//+------------------------------------------------------------------+ //| 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 #property indicator_color1 DeepSkyBlue #property indicator_color2 Silver #property indicator_minimum 0 #property indicator_maximum 1 #property indicator_width1 3 #property indicator_width2 3 #property strict // // // // // extern ENUM_TIMEFRAMES TimeFrame = PERIOD_CURRENT; // Time frame to use extern int PreSmooth = 5; // Pre smoothing period extern double PreSmoothPhase = 0; // Pre smoothing phase extern bool PreSmoothDouble = false; // Pre smoothing should be double smoothing extern int JMA1Period = 14; // First jma period extern double JMA1Phase = 0; // First jma phase extern bool JMA1Double = false; // First jma should be double extern int JMA2Period = 100; // Second jma period extern double JMA2Phase = 0; // Second jma phase extern bool JMA2Double = false; // Second jma should be double extern int Filter = 0; // Filter length extern bool alertsOn = false; // Turn alerts on extern bool alertsOnCurrent = true; // Alert on current (still opened) bar extern bool alertsMessage = true; // Alerts should show popup message extern bool alertsSound = false; // Alerts should play a sound extern bool alertsEmail = false; // alerts should send email extern bool alertsPush = false; // alerts should send push notification // // // // // double sumVqi[]; double sumVqida[]; double sumVqidb[]; double sumVqi1[]; double sumVqi2[]; double Vqi[]; double trend[]; string indicatorFileName; bool returnBars; //+------------------------------------------------------------------+ //| | //+------------------------------------------------------------------+ // // // // // int init() { IndicatorBuffers(7); SetIndexBuffer(0,sumVqida); SetIndexStyle(0,DRAW_HISTOGRAM); SetIndexBuffer(1,sumVqidb); SetIndexStyle(1,DRAW_HISTOGRAM); SetIndexBuffer(2,sumVqi1); SetIndexBuffer(3,sumVqi2); SetIndexBuffer(4,sumVqi); SetIndexBuffer(5,Vqi); SetIndexBuffer(6,trend); // // // // // indicatorFileName = WindowExpertName(); returnBars = TimeFrame==-99; TimeFrame = MathMax(TimeFrame,_Period); // // // // // IndicatorShortName(timeFrameToString(TimeFrame)+" VQ on jurik "); return(0); } int deinit() { return(0); } //+------------------------------------------------------------------+ //| | //+------------------------------------------------------------------+ // // // // // int start() { int counted_bars=IndicatorCounted(); if(counted_bars<0) return(-1); if(counted_bars>0) counted_bars--; int limit = MathMin(Bars-counted_bars,Bars-1); if (returnBars) { sumVqi1[0] = limit+1; return(0); } // // // // // if (TimeFrame==Period()) { for(int i=limit; i>=0; i--) { if (i==(Bars-1)) { Vqi[i] = 0; sumVqi[i] = 0; continue; } // // // // // double cHigh = iDSmooth(iMA(NULL,0,1,0,MODE_SMA,PRICE_HIGH,i), PreSmooth,PreSmoothPhase,PreSmoothDouble,i, 0); double cLow = iDSmooth(iMA(NULL,0,1,0,MODE_SMA,PRICE_LOW,i), PreSmooth,PreSmoothPhase,PreSmoothDouble,i, 20); double cOpen = iDSmooth(iMA(NULL,0,1,0,MODE_SMA,PRICE_OPEN,i), PreSmooth,PreSmoothPhase,PreSmoothDouble,i, 40); double cClose = iDSmooth(iMA(NULL,0,1,0,MODE_SMA,PRICE_CLOSE,i), PreSmooth,PreSmoothPhase,PreSmoothDouble,i, 60); double pClose = iDSmooth(iMA(NULL,0,1,0,MODE_SMA,PRICE_CLOSE,i+1),PreSmooth,PreSmoothPhase,PreSmoothDouble,i+1,80); double trueRange = MathMax(cHigh,pClose)-MathMin(cLow,pClose); double range = cHigh-cLow; double vqi = i<(Bars-1) ? 0 : Vqi[i+1]; if (range != 0 && trueRange!