Corrected T3

ÿþ//------------------------------------------------------------------

#property copyright "© mladen, 2018"

#property link      "mladenfx@gmail.com"

//------------------------------------------------------------------

#property indicator_chart_window

#property indicator_buffers 4

#property indicator_plots   2

#property indicator_label1  "T3"

#property indicator_type1   DRAW_COLOR_LINE

#property indicator_color1  clrDarkGray,clrCrimson,clrLimeGreen

#property indicator_style1  STYLE_DOT

#property indicator_label2  "Corrected T3"

#property indicator_type2   DRAW_COLOR_LINE

#property indicator_color2  clrDarkGray,clrCrimson,clrLimeGreen

#property indicator_width2  2

//--- input parameters

enum enT3Type

  {

   t3_tillson, // Tim Tillson way of calculation

   t3_fulksmat // Fulks/Matulich way of calculation

  };

input double             inpPeriod = 10;           // Period

input double             inpHot    = 0.7;          // T3 hot

input enT3Type           inpT3Type = t3_fulksmat;  // T3 type

input ENUM_APPLIED_PRICE inpPrice  = PRICE_CLOSE;  // Price

//--- indicator buffers

double val[],valc[],avg[],avgc[];

//+------------------------------------------------------------------+ 

//| Custom indicator initialization function                         | 

//+------------------------------------------------------------------+ 

int OnInit()

  {

//--- indicator buffers mapping

   SetIndexBuffer(0,avg,INDICATOR_DATA);

   SetIndexBuffer(1,avgc,INDICATOR_COLOR_INDEX);

   SetIndexBuffer(2,val,INDICATOR_DATA);

   SetIndexBuffer(3,valc,INDICATOR_COLOR_INDEX);

//--- indicator short name assignment

   IndicatorSetString(INDICATOR_SHORTNAME,"Corrected T3 ("+(string)inpPeriod+")");

//---

   return (INIT_SUCCEEDED);

  }

//+------------------------------------------------------------------+

//| Custom indicator de-initialization function                      |

//+------------------------------------------------------------------+

void OnDeinit(const int reason)

  {

  }

//+------------------------------------------------------------------+

//| Custom indicator iteration function                              |

//+------------------------------------------------------------------+

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(Bars(_Symbol,_Period)<rates_total) return(prev_calculated);

   for(int i=(int)MathMax(prev_calculated-1,0); i<rates_total && !IsStopped(); i++)

     {

      double _price   = getPrice(inpPrice,open,close,high,low,i,rates_total);

      avg[i]  = iT3(_price,inpPeriod,inpHot,inpT3Type==t3_tillson,i,rates_total);

      val[i]  = iCorrMa(avg[i],_price,(int)inpPeriod,i,rates_total);

      valc[i] = (i>0) ?(val[i]<avg[i]) ? 2 :(val[i]>avg[i]) ? 1 : valc[i-1]: 0;

      avgc[i] = valc[i];

     }

   return(rates_total);

  }

//+------------------------------------------------------------------+

//| Custom functions                                                 |

//+------------------------------------------------------------------+

#define _corrMaInstances 1

#define _corrMaInstancesSize 3

double workCorrMa[][_corrMaInstances*_corrMaInstancesSize];

#define _price 0

#define _orig  1

#define _corr  2

//

//---

//

double iCorrMa(double _avg, double price, int period, int i, int _bars, int instanceNo=0)

{

   if (ArrayRange(workCorrMa,0)!= _bars) ArrayResize(workCorrMa,_bars); instanceNo*=_corrMaInstancesSize;

      workCorrMa[i][_price] = price;

      workCorrMa[i][_orig]  = _avg;



      //

      //---

      //

      

      double oldMean   = price;

      double newMean   = price;

      double squares   = 0; int k=1;

      for (; k<period && (i-k)>=0; k++)

      {

         newMean  = (workCorrMa[i-k][_price]-oldMean)/(k+1)+oldMean;

         squares += (workCorrMa[i-k][_price]-oldMean)*(workCorrMa[i-k][_price]-newMean);

         oldMean  = newMean;

