Zero lag Hull average

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

#property copyright "© mladen, 2018"

#property link      "mladenfx@gmail.com"

//------------------------------------------------------------------

#property indicator_chart_window

#property indicator_buffers 4

#property indicator_plots   1

#property indicator_label1  "Zero lag Hull"

#property indicator_type1   DRAW_COLOR_LINE

#property indicator_color1  clrDarkGray,clrDeepPink,clrLimeGreen

#property indicator_width1  2

//--- input parameters

input double             inpPeriod = 20;           // Period

input ENUM_APPLIED_PRICE inpPrice  = PRICE_MEDIAN; // Price

//--- indicator buffers

double val[],valc[];

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

//| Custom indicator initialization function                         | 

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

int OnInit()

  {

//--- indicator buffers mapping

   SetIndexBuffer(0,val,INDICATOR_DATA);

   SetIndexBuffer(1,valc,INDICATOR_COLOR_INDEX);

//--- indicator short name assignment

   IndicatorSetString(INDICATOR_SHORTNAME,"Zero lag Hull ("+(string)inpPeriod+")");

//---

   return (INIT_SUCCEEDED);

  }

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

//| Custom indicator de-initialization function                      |

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

void OnDeinit(const int reason)

  {

  }

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

//| 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(Bars(_Symbol,_Period)<rates_total) return(prev_calculated);

   for(int i=(int)MathMax(prev_calculated-1,0); i<rates_total && !IsStopped(); i++)

     {

      double hma1 = iHull(getPrice(inpPrice,open,close,high,low,i,rates_total),inpPeriod,i,rates_total,0);

      double hma2 = iHull(hma1                                                ,inpPeriod,i,rates_total,1);

      val[i]=2.0*hma1-hma2;

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

     }

   return(rates_total);

  }

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

//| Custom functions                                                 |

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

#define _hullInstances 2

#define _hullInstancesSize 2

double workHull[][_hullInstances*_hullInstancesSize];

//

//---

//

double iHull(double price,double period,int r,int bars,int instanceNo=0)

  {

   if(ArrayRange(workHull,0)!=bars) ArrayResize(workHull,bars);

   instanceNo*=_hullInstancesSize; workHull[r][instanceNo]=price;

   if(period<=1) return(price);

//

//---

//

   int HmaPeriod  = (int)MathMax(period,2);

   int HalfPeriod = (int)MathFloor(HmaPeriod/2);

   int HullPeriod = (int)MathFloor(MathSqrt(HmaPeriod));

   double hma,hmw,weight;

   hmw=HalfPeriod; hma=hmw*price;

   for(int k=1; k<HalfPeriod && (r-k)>=0; k++)

     {

      weight = HalfPeriod-k;

      hmw   += weight;

      hma   += weight*workHull[r-k][instanceNo];

     }

   workHull[r][instanceNo+1]=2.0*hma/hmw;

   hmw=HmaPeriod; hma=hmw*price;

   for(int k=1; k<period && (r-k)>=0; k++)

     {

      weight = HmaPeriod-k;

      hmw   += weight;

      hma   += weight*workHull[r-k][instanceNo];

     }

   workHull[r][instanceNo+1]-=hma/hmw;

   hmw=HullPeriod; hma=hmw*workHull[r][instanceNo+1];

   for(int k=1; k<HullPeriod && (r-k)>=0; k++)

     {

      weight = HullPeriod-k;

      hmw   += weight;

      hma   += weight*workHull[r-k][1+instanceNo];

     }

   return(hma/hmw);

  }

//

//---

//

double getPrice(ENUM_APPLIED_PRICE tprice,const double &open[],const double &close[],const double &high[],const double &low[],int i,int _bars)

  {

   if(i>=0)

      switch(tprice)

        {

         case PRICE_CLOSE:     return(close[i]);

         case PRICE_OPEN:      return(open[i]);

         case PRICE_HIGH:      return(high[i]);

         case PRICE_LOW:       return(low[i]);

         case PRICE_MEDIAN:    return((high[i]+low[i])/2.0);

         case PRICE_TYPICAL:   return((high[i]+low[i]+close[i])/3.0);

         case PRICE_WEIGHTED:  return((high[i]+low[i]+close[i]+close[i])/4.0);

        }

   return(0);

  }

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