//+------------------------------------------------------------------+ //| Volatility quality.mq4 | //| | //| | //| Volatility quality index originaly developed by | //| Thomas Stridsman (August 2002 Active Trader Magazine) | //| | //| Price pre-smoothing and filter added by raff1410 | //+------------------------------------------------------------------+ #property copyright "mladen" #property link "mladenfx@gmail.com" #property indicator_separate_window #property indicator_buffers 2 // // // // // extern ENUM_TIMEFRAMES TimeFrame = PERIOD_CURRENT; // Time frame to use extern int PriceSmoothing = 5; extern ENUM_MA_METHOD PriceSmoothingMethod = MODE_LWMA; extern int MA1Period = 9; extern int MA2Period = 200; extern int Filter = 5; input int inpHistoWidth = 2; // Histogram bars width input color inpUpHistoColor = clrDodgerBlue; // Bullish color input color inpDnHistoColor = clrRed; // Bearish color input bool arrowsVisible = false; // Arrows visible true/false? input bool arrowsOnNewest = false; // Arrows drawn on newest bar of higher time frame bar true/false? input string arrowsIdentifier = "vq Arrows1"; // Unique ID for arrows input double arrowsUpperGap = 0.5; // Upper arrow gap input double arrowsLowerGap = 0.5; // Lower arrow gap input color arrowsUpColor = clrBlue; // Up arrow color input color arrowsDnColor = clrCrimson; // Down arrow color input int arrowsUpCode = 221; // Up arrow code input int arrowsDnCode = 222; // Down arrow code input int arrowsUpSize = 2; // Up arrow size input int arrowsDnSize = 2; // Down arrow size input bool Interpolate = true; // Interpolate in mtf mode? // // // // // double sumVqi[]; double upH[]; double dnH[]; double sumVqi1[]; double sumVqi2[]; double Vqi[]; double trend[]; double atrend[],count[]; string indicatorFileName; #define _mtfCall(_buff,_ind) iCustom(NULL,TimeFrame,indicatorFileName,PERIOD_CURRENT,PriceSmoothing,PriceSmoothingMethod,MA1Period,MA2Period,Filter,inpHistoWidth,inpUpHistoColor,inpDnHistoColor,arrowsVisible,arrowsOnNewest,arrowsIdentifier,arrowsUpperGap,arrowsLowerGap,arrowsUpColor,arrowsDnColor,arrowsUpCode,arrowsDnCode,arrowsUpSize,arrowsDnSize,_buff,_ind) //+------------------------------------------------------------------+ //| | //+------------------------------------------------------------------+ // // // // // int OnInit() { IndicatorBuffers(6); SetIndexBuffer(0,upH,INDICATOR_DATA); SetIndexStyle(0,DRAW_HISTOGRAM,EMPTY,inpHistoWidth,inpUpHistoColor); SetIndexBuffer(1,dnH,INDICATOR_DATA); SetIndexStyle(1,DRAW_HISTOGRAM,EMPTY,inpHistoWidth,inpDnHistoColor); SetIndexBuffer(2,sumVqi); SetIndexBuffer(3,Vqi); SetIndexBuffer(4,trend); SetIndexBuffer(5,count); IndicatorSetDouble(INDICATOR_MINIMUM,0); IndicatorSetDouble(INDICATOR_MAXIMUM,1); PriceSmoothing = fmax(PriceSmoothing,1); indicatorFileName = WindowExpertName(); TimeFrame = fmax(TimeFrame,_Period); IndicatorSetString(INDICATOR_SHORTNAME,timeFrameToString(TimeFrame)+" VQ ("+(string)PriceSmoothing+","+(string)MA1Period+")"); return(INIT_SUCCEEDED); } void OnDeinit(const int reason) { string lookFor = arrowsIdentifier+":"; int lookForLength = StringLen(lookFor); for (int i=ObjectsTotal()-1; i>=0; i--) { string objectName = ObjectName(i); if (StringSubstr(objectName,0,lookForLength) == lookFor) ObjectDelete(objectName); } } // // // // // 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[]) { int i,limit=fmin(rates_total-prev_calculated+1,rates_total-1); count[0]=limit; if (TimeFrame!