Hann filter

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

#property copyright   "© mladen, 2021"

#property link        "mladenfx@gmail.com"

#property description "Hann windowing filter"

#property version     "1.00"

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

#property indicator_chart_window

#property indicator_buffers  2

#property indicator_plots    1

#property indicator_label1   "Hann average"

#property indicator_type1    DRAW_COLOR_LINE

#property indicator_color1   clrDarkGray,clrDeepSkyBlue,clrCoral

#property indicator_width1   2



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input int                inpPeriod  = 14;          // Period

input ENUM_APPLIED_PRICE inpPrice   = PRICE_CLOSE; // Price

input double             inpSpeedUp = 0.0;         // Spped up factor



//

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double val[],valc[];

struct sGlobalStruct

{

   int    period;

   double coeffs[];

   double coeffsSum;

};

sGlobalStruct global;



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

//

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int OnInit()

{

   SetIndexBuffer(0,val ,INDICATOR_DATA);

   SetIndexBuffer(1,valc,INDICATOR_COLOR_INDEX);

   

      //

      //

      //



            global.period    = MathMax(inpPeriod,1);

            global.coeffsSum = 0;

               double _speedUp = 1;

               ArrayResize(global.coeffs,global.period);

               for (int i=0; i<global.period; i++)

                  {

                     double _coeff = 1.0 - MathCos((2.0*M_PI*(i+1))/(global.period+1.0));

                           global.coeffs[i]  = _coeff/_speedUp;

                           global.coeffsSum += _coeff/_speedUp;

                                                      _speedUp += MathMax(0,inpSpeedUp);

                  }



      //

      //

      //



   IndicatorSetString(INDICATOR_SHORTNAME,StringFormat("Hann average (%i)",global.period));            

   return(INIT_SUCCEEDED);

}

void OnDeinit(const int reason) { return; }



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

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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 _limit = (prev_calculated>0) ? prev_calculated-1 : 0;



   //

   //

   //



      struct sWorkStruct

            {

               double price;

            };   

      static sWorkStruct m_work[];

      static int         m_workSize = -1;

                     if (m_workSize<rates_total) m_workSize = ArrayResize(m_work,rates_total+500,2000);



      //

      //

      //



      for (int i=_limit; i<rates_total; i++)

         {

            m_work[i].price = iGetPrice(inpPrice,open[i],high[i],low[i],close[i]);



               double dSum = 0; for (int k=0; k<global.period && i>=k; k++) dSum += m_work[i-k].price*global.coeffs[k];

            

            val[i]  = (global.coeffsSum!=0) ? dSum/global.coeffsSum : 0;

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

         }



   //

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   //



   return(rates_total);

}



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

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

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double iGetPrice(ENUM_APPLIED_PRICE price,double open, double high, double low, double close)

{

   switch (price)

   {

      case PRICE_CLOSE:     return(close);

      case PRICE_OPEN:      return(open);

      case PRICE_HIGH:      return(high);

      case PRICE_LOW:       return(low);

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

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

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

   }

   return(0);

}