223 lines
16 KiB
Plaintext
223 lines
16 KiB
Plaintext
//------------------------------------------------------------------
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#property copyright "© mladen, 2018"
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#property link "mladenfx@gmail.com"
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#property description "Recursive Median Oscillator"
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//+------------------------------------------------------------------
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#property indicator_separate_window
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#property indicator_buffers 6
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#property indicator_plots 4
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#property indicator_label1 "Upper level"
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#property indicator_type1 DRAW_LINE
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#property indicator_color1 clrGray
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#property indicator_style1 STYLE_DOT
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#property indicator_label2 "Middle level"
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#property indicator_type2 DRAW_LINE
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#property indicator_color2 clrGray
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#property indicator_style2 STYLE_DOT
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#property indicator_label3 "Lower level"
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#property indicator_type3 DRAW_LINE
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#property indicator_color3 clrGray
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#property indicator_style3 STYLE_DOT
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#property indicator_label4 "RMO"
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#property indicator_type4 DRAW_COLOR_LINE
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#property indicator_color4 clrDarkGray,clrMediumSeaGreen,clrOrangeRed
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#property indicator_width4 2
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//
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//
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//
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input int inpPeriod = 12; // Low pass period
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input int inpPeriod2 = 30; // High pass period
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input int inpPeriod3 = 5; // Median period
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input ENUM_APPLIED_PRICE inpPrice = PRICE_CLOSE; // Price
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enum enColorChangeOn
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{
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cchange_onSlope, // Change color on slope change
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cchange_onLevels, // Change color on outer levels cross
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cchange_onZero // Change color on middle level cross
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};
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input int inpFlPeriod = 25; // Floating levels period
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input double inpFlLevelUp = 90; // Floating levels up %
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input double inpFlLevelDn = 10; // Floating levels down %
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input enColorChangeOn inpColorChange = cchange_onLevels; // Color changing mode
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//
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//---
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//
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double val[],valc[],levu[],levd[],levm[],prices[];
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//------------------------------------------------------------------
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// Custom indicator initialization function
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//------------------------------------------------------------------
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//
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//
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//
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int OnInit()
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{
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//
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//--- indicator buffers mapping
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//
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SetIndexBuffer(0,levu ,INDICATOR_DATA);
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SetIndexBuffer(1,levm ,INDICATOR_DATA);
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SetIndexBuffer(2,levd ,INDICATOR_DATA);
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SetIndexBuffer(3,val ,INDICATOR_DATA);
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SetIndexBuffer(4,valc ,INDICATOR_COLOR_INDEX);
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SetIndexBuffer(5,prices,INDICATOR_CALCULATIONS);
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iRmo.init(inpPeriod,inpPeriod2,inpPeriod3);
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//
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//--- indicator short name assignment
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//
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IndicatorSetString(INDICATOR_SHORTNAME,"RMO ("+(string)inpPeriod+","+(string)inpPeriod2+","+(string)inpPeriod3+")");
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return (INIT_SUCCEEDED);
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}
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void OnDeinit(const int reason) { }
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//------------------------------------------------------------------
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// Custom indicator iteration function
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//------------------------------------------------------------------
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//
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//---
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//
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#define _setPrice(_priceType,_target,_index) \
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{ \
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switch(_priceType) \
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{ \
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case PRICE_CLOSE: _target = close[_index]; break; \
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case PRICE_OPEN: _target = open[_index]; break; \
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case PRICE_HIGH: _target = high[_index]; break; \
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case PRICE_LOW: _target = low[_index]; break; \
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case PRICE_MEDIAN: _target = (high[_index]+low[_index])/2.0; break; \
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case PRICE_TYPICAL: _target = (high[_index]+low[_index]+close[_index])/3.0; break; \
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case PRICE_WEIGHTED: _target = (high[_index]+low[_index]+close[_index]+close[_index])/4.0; break; \
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default : _target = 0; \
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}}
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//
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//---
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//
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int OnCalculate(const int rates_total,const int prev_calculated,const datetime &time[],
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const double &open[],
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const double &high[],
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const double &low[],
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const double &close[],
