Voss Predictive Filter

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

//|                                       Voss Predictive Filter.mq5 |

//|                              Copyright © 2021, Vladimir Karputov |

//|                      https://www.mql5.com/en/users/barabashkakvn |

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

#property copyright "Copyright © 2021, Vladimir Karputov"

#property link      "https://www.mql5.com/en/users/barabashkakvn"

#property version   "1.000"

#property indicator_separate_window

#property indicator_buffers 2

#property indicator_plots   2

//--- plot Filt

#property indicator_label1  "Filt"

#property indicator_type1   DRAW_LINE

#property indicator_color1  clrRed

#property indicator_style1  STYLE_SOLID

#property indicator_width1  1

//--- plot Voss

#property indicator_label2  "Voss"

#property indicator_type2   DRAW_LINE

#property indicator_color2  clrBlue

#property indicator_style2  STYLE_SOLID

#property indicator_width2  1

//--- input parameters

input int      Inp_ma_period  = 20;    // Averaging period

input int      InpPredict     = 3;     // Predict

//--- indicator buffers

double   Filt[];

double   Voss[];

//---

int      Order=0;

double   F1=0.0;

double   G1=0.0;

double   S1=0.0;

double   BandWidth=0.25;

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

//| Custom indicator initialization function                         |

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

int OnInit()

  {

//--- indicator buffers mapping

   SetIndexBuffer(0,Filt,INDICATOR_DATA);

   SetIndexBuffer(1,Voss,INDICATOR_DATA);

   ArraySetAsSeries(Filt,true);

   ArraySetAsSeries(Voss,true);

//---

   Order=3*InpPredict;

   F1=MathCos(360/Inp_ma_period);

   G1=MathCos(BandWidth*360/Inp_ma_period);

   S1=1.0/G1-MathSqrt(1.0/(G1*G1)-1.0);

//---

   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[])

  {

   if(rates_total<Inp_ma_period || rates_total<Order)

      return(0);

   ArraySetAsSeries(time,true);

   ArraySetAsSeries(close,true);

//---

   int limit=rates_total-prev_calculated/*+1*/;

   if(prev_calculated==0)

     {

      ArrayInitialize(Filt,0.0);

      ArrayInitialize(Voss,0.0);

      limit=rates_total-Order-1;

     }

//---

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

     {

      Filt[i]=0.5*(1.0-S1)*(close[i]-close[i+2]);

      if(!MathIsValidNumber(Filt[i]))

        {

         Filt[i]=0.0;

         Voss[i]=0.0;

        }

      double SumC=0.0;

      for(int j=0; j<Order-1; j++)

         SumC=SumC+((j+1)/Order)*Voss[Order-j];

      Voss[i]=((3+Order)/2.0)*Filt[i]-SumC;

     }

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

   return(rates_total);

  }

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