//+------------------------------------------------------------------+
//|                                                        FrAMA.mq5 |
//|                        Copyright 2010, MetaQuotes Software Corp. |
//|                                              http://www.mql5.com |
//+------------------------------------------------------------------+
#property copyright   "2010, MetaQuotes Software Corp."
#property link        "http://www.mql5.com"
#property description "Fractal Adaptive Moving Average"
//--- indicator settings
#property indicator_chart_window
#property indicator_buffers 1
#property indicator_plots   1
#property indicator_type1   DRAW_LINE
#property indicator_color1  DarkBlue
#property indicator_width1  1
#property indicator_label1  "FrAMA"
#property indicator_applied_price PRICE_CLOSE
//--- input parameters
input int                  InpPeriodFrAMA=14;            // FrAMA period
input int                  InpShift=0;                   // Indicator's shift
//--- indicator buffers
double                     FrAmaBuffer[];
double                     High[];
double                     Low[];
//+------------------------------------------------------------------+
//| Custom indicator initialization function                         |
//+------------------------------------------------------------------+
void OnInit()
  {
//--- indicator buffers mapping
   SetIndexBuffer(0,FrAmaBuffer,INDICATOR_DATA);
   SetIndexBuffer(1,High,INDICATOR_CALCULATIONS);
   SetIndexBuffer(2,Low,INDICATOR_CALCULATIONS);
//--- sets first bar from what index will be drawn
   PlotIndexSetInteger(0,PLOT_DRAW_BEGIN,2*InpPeriodFrAMA-1);
//--- sets indicator shift
   PlotIndexSetInteger(0,PLOT_SHIFT,InpShift);
//--- name for indicator label
   IndicatorSetString(INDICATOR_SHORTNAME,"FrAMA("+string(InpPeriodFrAMA)+")");
//--- name for index label
   PlotIndexSetString(0,PLOT_LABEL,"FrAMA("+string(InpPeriodFrAMA)+")");
//--- initialization done
  }
//+------------------------------------------------------------------+
//| Fractal Adaptive Moving Average                                  |
//+------------------------------------------------------------------+
int OnCalculate(const int rates_total,
                const int prev_calculated,
                const int begin,
                const double &price[])
  {
//--- check for data
   if(rates_total<2*InpPeriodFrAMA)
      return(0);
//--- preparing calculation
   int limit,copied;
   double Hi1,Hi2,Hi3,Lo1,Lo2,Lo3;
   double N1,N2,N3,D;
   double ALFA;
//--- load High
   if(IsStopped()) return(0); //Checking for stop flag
   copied=CopyHigh(_Symbol,_Period,0,rates_total,High);
   if(copied!=rates_total)
     {
      Print("Can't load High prices.");
      return(0);
     }
//--- load Low
   if(IsStopped()) return(0); //Checking for stop flag
   copied=CopyLow(_Symbol,_Period,0,rates_total,Low);
   if(copied!=rates_total)
     {
      Print("Can't load Low prices.");
      return(0);
     }
//--- start calculations
   if(prev_calculated==0)
     {
      limit=2*InpPeriodFrAMA-1;
      //--- fill in indicator array 
      for(int i=0;i<=limit;i++)
         FrAmaBuffer[i]=price[i];
     }
   else limit=prev_calculated-1;
//--- main cycle
   for(int i=limit;i<rates_total && !IsStopped();i++)
     {
      Hi1=iHighest(i,InpPeriodFrAMA);
      Lo1=iLowest(i,InpPeriodFrAMA);
      Hi2=iHighest(i-InpPeriodFrAMA,InpPeriodFrAMA);
      Lo2=iLowest(i-InpPeriodFrAMA,InpPeriodFrAMA);
      Hi3=iHighest(i,2*InpPeriodFrAMA);
      Lo3=iLowest(i,2*InpPeriodFrAMA);
      N1=(Hi1-Lo1)/InpPeriodFrAMA;
      N2=(Hi2-Lo2)/InpPeriodFrAMA;
      N3=(Hi3-Lo3)/(2*InpPeriodFrAMA);
      D=(log(N1+N2)-log(N3))/log(2.0);
      ALFA=exp(-4.6*(D-1.0));
      FrAmaBuffer[i]=ALFA*price[i]+(1-ALFA)*FrAmaBuffer[i-1];
     }
   return(rates_total);
  }
//+------------------------------------------------------------------+
//| Find the highest value in data range                             |
//+------------------------------------------------------------------+
double iHighest(int StartPos,
                int Depth)
  {
   double res;
//--- check for parameters StartPos and Depth
   if(StartPos<0 || StartPos-Depth+1<0 || Depth<0)
     {
      Print("Invalid parameter in function",__FUNCTION__,": StartPos =",StartPos,", Depth = ",Depth);
      return(0.0);
     }
//--- 
   res=High[StartPos];
   for(int i=StartPos-Depth+1;i<StartPos;i++)
      if(High[i]>res)
         res=High[i];
   return(res);
  }
//+------------------------------------------------------------------+
//| Find the lowest value in data range                              |
//+------------------------------------------------------------------+
double iLowest(int StartPos,
               int Depth)
  {
   double res;
//--- check for parameters StartPos and Depth
   if(StartPos<0 || StartPos-Depth+1<0 || Depth<0)
     {
      Print("Invalid parameter in function",__FUNCTION__,": StartPos =",StartPos,", Depth = ",Depth);
      return(0.0);
     }
//--- 
   res=Low[StartPos];
   for(int i=StartPos-Depth+1;i<StartPos;i++)
      if(Low[i]<res)
         res=Low[i];
   return(res);
  }
//+------------------------------------------------------------------+