=0) vqi = ((cClose-pClose)/trueRange + (cClose-cOpen)/range)*0.5; // // // // // 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]; } for(int i=limit; i>=0; i--) { if (JMA1Period > 1) sumVqi1[i] = iDSmooth(sumVqi[i],JMA1Period,JMA1Phase,JMA1Double,i,100); if (JMA2Period > 1) sumVqi2[i] = iDSmooth(sumVqi[i],JMA2Period,JMA2Phase,JMA2Double,i,120); // // // // // sumVqida[i] = EMPTY_VALUE; sumVqidb[i] = EMPTY_VALUE; if (i<(Bars-1)) { trend[i] = trend[i+1]; if (sumVqi[i] > sumVqi2[i]) trend[i] = 1; if (sumVqi[i] < sumVqi2[i]) trend[i] = -1; if (trend[i] == 1) sumVqida[i] = 1; if (trend[i] ==-1) sumVqidb[i] = 1; } } manageAlerts(); return(0); } // // // // // limit = (int)MathMax(limit,MathMin(Bars-1,iCustom(NULL,TimeFrame,indicatorFileName,-99,0,0)*TimeFrame/Period())); for (int i=limit;i>=0;i--) { int y = iBarShift(NULL,TimeFrame,Time[i]); sumVqida[i] = EMPTY_VALUE; sumVqidb[i] = EMPTY_VALUE; trend[i] = iCustom(NULL,TimeFrame,indicatorFileName,PERIOD_CURRENT,PreSmooth,PreSmoothPhase,PreSmoothDouble,JMA1Period,JMA1Phase,JMA1Double,JMA2Period,JMA2Phase,JMA2Double,Filter,alertsOn,alertsOnCurrent,alertsMessage,alertsSound,alertsEmail,alertsPush,6,y); if (trend[i] == 1) sumVqida[i] = 1; if (trend[i] ==-1) sumVqidb[i] = 1; } return(0); } //+------------------------------------------------------------------+ //| | //+------------------------------------------------------------------+ // // // // // double wrk[][140]; #define bsmax 5 #define bsmin 6 #define volty 7 #define vsum 8 #define avolty 9 // // // // // double iDSmooth(double price, double length, double phase, bool isDouble, int i, int s=0) { if (isDouble) return (iSmooth(iSmooth(price,MathSqrt(length),phase,i,s),MathSqrt(length),phase,i,s+10)); else return (iSmooth(price,length,phase,i,s)); } // // // // // double iSmooth(double price, double length, double phase, int i, int s=0) { if (length <=1) return(price); if (ArrayRange(wrk,0) != Bars) ArrayResize(wrk,Bars); int r = Bars-i-1; if (r<2) { int k; for(k=0; k<7; k++) wrk[r][k+s]=price; for(; k<10; k++) wrk[r][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]; double div = 1.0/(10.0+10.0*(MathMin(MathMax(length-10,0),100))/100); int forBar = MathMin(r,10); 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] + (wrk[r][volty+s]-wrk[r-forBar][volty+s])*div; // // // // // wrk[r][avolty+s] = wrk[r-1][avolty+s]+(2.0/(MathMax(4.0*length,30)+1.0))*(wrk[r][vsum+s]-wrk[r-1][avolty+s]); double dVolty = 0; if (wrk[r][avolty+s] > 0) dVolty = wrk[r][volty+s]/wrk[r][avolty+s]; 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]); } //+------------------------------------------------------------------+ //| | //+------------------------------------------------------------------+ // // // // // void manageAlerts() { if (alertsOn) { int whichBar = 1; if (alertsOnCurrent) whichBar = 0; if (trend[whichBar] != trend[whichBar+1]) { if (trend[whichBar] == 1) doAlert(whichBar,"up"); if (trend[whichBar] == -1) doAlert(whichBar,"down"); } } } // // // // // void doAlert(int forBar, string doWhat) { static string previousAlert="nothing"; static datetime previousTime; string message; if (previousAlert != doWhat || previousTime != Time[forBar]) { previousAlert = doWhat; previousTime = Time[forBar]; // // // // // message = StringConcatenate(Symbol()," ",timeFrameToString(_Period)," at ",TimeToStr(TimeLocal(),TIME_SECONDS)," VQ nrp changed direction to ",doWhat); if (alertsMessage) Alert(message); if (alertsEmail) SendMail(StringConcatenate(Symbol()," VQ nrp "),message); if (alertsPush) SendNotification(message); if (alertsSound) PlaySound("alert2.wav"); } } //+------------------------------------------------------------------- //| //+------------------------------------------------------------------- // // // // // 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(""); }