=_Period) { limit = (int)fmax(limit,fmin(rates_total-1,_mtfCall(5,0)*TimeFrame/_Period)); for (i=limit;i>=0 && !_StopFlag; i--) { int y = iBarShift(NULL,TimeFrame,time[i]); upH[i] = _mtfCall(0,y); dnH[i] = _mtfCall(1,y); } return(rates_total); } // // // for(i=limit; i>=0; i--) { if (i==(Bars-1)) { Vqi[i] = 0; sumVqi[i] = 0; continue; } // // // // // double cHigh = iMA(NULL,0,PriceSmoothing,0,PriceSmoothingMethod,PRICE_HIGH ,i); double cLow = iMA(NULL,0,PriceSmoothing,0,PriceSmoothingMethod,PRICE_LOW ,i); double cOpen = iMA(NULL,0,PriceSmoothing,0,PriceSmoothingMethod,PRICE_OPEN ,i); double cClose = iMA(NULL,0,PriceSmoothing,0,PriceSmoothingMethod,PRICE_CLOSE,i); double pClose = iMA(NULL,0,PriceSmoothing,0,PriceSmoothingMethod,PRICE_CLOSE,i+1); double trueRange = MathMax(cHigh,pClose)-MathMin(cLow,pClose); double range = cHigh-cLow; if (range != 0 && trueRange!=0) double vqi = ((cClose-pClose)/trueRange + (cClose-cOpen)/range)*0.5; else vqi = Vqi[i+1]; // // // // // Vqi[i] = MathAbs(vqi)*(cClose-pClose+cClose-cOpen)*0.5; sumVqi[i] = sumVqi[i+1]+Vqi[i]; if (Filter > 0) if (MathAbs(sumVqi[i]-sumVqi[i+1]) < Filter*_Point) sumVqi[i] = sumVqi[i+1]; trend[i] = (i sumVqi[i+1]) ? 1 : (sumVqi[i] < sumVqi[i+1]) ? -1 : trend[i+1] : 0; upH[i] = (trend[i] == 1) ? 1 : EMPTY_VALUE; dnH[i] = (trend[i] ==-1) ? 1 : EMPTY_VALUE; // // // if (arrowsVisible) { string lookFor = arrowsIdentifier+":"+(string)time[i]; ObjectDelete(lookFor); if (i<(rates_total-1) && trend[i] != trend[i+1]) { if (trend[i] == 1) drawArrow(i,arrowsUpColor,arrowsUpCode,arrowsUpSize,false); if (trend[i] ==-1) drawArrow(i,arrowsDnColor,arrowsDnCode,arrowsDnSize, true); } } } return(0); } //------------------------------------------------------------------- // //------------------------------------------------------------------- void CleanPoint(int i,double& first[],double& second[]) { if (i>=Bars-3) return; if ((second[i] != EMPTY_VALUE) && (second[i+1] != EMPTY_VALUE)) second[i+1] = EMPTY_VALUE; else if ((first[i] != EMPTY_VALUE) && (first[i+1] != EMPTY_VALUE) && (first[i+2] == EMPTY_VALUE)) first[i+1] = EMPTY_VALUE; } void PlotPoint(int i,double& first[],double& second[],double& from[]) { if (i>=Bars-2) return; if (first[i+1] == EMPTY_VALUE) if (first[i+2] == EMPTY_VALUE) { first[i] = from[i]; first[i+1] = from[i+1]; second[i] = EMPTY_VALUE; } else { second[i] = from[i]; second[i+1] = from[i+1]; first[i] = EMPTY_VALUE; } else { first[i] = from[i]; second[i] = EMPTY_VALUE; } } // // // string sTfTable[] = {"M1","M5","M15","M30","H1","H4","D1","W1","MN"}; int iTfTable[] = {1,5,15,30,60,240,1440,10080,43200}; string timeFrameToString(int tf) { for (int i=ArraySize(iTfTable)-1; i>=0; i--) if (tf==iTfTable[i]) return(sTfTable[i]); return(""); } //------------------------------------------------------------------- // //------------------------------------------------------------------- void drawArrow(int i,color theColor,int theCode, int theSize, bool up) { string name = arrowsIdentifier+":"+(string)Time[i]; double gap = iATR(NULL,0,20,i); // // // datetime atime = Time[i]; if (arrowsOnNewest) atime += _Period*60-1; ObjectCreate(name,OBJ_ARROW,0,atime,0); ObjectSet(name,OBJPROP_ARROWCODE,theCode); ObjectSet(name,OBJPROP_COLOR,theColor); ObjectSet(name,OBJPROP_WIDTH,theSize); if (up) ObjectSet(name,OBJPROP_PRICE1,High[i] + arrowsUpperGap * gap); else ObjectSet(name,OBJPROP_PRICE1,Low[i] - arrowsLowerGap * gap); }