//------------------------------------------------------------------ #property copyright "© mladen, 2019" #property link "mladenfx@gmail.com" //------------------------------------------------------------------ #property indicator_separate_window #property indicator_buffers 3 #property indicator_plots 1 #property indicator_label1 "Kalman velocity" #property indicator_type1 DRAW_COLOR_LINE #property indicator_color1 clrDarkGray,clrMediumSeaGreen,clrOrangeRed #property indicator_width1 2 // //--- // enum enTimeFrames { tf_cu = PERIOD_CURRENT, // Current time frame tf_m1 = PERIOD_M1, // 1 minute tf_m2 = PERIOD_M2, // 2 minutes tf_m3 = PERIOD_M3, // 3 minutes tf_m4 = PERIOD_M4, // 4 minutes tf_m5 = PERIOD_M5, // 5 minutes tf_m6 = PERIOD_M6, // 6 minutes tf_m10 = PERIOD_M10, // 10 minutes tf_m12 = PERIOD_M12, // 12 minutes tf_m15 = PERIOD_M15, // 15 minutes tf_m20 = PERIOD_M20, // 20 minutes tf_m30 = PERIOD_M30, // 30 minutes tf_h1 = PERIOD_H1, // 1 hour tf_h2 = PERIOD_H2, // 2 hours tf_h3 = PERIOD_H3, // 3 hours tf_h4 = PERIOD_H4, // 4 hours tf_h6 = PERIOD_H6, // 6 hours tf_h8 = PERIOD_H8, // 8 hours tf_h12 = PERIOD_H12, // 12 hours tf_d1 = PERIOD_D1, // daily tf_w1 = PERIOD_W1, // weekly tf_mn = PERIOD_MN1, // monthly tf_cp1 = -1, // Next higher time frame tf_cp2 = -2, // Second higher time frame tf_cp3 = -3 // Third higher time frame }; input enTimeFrames inpTimeFrame = tf_cu; // Time frame input double inpPeriod = 1; // Period/smoothing ratio input ENUM_APPLIED_PRICE inpPrice = PRICE_CLOSE; // Price enum enIterpolate { interolate_yes=(int)true, // Interpolate data when in multi time frame interolate_no =(int)false // Do not interpolate data when in multi time frame }; input enIterpolate inpInterpolate = interolate_yes; // Interpolation // //--- indicator buffers // double val[],valc[],count[]; ENUM_TIMEFRAMES _indicatorTimeFrame; string _indicatorName; int _indicatorMtfHandle; #define _mtfCall iCustom(_Symbol,_indicatorTimeFrame,_indicatorName,0,inpPeriod,inpPrice) //------------------------------------------------------------------ // Custom indicator initialization function //------------------------------------------------------------------ // // // int OnInit() { // //--- indicator buffers mapping // SetIndexBuffer(0,val ,INDICATOR_DATA); SetIndexBuffer(1,valc ,INDICATOR_COLOR_INDEX); SetIndexBuffer(2,count,INDICATOR_CALCULATIONS); _indicatorTimeFrame = MathMax(_Period,timeFrameGet(inpTimeFrame)); if (_indicatorTimeFrame != _Period) { _indicatorName = getIndicatorName(); _indicatorMtfHandle = _mtfCall; if (!_checkHandle(_indicatorMtfHandle,"Target time frame instance")) return(INIT_FAILED); } else iKalmanFilter.init(inpPeriod); // //--- indicator short name assignment // IndicatorSetString(INDICATOR_SHORTNAME,timeFrameToString(_indicatorTimeFrame)+" Kalman velocity ("+(string)inpPeriod+")"); return (INIT_SUCCEEDED); } void OnDeinit(const int reason) { } //------------------------------------------------------------------ // Custom indicator iteration function //------------------------------------------------------------------ // //--- // #define _setPrice(_priceType,_where,_index) { \ switch(_priceType) \ { \ case PRICE_CLOSE: _where = close[_index]; break; \ case PRICE_OPEN: _where = open[_index]; break; \ case PRICE_HIGH: _where = high[_index]; break; \ case PRICE_LOW: _where = low[_index]; break; \ case PRICE_MEDIAN: _where = (high[_index]+low[_index])/2.0; break; \ case PRICE_TYPICAL: _where = (high[_index]+low[_index]+close[_index])/3.0; break; \ case PRICE_WEIGHTED: _where = (high[_index]+low[_index]+close[_index]+close[_index])/4.0; break; \ default : _where = 0; \ }} // //--- // 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(_indicatorTimeFrame!=_Period) { double result[1]; if (CopyBuffer(_indicatorMtfHandle,2,0,1,result)<0) result[0] = rates_total; // //--- // #define _mtfRatio (double)PeriodSeconds((ENUM_TIMEFRAMES)_indicatorTimeFrame)/PeriodSeconds(_Period) int n,k,i=MathMin(MathMax(prev_calculated-1,0),MathMax(rates_total-int(result[0]*_mtfRatio)-1,0)),_prevMark=-99; datetime _prevTime; for(; i 0 && time[i-n] >= _prevTime; n++) continue; for (k=1; (i-k)>=0 && k0) ? 1 :(_velocity<0) ? 2 : 0; } count[rates_total-1]=MathMax(i-prev_calculated+1,1); return(i); } //------------------------------------------------------------------ // Custom functions //------------------------------------------------------------------ // //--- // class CKalmanFilter { private : double m_period; double m_coeff; struct sKalmanFilter { double filter; double velocity; }; sKalmanFilter m_array[]; int m_arraySize; public : CKalmanFilter() : m_arraySize(-1) {}; ~CKalmanFilter() {}; // // // void init (double period) { m_coeff = (period>0 ? period : 1.0)/100.0; m_period = MathSqrt(m_coeff); } double calculate(double value,double& velocity, int i, int bars) { if (m_arraySize0) { double _distance = value-m_array[i-1].filter; double _error = m_array[i-1].filter+_distance*m_period; m_array[i].velocity = m_array[i-1].velocity+_distance*m_coeff; m_array[i].filter = _error+m_array[i].velocity; } else { m_array[i].filter = value; m_array[i].velocity = 0; } velocity = m_array[i].velocity; return(m_array[i].filter); } }; CKalmanFilter iKalmanFilter; // //--- // ENUM_TIMEFRAMES _tfsPer[]={PERIOD_M1,PERIOD_M2,PERIOD_M3,PERIOD_M4,PERIOD_M5,PERIOD_M6,PERIOD_M10,PERIOD_M12,PERIOD_M15,PERIOD_M20,PERIOD_M30,PERIOD_H1,PERIOD_H2,PERIOD_H3,PERIOD_H4,PERIOD_H6,PERIOD_H8,PERIOD_H12,PERIOD_D1,PERIOD_W1,PERIOD_MN1}; string _tfsStr[]={"1 minute","2 minutes","3 minutes","4 minutes","5 minutes","6 minutes","10 minutes","12 minutes","15 minutes","20 minutes","30 minutes","1 hour","2 hours","3 hours","4 hours","6 hours","8 hours","12 hours","daily","weekly","monthly"}; // //--- // string timeFrameToString(int period) { if(period==PERIOD_CURRENT) period=_Period; int i; for(i=0;i=0 && _partsA[n]!="indicators"; n--) name=_partsA[n]+"\\"+name; return(name); } // //--- // bool _checkHandle(int _handle, string _description) { static int _chandles[]; int _size = ArraySize(_chandles); bool _answer = (_handle!=INVALID_HANDLE); if (_answer) { ArrayResize(_chandles,_size+1); _chandles[_size]=_handle; } else { for (int i=_size-1; i>=0; i--) IndicatorRelease(_chandles[i]); ArrayResize(_chandles,0); Alert(_description+" initialization failed"); } return(_answer); } //------------------------------------------------------------------