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const long &tick_volume[],
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const long &volume[],
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const int &spread[])
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{
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static int prev_i=-1;
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static double prev_max,prev_min;
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//
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//
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//
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int i=prev_calculated-1; if (i<0) i=0; for (; i<rates_total && !_StopFlag; i++)
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{
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_setPrice(inpPrice,prices[i],i);
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val[i] = iRmo.calculate(prices,i);
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if (prev_i!=i)
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{
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prev_i = i;
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int start = i-inpFlPeriod+1; if (start<0) start=0;
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prev_max = val[ArrayMaximum(val,start,inpFlPeriod-1)];
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prev_min = val[ArrayMinimum(val,start,inpFlPeriod-1)];
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}
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double max = (val[i] > prev_max) ? val[i] : prev_max;
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double min = (val[i] < prev_min) ? val[i] : prev_min;
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double range = (max-min)/100.0;
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levu[i] = min+inpFlLevelUp*range;
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levd[i] = min+inpFlLevelDn*range;
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levm[i] = (levu[i]+levd[i])/2;
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//
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//
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//
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switch (inpColorChange)
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{
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case cchange_onLevels : valc[i] = (val[i]>levu[i]) ? 1 :(val[i]<levd[i]) ? 2 : 0; break;
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case cchange_onSlope : valc[i] = (i>0) ? (val[i]>val[i-1]) ? 1 :(val[i]<val[i-1]) ? 2 : valc[i-1] : 0; break;
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case cchange_onZero : valc[i] = (val[i]>levm[i]) ? 1 :(val[i]<levm[i]) ? 2 : 0; break;
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}
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}
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return(i);
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}
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//------------------------------------------------------------------
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// Custom functions
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//------------------------------------------------------------------
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//
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//---
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//
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class CRmo
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{
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private :
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int m_lowPass_period;
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int m_highPass_period;
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int m_median_period;
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int m_arraySize;
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int m_1;
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int m_2;
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double m_alpha1;
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double m_alpha2;
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double m_sort[];
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struct sRmoStruct
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{
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double rm;
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double rmo;
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};
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sRmoStruct m_array[];
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public :
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CRmo(void) { init(1,1,1); return; }
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~CRmo(void) { ArrayFree(m_array); ArrayFree(m_sort); return; }
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//
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//
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//
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bool init(int lowPassPeriod, int highPassPeriod, int medianPeriod)
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{
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m_lowPass_period = (lowPassPeriod>1) ? lowPassPeriod : 1;
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m_highPass_period = (highPassPeriod>1) ? highPassPeriod : 1;
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m_median_period = (medianPeriod>1) ? medianPeriod : 1;
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m_alpha1 = (MathCos( 2*M_PI/m_lowPass_period ) + MathSin( 2*M_PI/m_lowPass_period )-1.0)/MathCos( 2*M_PI/m_lowPass_period );
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m_alpha2 = (MathCos(0.707*2*M_PI/m_highPass_period) + MathSin(0.707*2*M_PI/m_highPass_period)-1.0)/MathCos(0.707*2*M_PI/m_highPass_period);
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m_1 = int(m_median_period/2.0);
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m_2 = (2*m_1==m_median_period) ? m_1-1 : m_1;
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//
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//---
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//
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m_arraySize = 32;
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if (ArrayResize(m_array,m_arraySize)!=m_arraySize) return(false);
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if (ArrayResize(m_sort ,m_median_period)!=m_median_period) return(false);
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return(true);
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}
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double calculate(double& values[], int i)
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{
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int _indC = (i)%m_arraySize;
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if (i>2)
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{
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int _indP = (i-1)%m_arraySize;
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int _indS = (i-2)%m_arraySize;
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int _start = i-m_median_period+1; if (_start<0) _start=0;
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ArrayCopy(m_sort,values,0,_start,m_median_period);
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ArraySort(m_sort);
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m_array[_indC].rm = m_alpha1*(m_sort[m_1]+m_sort[m_2])/2.0+(1-m_alpha1)*m_array[_indP].rm;
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m_array[_indC].rmo = (1-m_alpha2/2.0)*(1-m_alpha2/2.0)*(m_array[_indC].rm-2.0*m_array[_indP].rm+m_array[_indS].rm) + 2.0*(1-m_alpha2)*m_array[_indP].rmo-(1-m_alpha2)*(1-m_alpha2)*m_array[_indS].rmo;
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}
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else m_array[_indC].rm = m_array[_indC].rmo = 0;
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return(m_array[_indC].rmo);
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}
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};
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CRmo iRmo; |