      }

      double _deviation = MathSqrt(squares/k);

      double v1         = MathPow(_deviation,2);

      double v2         = (i>0) ? MathPow(workCorrMa[i-1][_corr]-workCorrMa[i][_orig],2) : 0;

      double c          = (v2<v1||v2==0) ? 0 : 1-v1/v2;

          workCorrMa[i][_corr] = (i>0) ? workCorrMa[i-1][_corr]+c*(workCorrMa[i][_orig]-workCorrMa[i-1][_corr]) : workCorrMa[i][_orig];

   return(workCorrMa[i][_corr]);

   #undef _price

   #undef _orig

   #undef _corr

}

//

//---

//

#define _t3Instances     1

#define _t3InstancesSize 6

double workT3[][_t3Instances*_t3InstancesSize];

double workT3Coeffs[][6];

#define _period 0

#define _c1     1

#define _c2     2

#define _c3     3

#define _c4     4

#define _alpha  5

//

//---

//

double iT3(double price,double period,double hot,bool original,int r,int bars,int instanceNo=0)

  {

   if(ArrayRange(workT3,0)!=bars) ArrayResize(workT3,bars);

   if(ArrayRange(workT3Coeffs,0)<(instanceNo+1)) ArrayResize(workT3Coeffs,instanceNo+1);

   if(workT3Coeffs[instanceNo][_period]!=period)

     {

      workT3Coeffs[instanceNo][_period]=period;

      workT3Coeffs[instanceNo][_c1] = -hot*hot*hot;

      workT3Coeffs[instanceNo][_c2] = 3*hot*hot+3*hot*hot*hot;

      workT3Coeffs[instanceNo][_c3] = -6*hot*hot-3*hot-3*hot*hot*hot;

      workT3Coeffs[instanceNo][_c4] = 1+3*hot+hot*hot*hot+3*hot*hot;

      if(original)

         workT3Coeffs[instanceNo][_alpha]=2.0/(1.0+period);

      else workT3Coeffs[instanceNo][_alpha]=2.0/(2.0+(period-1.0)/2.0);

     }

   //---

   int buffer=instanceNo*_t3InstancesSize;

   for(int k=0; k<6; k++) workT3[r][k+buffer]=(r>0) ? workT3[r-1][k+buffer]: price;

   if(r>0 && period>1)

     {

      workT3[r][0+buffer] = workT3[r-1][0+buffer]+workT3Coeffs[instanceNo][_alpha]*(price              -workT3[r-1][0+buffer]);

      workT3[r][1+buffer] = workT3[r-1][1+buffer]+workT3Coeffs[instanceNo][_alpha]*(workT3[r][0+buffer]-workT3[r-1][1+buffer]);

      workT3[r][2+buffer] = workT3[r-1][2+buffer]+workT3Coeffs[instanceNo][_alpha]*(workT3[r][1+buffer]-workT3[r-1][2+buffer]);

      workT3[r][3+buffer] = workT3[r-1][3+buffer]+workT3Coeffs[instanceNo][_alpha]*(workT3[r][2+buffer]-workT3[r-1][3+buffer]);

      workT3[r][4+buffer] = workT3[r-1][4+buffer]+workT3Coeffs[instanceNo][_alpha]*(workT3[r][3+buffer]-workT3[r-1][4+buffer]);

      workT3[r][5+buffer] = workT3[r-1][5+buffer]+workT3Coeffs[instanceNo][_alpha]*(workT3[r][4+buffer]-workT3[r-1][5+buffer]);

     }

   return(workT3Coeffs[instanceNo][_c1]*workT3[r][5+buffer] +

          workT3Coeffs[instanceNo][_c2]*workT3[r][4+buffer]+

          workT3Coeffs[instanceNo][_c3]*workT3[r][3+buffer]+

          workT3Coeffs[instanceNo][_c4]*workT3[r][2+buffer]);

  }

//

//---

//

double getPrice(ENUM_APPLIED_PRICE tprice,const double &open[],const double &close[],const double &high[],const double &low[],int i,int _bars)

  {

   if(i>=0)

      switch(tprice)

        {

         case PRICE_CLOSE:     return(close[i]);

         case PRICE_OPEN:      return(open[i]);

         case PRICE_HIGH:      return(high[i]);

         case PRICE_LOW:       return(low[i]);

         case PRICE_MEDIAN:    return((high[i]+low[i])/2.0);

         case PRICE_TYPICAL:   return((high[i]+low[i]+close[i])/3.0);

         case PRICE_WEIGHTED:  return((high[i]+low[i]+close[i]+close[i])/4.0);

        }

   return(0);

  }

//+------------------------------------------------------------------+