Efficiency ratio directional levels

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

 #property copyright   "© mladen, 2018"

 #property link        "mladenfx@gmail.com"

 #property description "Kaufman efficiency ratio"

 #property description "Directional efficiency ratio"

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



#property indicator_separate_window

#property indicator_buffers 4

#property indicator_plots   3

#property indicator_label1  "Level up"

#property indicator_type1   DRAW_LINE

#property indicator_color1  clrDarkGray

#property indicator_style1  STYLE_DOT

#property indicator_label2  "Level down"

#property indicator_type2   DRAW_LINE

#property indicator_color2  clrDarkGray

#property indicator_style2  STYLE_DOT

#property indicator_label3  "Efficiency ratio"

#property indicator_type3   DRAW_COLOR_LINE

#property indicator_color3  clrDarkGray,clrDeepSkyBlue,clrOrangeRed

#property indicator_width3  2

//

//--- input parameters

//

input int                inpPeriod          = 32;          // ER period

input ENUM_APPLIED_PRICE inpPrice           = PRICE_CLOSE; // Price 

input int                inpSmoothingPeriod = 5;           // Smoothing period

input double             inpLevelPeriod     = 10;          // Levels period

//

//--- buffers and global variables declarations

//

double val[],valc[],lup[],ldn[],ª_alpha,ª_alphal;



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

// Custom indicator initialization function                         

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

int OnInit()

{

   //--- indicator buffers mapping

         SetIndexBuffer(0,lup,INDICATOR_DATA);

         SetIndexBuffer(1,ldn,INDICATOR_DATA);

         SetIndexBuffer(2,val,INDICATOR_DATA);

         SetIndexBuffer(3,valc,INDICATOR_COLOR_INDEX);

   ª_alpha  = 2.0/(1.0+(inpSmoothingPeriod>1? inpSmoothingPeriod :1));

   ª_alphal = 2.0/(1.0+(inpLevelPeriod>1?inpLevelPeriod:1));

   //---

   IndicatorSetString(INDICATOR_SHORTNAME,"Efficiency ratio ("+(string)inpPeriod+")");

   return (INIT_SUCCEEDED);

}

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[])

{

   //

   //---

   //

   

   int i = (prev_calculated>0 ? prev_calculated-1 : 0); for (; i<rates_total && !_StopFlag; i++)

   {

      double _efr    = iEr(getPrice(inpPrice,open,close,high,low,i),inpPeriod,i,rates_total);

             val[i]  = (i>0) ? val[i-1]+ª_alpha*(_efr-val[i-1]) : _efr;

             lup[i]  = (i>0) ? (val[i]<ldn[i-1]) ? lup[i-1] : lup[i-1]+ª_alphal*(val[i]-lup[i-1]) : val[i];

             ldn[i]  = (i>0) ? (val[i]>lup[i-1]) ? ldn[i-1] : ldn[i-1]+ª_alphal*(val[i]-ldn[i-1]) : val[i];

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

   }

   return (i);

}



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

// Custom functions                                                 

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

//

//---

//



#define _checkArrayReserve 500

#define _checkArraySize(_arrayName,_ratesTotal) { static bool _arrayError=false; static int _arrayResizedTo=0; if (_arrayResizedTo<_ratesTotal) { int _res = (_ratesTotal+_checkArrayReserve); _res -= ArrayResize(_arrayName,_ratesTotal+_checkArrayReserve); if (_res) _arrayError=true; else { _arrayResizedTo=_ratesTotal+_checkArrayReserve; }}}



//

//---

//



#define _erInstancesSize 3 

#define _erDirectional

double _erArray[][_erInstancesSize];



double iEr(double value, int period, int i, int bars, int instance=0)

{

   _checkArraySize(_erArray,bars);

   #define _values instance

   #define _diff   instance+1

   #define _noise  instance+2



      //

      //---

      //

      

      instance *= _erInstancesSize;

         _erArray[i][_values] = value;

         _erArray[i][_diff]   = (i>0)? (_erArray[i][_values]>_erArray[i-1][_values]) ? _erArray[i][_values]-_erArray[i-1][_values] : _erArray[i-1][_values]-_erArray[i][_values] : 0;

         if (i<=period)

             { _erArray[i][_noise] = _erArray[i][_diff]; for(int k=1; k<period && (i-k)>=0; k++) _erArray[i][_noise] += _erArray[i-k][_diff]; }

         else  _erArray[i][_noise] = _erArray[i-1][_noise]-_erArray[i-period][_diff]+_erArray[i][_diff];



         //

         //---

         //

      

      #ifdef _erDirectional

            double _efr = (_erArray[i][_noise]!=0 && i>period) ? (_erArray[i][_values]-_erArray[i-period][_values])/_erArray[i][_noise] : 0;

      #else 

            double _efr = (_erArray[i][_noise]!=0 && i>period) ? (_erArray[i][_values]>_erArray[i-period][_values] ? _erArray[i][_values]-_erArray[i-period][_values] : _erArray[i-period][_values]-_erArray[i][_values])/_erArray[i][_noise] : 0;

      #endif              

      return(_efr);   

   

   //

   //---

   //

   

   #undef _values

   #undef _diff

   #undef _noise

   #undef _erDirectional

}



//

//----

//

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

{

   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);

}

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