Zero lag MA

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 MA"

#property indicator_type1   DRAW_COLOR_LINE

#property indicator_color1  clrDarkGray,clrDeepPink,clrLimeGreen

#property indicator_width1  2

//--- input parameters

input ENUM_APPLIED_PRICE inpPrice  = PRICE_MEDIAN; // Price

input double             inpPeriod = 27;           // Period

//--- 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 MA ("+(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++)

     {

      val[i] = iZeroLag(getPrice(inpPrice,open,close,high,low,i,rates_total),inpPeriod,i,rates_total);

      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                                                 |

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

double workZl[][2];

#define _zprice 0

#define _zlema  1

//

//---

//

double iZeroLag(double price, double length, int r, int bars, int instanceNo=0)

{

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

   if (ArrayRange(workZl,0)!=bars) ArrayResize(workZl,bars); instanceNo *= 2; workZl[r][_zprice+instanceNo] = price;

   double median = 0;

   double alpha  = 2.0/(1.0+length); 

   int    per    = (int)((length-1.0)/2.0);

   if (r<(per+1))

          workZl[r][_zlema+instanceNo] = price;

   else   

      {

         if ((int)length%2==0)

               median = (workZl[r-per][_zprice+instanceNo]+workZl[r-per-1][_zprice+instanceNo])/2.0;

         else  median =  workZl[r-per][_zprice+instanceNo];

         workZl[r][_zlema+instanceNo] = workZl[r-1][_zlema+instanceNo]+alpha*(2.0*price-median-workZl[r-1][_zlema+instanceNo]);

      }            

   return(workZl[r][_zlema+instanceNo]);

}

//

//---

//

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);

  }

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