ñðåäíåäíåâ.âîëàòèëüíîñòü âíèç");
   ObjectDelete ("ìàêñ.äíåâ.âîëàòèëüíîñòü ââåðõ");
   ObjectDelete ("ìàêñ.äíåâ.âîëàòèëüíîñòü âíèç");
}

int deinit()
{
 if (ShowRectangle){
   ObjectDelete ("âîëàòèëüíîñòü ââåðõ");
   ObjectDelete ("âîëàòèëüíîñòü âíèç"); 
 } else {
   ObjectDelete ("ñðåäíåäíåâ.âîëàòèëüíîñòü ââåðõ");
   ObjectDelete ("ñðåäíåäíåâ.âîëàòèëüíîñòü âíèç");
   ObjectDelete ("ìàêñ.äíåâ.âîëàòèëüíîñòü ââåðõ");
   ObjectDelete ("ìàêñ.äíåâ.âîëàòèëüíîñòü âíèç");}
 if (ShowVolsInComment)  Comment("");  
}


//+------------------------------------------------------------------+
int start()
{   
   if (!IsNewBarM1()) return;   // çàïóñê ðàç â ìèíóòó, ÷òîá íå òðàòèòü çðÿ âðåìÿ ïðîöåññîðà; ïðîâåðêà ïîÿâëåíèÿ íîâîãî áàðà M1
   
   string volcomment = LevelsDayVolatility (PeriodDays, ShowRectangle, ShowLinesAvrDaysVol,ShowLinesMaxDaysVol, Color,Style);

   if (ShowVolsInComment)  Comment(volcomment);     
   
}
//+------------------------------------------------------------------+



//---------------------------------------------------------------------------------------------------+
// Àâòîð:  Âëàäèñëàâ Âàñèëüåâ,  http://www.mql4.com/ru/users/incognitos                              |
// --------------------------------------------------------------------------------------------------|
// Ðèñóåò âíóòðè äíÿ óðîâíè ñðåäíåäíåâíîé (çà DayVlt äíåé) âîëàòèëüíîñòè, äîêóäà ìîæåò äîéòè öåíà    |
//---------------------------------------------------------------------------------------------------+ 
#define SEKUNDvSUTKAH 86400   // ÷èñëî ñåêóíä â ñóòêàõ = 60*60*24
string LevelsDayVolatility (int DayVlt = 5, //  DayVlt - êîë-âî äíåé çà êîòîðûå âû÷èñëÿåòñÿ ñðåäíåäíåâíàÿ âîëàòèëüíîñòü
         bool ShowRectangle=true, bool ShowLinesAvrDaysVol=false, bool ShowLinesMaxDaysVol=false, 
         int Color=Black, int Style=STYLE_DASH)   
{  
   datetime timeDayBegin = iTime(NULL,PERIOD_D1,0);    // âðåìÿ íà÷àëà òåêóùèõ ñóòîê
   int ibarM1DayBegin = iBarShift(NULL,PERIOD_M1,timeDayBegin);   // íîìåð áàðà íà÷àëà ýòèõ ñóòîê (M1 - íàèìåíüøèé òàéìôðåéì ïî êîòîðîìó ìîäåëèðóþòñÿ âñå òèêè) 
   double DayMin = iLow(NULL,PERIOD_M1, iLowest(NULL,PERIOD_M1,MODE_LOW,ibarM1DayBegin));   // ïëàâàþùèé äíåâíîé ìèí
   double DayMax = iHigh(NULL,PERIOD_M1,iHighest(NULL,PERIOD_M1,MODE_HIGH,ibarM1DayBegin)); // ïëàâàþùèé äíåâíîé ìàêñ
   double avgDaysVltPts = iATR(NULL,PERIOD_D1,DayVlt,1);   // ñðåäíåäíåâ.âîëàòèëüíîñòü
   double maxDaysVltPts=MaxDaysVolatility(DayVlt);         // ìàêñ.äíåâ.âîëàòèëüíîñòü
      
   if (ShowRectangle){
      rectangle("âîëàòèëüíîñòü ââåðõ", timeDayBegin, DayMin+avgDaysVltPts, timeDayBegin+SEKUNDvSUTKAH, DayMin+maxDaysVltPts, Color, Style, 1);
      rectangle("âîëàòèëüíîñòü âíèç",  timeDayBegin, DayMax-avgDaysVltPts, timeDayBegin+SEKUNDvSUTKAH, DayMax-maxDaysVltPts, Color, Style, 1);
      }

   if (ShowLinesAvrDaysVol){
      writeline ("ñðåäíåäíåâ.âîëàòèëüíîñòü ââåðõ", DayMin + avgDaysVltPts, Color, Style, 1);  // âîçìîæ.äíåâ.âîëàòèëüíîñòü ââåðõ
      writeline ("ñðåäíåäíåâ.âîëàòèëüíîñòü âíèç",  DayMax - avgDaysVltPts, Color, Style, 1);  // âîçìîæ.äíåâ.âîëàòèëüíîñòü âíèç  
      }   
   if (ShowLinesMaxDaysVol){
      writeline ("ìàêñ.äíåâ.âîëàòèëüíîñòü ââåðõ", DayMin + maxDaysVltPts, Color, Style, 1);  // âîçìîæ.äíåâ.âîëàòèëüíîñòü ââåðõ
      writeline ("ìàêñ.äíåâ.âîëàòèëüíîñòü âíèç",  DayMax - maxDaysVltPts, Color, Style, 1);  // âîçìîæ.äíåâ.âîëàòèëüíîñòü âíèç   
      }
   
