//+------------------------------------------------------------------+ //| ROC Smoothed MTF.mq4 //| Copyright © 2006, Robert Hill // modified by Boxter //+------------------------------------------------------------------+ #property copyright "Copyright © 2006, Robert Hill" //---- indicator settings #property indicator_separate_window #property indicator_buffers 3 #property indicator_color1 PaleVioletRed #property indicator_color2 LimeGreen #property indicator_color3 DarkSlateGray #property indicator_width1 2 #property indicator_width2 2 #property indicator_width3 2 //---- indicator parameters extern ENUM_TIMEFRAMES TimeFrame = PERIOD_CURRENT; extern int RPeriod = 5; extern bool UsePercent = true; extern bool Smoothing = true; extern int PriceSmoothing = 6; extern int PriceSmoothingPhase = 0; //---- indicator buffers double RateOfChange[]; double trend[]; double valUp[]; double valDn[]; string indicatorFileName; bool returnBars; //+------------------------------------------------------------------+ //| Custom indicator initialization function | //+------------------------------------------------------------------+ int init(){ //---- drawing settings IndicatorBuffers(4); SetIndexBuffer(0, valDn); SetIndexStyle(0,DRAW_HISTOGRAM); SetIndexBuffer(1, valUp); SetIndexStyle(1,DRAW_HISTOGRAM); SetIndexBuffer(2, RateOfChange); SetIndexBuffer(3, trend); indicatorFileName = WindowExpertName(); returnBars = TimeFrame==-99; TimeFrame = MathMax(TimeFrame,_Period); IndicatorShortName(timeFrameToString(TimeFrame)+ " ROC2 Smoothed MTF(" + RPeriod + ")"); //---- initialization done return(0); } //+------------------------------------------------------------------+ //| ROC calculation | //+------------------------------------------------------------------+ int start(){ int limit,r,i; double ROC, CurrentClose, PrevClose; int counted_bars = IndicatorCounted(); //---- check for possible errors if(counted_bars < 0) return(-1); //---- last counted bar will be recounted if(counted_bars > 0) counted_bars--; limit = MathMin(Bars - counted_bars,Bars-1); if (returnBars) { valDn[0] = limit+1; return(0); } //Current TF calculation if (TimeFrame==Period()){ for(r=limit,i=Bars-r-1; r>=0; r--,i++){ CurrentClose = iClose(NULL, 0, r); PrevClose = iClose(NULL, 0, r + RPeriod); ROC = CurrentClose - PrevClose; if(Smoothing==1) ROC = iSmooth(ROC,PriceSmoothing,PriceSmoothingPhase,r,0); if(UsePercent){ if(PrevClose != 0)RateOfChange[r] = 100 * ROC / PrevClose;} else RateOfChange[r] = ROC; valUp[r] = EMPTY_VALUE; valDn[r] = EMPTY_VALUE; trend[r] = trend[r+1]; if (RateOfChange[r]>0) trend[r] = 1; if (RateOfChange[r]<0) trend[r] = -1; if (trend[r] == 1) valUp[r] = RateOfChange[r]; if (trend[r] == -1) valDn[r] = RateOfChange[r]; } return(0); } //mtf Calculation limit = MathMax(limit,MathMin(Bars-1,iCustom(NULL,TimeFrame,indicatorFileName,-99,0,0)*TimeFrame/Period())); for(i=limit; i>=0; i--){ int y = iBarShift(NULL,TimeFrame,Time[i]); valDn[i] = iCustom(NULL,TimeFrame,indicatorFileName,PERIOD_CURRENT,RPeriod,UsePercent,Smoothing,PriceSmoothing,PriceSmoothingPhase,0,y); valUp[i] = iCustom(NULL,TimeFrame,indicatorFileName,PERIOD_CURRENT,RPeriod,UsePercent,Smoothing,PriceSmoothing,PriceSmoothingPhase,1,y); RateOfChange[i] = iCustom(NULL,TimeFrame,indicatorFileName,PERIOD_CURRENT,RPeriod,UsePercent,Smoothing,PriceSmoothing,PriceSmoothingPhase,2,y); } return(0); } //+------------------------------------------------------------------ //| Smooth function //+------------------------------------------------------------------ double wrk[][50]; #define bsmax 5 #define bsmin 6 #define volty 7 #define vsum 8 #define avolty 9 double iSmooth(double price, double length, double phase, int i, int s=0){ if (ArrayRange(wrk,0) != Bars) ArrayResize(wrk,Bars); int r = Bars-i-1; if (r==0) { for(int k=0; k<7; k++) wrk[0][k+s]= price; for(; k<10; k++) wrk[0][k+s]= 0; return(price); } double len1 = MathMax(MathLog(MathSqrt(0.5*(length-1)))/MathLog(2.0)+2.0,0); double pow1 = MathMax(len1-2.0,0.5); double del1 = price - wrk[r-1][bsmax+s]; double del2 = price - wrk[r-1][bsmin+s]; wrk[r][volty+s] = 0; if(MathAbs(del1) > MathAbs(del2)) wrk[r][volty+s] = MathAbs(del1); if(MathAbs(del1) < MathAbs(del2)) wrk[r][volty+s] = MathAbs(del2); wrk[r][vsum+s] = wrk[r-1][vsum+s] + 0.1*(wrk[r][volty+s]-wrk[r-10][volty+s]); double avgLen = MathMin(MathMax(4.0*length,30),150); if (r=0 ; k++) avg += wrk[r-k][vsum+s]; avg /= k; } else avg = (wrk[r-1][avolty+s]*avgLen-wrk[r-toInt(avgLen)][vsum+s]+wrk[r][vsum+s])/avgLen; wrk[r][avolty+s] = avg; if (wrk[r][avolty+s] > 0)double dVolty = wrk[r][volty+s]/wrk[r][avolty+s]; else dVolty = 0; if (dVolty > MathPow(len1,1.0/pow1)) dVolty = MathPow(len1,1.0/pow1); if (dVolty < 1) dVolty = 1.0; double pow2 = MathPow(dVolty, pow1); double len2 = MathSqrt(0.5*(length-1))*len1; double Kv = MathPow(len2/(len2+1), MathSqrt(pow2)); if (del1 > 0) wrk[r][bsmax+s] = price; else wrk[r][bsmax+s] = price - Kv*del1; if (del2 < 0) wrk[r][bsmin+s] = price; else wrk[r][bsmin+s] = price - Kv*del2; double R = MathMax(MathMin(phase,100),-100)/100.0 + 1.5; double beta = 0.45*(length-1)/(0.45*(length-1)+2); double alpha = MathPow(beta,pow2); wrk[r][0+s] = price + alpha*(wrk[r-1][0+s]-price); wrk[r][1+s] = (price - wrk[r][0+s])*(1-beta) + beta*wrk[r-1][1+s]; wrk[r][2+s] = (wrk[r][0+s] + R*wrk[r][1+s]); wrk[r][3+s] = (wrk[r][2+s] - wrk[r-1][4+s])*MathPow((1-alpha),2) + MathPow(alpha,2)*wrk[r-1][3+s]; wrk[r][4+s] = (wrk[r-1][4+s] + wrk[r][3+s]); return(wrk[r][4+s]); } int toInt(double value) { return(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(""); }