hull_variation

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

   #property copyright "mladen"
   #property link      "www.forex-tsd.com"

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

#property indicator_chart_window
#property indicator_buffers 2
#property indicator_plots   1

#property indicator_label1  "Hull"
#property indicator_type1   DRAW_COLOR_LINE
#property indicator_color1  clrLimeGreen,clrPaleVioletRed
#property indicator_style1  STYLE_SOLID
#property indicator_width1  2

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enum enPrices
{
   pr_close,      // Close
   pr_open,       // Open
   pr_high,       // High
   pr_low,        // Low
   pr_median,     // Median
   pr_typical,    // Typical
   pr_weighted,   // Weighted
   pr_average,    // Average (high+low+oprn+close)/4
   pr_haclose,    // Heiken ashi close
   pr_haopen ,    // Heiken ashi open
   pr_hahigh,     // Heiken ashi high
   pr_halow,      // Heiken ashi low
   pr_hamedian,   // Heiken ashi median
   pr_hatypical,  // Heiken ashi typical
   pr_haweighted, // Heiken ashi weighted
   pr_haaverage   // Heiken ashi average
};

//
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//
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input int       HullLength  = 27;       // Hull MA calculaion period
input enPrices  Price       = pr_close; // Price to use
input double    HullDivisor = 1.5;      // Hull calculation "speed"

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double hull[];
double colorBuffer[];

//------------------------------------------------------------------
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int OnInit()
{
   SetIndexBuffer(0,hull,INDICATOR_DATA); 
   SetIndexBuffer(1,colorBuffer,INDICATOR_COLOR_INDEX); 

   //
   //
   //
   //
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   IndicatorSetString(INDICATOR_SHORTNAME," Hull trend ("+string(HullLength)+")");
   return(0);
}

//------------------------------------------------------------------
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//------------------------------------------------------------------
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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[])
{
   //
   //
   //
   //
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   for (int i=(int)MathMax(prev_calculated-1,0); i<rates_total; i++)
   {
      hull[i] = iHull(getPrice(Price,open,close,high,low,i,rates_total),HullLength,HullDivisor,i,rates_total,0);
      if (i>0)
      {
         colorBuffer[i] = colorBuffer[i-1];
           if (hull[i] > hull[i-1]) colorBuffer[i]= 0;
           if (hull[i] < hull[i-1]) colorBuffer[i]= 1;
      }                     
   }      
   return(rates_total);
}



//------------------------------------------------------------------
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//------------------------------------------------------------------
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double workHa[][4];
double getPrice(enPrices price, const double& open[], const double& close[], const double& high[], const double& low[], int i, int bars)
{
  if (price>=pr_haclose && price<=pr_haaverage)
   {
      if (ArrayRange(workHa,0)!= bars) ArrayResize(workHa,bars);

         //
         //
         //
         //
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         double haOpen;
         if (i>0)
                haOpen  = (workHa[i-1][2] + workHa[i-1][3])/2.0;
         else   haOpen  = open[i]+close[i];
         double haClose = (open[i] + high[i] + low[i] + close[i]) / 4.0;
         double haHigh  = MathMax(high[i], MathMax(haOpen,haClose));
         double haLow   = MathMin(low[i] , MathMin(haOpen,haClose));

         if(haOpen  <haClose) { workHa[i][0] = haLow;  workHa[i][1] = haHigh; } 
         else                 { workHa[i][0] = haHigh; workHa[i][1] = haLow;  } 
                                workHa[i][2] = haOpen;
                                workHa[i][3] = haClose;
         //
         //
         //
         //
         //
         
         switch (price)
         {
            case pr_haclose:     return(haClose);
            case pr_haopen:      return(haOpen);
            case pr_hahigh:      return(haHigh);
            case pr_halow:       return(haLow);
            case pr_hamedian:    return((haHigh+haLow)/2.0);
            case pr_hatypical:   return((haHigh+haLow+haClose)/3.0);
            case pr_haweighted:  return((haHigh+haLow+haClose+haClose)/4.0);
            case pr_haaverage:   return((haHigh+haLow+haClose+haOpen)/4.0);
         }
   }
   
   //
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   //
   //
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   switch (price)
   {
      case pr_close:     return(close[i]);
      case pr_open:      return(open[i]);
      case pr_high:      return(high[i]);
      case pr_low:       return(low[i]);
      case pr_median:    return((high[i]+low[i])/2.0);
      case pr_typical:   return((high[i]+low[i]+close[i])/3.0);
      case pr_weighted:  return((high[i]+low[i]+close[i]+close[i])/4.0);
      case pr_average:   return((high[i]+low[i]+close[i]+open[i])/4.0);
   }
   return(0);
}



//------------------------------------------------------------------
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//------------------------------------------------------------------
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double workHull[][2];
double iHull(double price, double period, double divisor, int r, int total, int instanceNo=0)
{
   if (ArrayRange(workHull,0)!= total) ArrayResize(workHull,total);

   //
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   //
   //
   //

      int HmaPeriod  = (int)MathMax(period,2);
      int HalfPeriod = (int)MathFloor(HmaPeriod/divisor);
      int HullPeriod = (int)MathFloor(MathSqrt(HmaPeriod));
      double weight; instanceNo *= 2;

         workHull[r][instanceNo] = price;

         //
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         //
         //
         //
               
         double hmw = HalfPeriod; double hma = hmw*price; 
            for(int k=1; k<HalfPeriod && (r-k)>=0; k++)
            {
               weight = HalfPeriod-k;
               hmw   += weight;
               hma   += weight*workHull[r-k][instanceNo];  
            }             
            workHull[r][instanceNo+1] = 2.0*hma/hmw;

         hmw = HmaPeriod; hma = hmw*price; 
            for(int k=1; k<period && (r-k)>=0; k++)
            {
               weight = HmaPeriod-k;
               hmw   += weight;
               hma   += weight*workHull[r-k][instanceNo];
            }             
            workHull[r][instanceNo+1] -= hma/hmw;

         //
         //
         //
         //
         //
         
         hmw = HullPeriod; hma = hmw*workHull[r][instanceNo+1];
            for(int k=1; k<HullPeriod && (r-k)>=0; k++)
            {
               weight = HullPeriod-k;
               hmw   += weight;
               hma   += weight*workHull[r-k][1+instanceNo];  
            }
   return(hma/hmw);
}