   // îòëàäêà
   /*Print (
   " maxDaysVltPts=",DS(maxDaysVltPts),    
   " avgDaysVltPts=",DS(avgDaysVltPts),
   " ThisDayMin=",DS(DayMin),
   " ThisDayMax=",DS(DayMax),
   " ibarlow=",ibarlow," time=",TimeToString(iTime(NULL,PERIOD_M1,ibarlow)),
   " ibarhi=",ibarhi," time=",TimeToString(iTime(NULL,PERIOD_M1,ibarhi)),
   " ibarM1DayBegin=",ibarM1DayBegin,
   " timeDayBegin=",TimeToString(timeDayBegin),
   " MaxDaysVolatility =",DS(MaxDaysVolatility(5))
   );*/
   
   if (ShowVolsInComment)  
      string comment = StringConcatenate("Ñðåäíåäíåâ.âîëàòèëüíîñòü =",DS(avgDaysVltPts)," ïï, ìàêñ.äíåâ.âîëàòèëüíîñòü =",DS(maxDaysVltPts)," ïï");
   return(comment);
}

double MaxDaysVolatility (int DayVlt = 5)   //  DayVlt - êîë-âî äíåé çà êîòîðûå âû÷èñëÿåòñÿ max.äíåâíàÿ âîëàòèëüíîñòü
{  
   if (DayVlt<=0) {Alert("Èíäèêàòîð âîëàòèëüíîñòè: DayVlt äîëæíî áûòü >= 0");}
   double  maxdayvol;
   for (int iday=1; iday<=DayVlt; iday++) { 
      double maxofday=0, minofday=0;
      double dayvol = iHigh(NULL,PERIOD_D1,iday) - iLow(NULL,PERIOD_D1,iday);  
      if (dayvol > maxdayvol) maxdayvol=dayvol;} // int ibarmaxvol=iday;}
   return (maxdayvol);
}


//---------------------------------------------------------------------------------------------/
// îòðèñîâêà ïðÿìîóãîëüíèêà â îñíîâíîì îêíå:
//---------------------------------------------------------------------------------------------/
void rectangle (string name, datetime time1, double Price1, datetime time2, double Price2, color Color, int Style, int Width)
{
 ObjectDelete(name);
 ObjectCreate (name, OBJ_RECTANGLE, 0, time1, Price1, time2, Price2);
 ObjectSet(name, OBJPROP_COLOR, Color);
 ObjectSet(name, OBJPROP_STYLE, Style);
 ObjectSet(name, OBJPROP_WIDTH, Width);
}

//---------------------------------------------------------------------------------------------/
// îòðèñîâêà ãîðèçîíò. ëèíèè â îñíîâíîì îêíå:
//---------------------------------------------------------------------------------------------/
void writeline (string Linename, double Price, color Color, int Style, int Width)
{
 ObjectDelete(Linename);
 ObjectCreate(Linename, OBJ_HLINE, 0, 0, Price);
 ObjectSet(Linename, OBJPROP_COLOR, Color);
 ObjectSet(Linename, OBJPROP_STYLE, Style);
 ObjectSet(Linename, OBJPROP_WIDTH, Width);
}
//---------------------------------------------------------------------------------------------/


//+-------------------------------------------------------------------------------------+
//| Ïðèâåäåíèå äåñÿòè÷íîãî òèïà â ñòðîêîâûé ñ ÷èñëîì çíàêîâ Digits
//+-------------------------------------------------------------------------------------+
string DS(double x) {return(DoubleToStr(x,Digits));}  


// ----------------------------------------------------------------------------|
// Çàïóñê âûçâàâøåé ôóíêöèè ðàç â ìèíóòó, ÷òîá íå òðàòèòü çðÿ âðåìÿ ïðîöåññîðà |
// Èñïîëüçîâàíèå:  if (!RunOnceMinute()) return;                               |
//-----------------------------------------------------------------------------+
bool IsNewBarM1() {   
   static datetime dPrevtime;  
   if (dPrevtime==0  ||  dPrevtime!=iTime(NULL,PERIOD_M1,0)) 
      {dPrevtime=iTime(NULL,PERIOD_M1,0);  
      return (true);}
   else return (false);  
}