LK_FDI_V2

//+------------------------------------------------------------------+
//|                                                    LK_FDI_v2.mq4 |
//|                                 Copyright © 2009, Leif Karlsson. |
//|                                        Leffemannen1973@telia.com |
//+------------------------------------------------------------------+
//| Please feel free to copy, modify and / or redistribute this      |
//| software / source code in any way you see fit.                   |
//+------------------------------------------------------------------+
//+ ********************* Shameless Ad. **************************** +
//+ * I do custom programing jobs in C, Java, X86 Assembler & MQL4 * +
//+ ***** Pleace do not hesitate to get in contact if you nead ***** +
//+ ***** something special: EA, indicator or somthing else. ******* +
//+ ****************** Leffemannen1973@telia.com ******************* +
//+ **************************************************************** +
//+------------------------------------------------------------------+
#property copyright "Copyright © 2009, Leif Kalrsson"
#property link      "mailto://Leffemannen1973@telia.com"
//+------------------------------------------------------------------+
#property  indicator_separate_window
#property  indicator_buffers 3
#property  indicator_color1  Blue
#property  indicator_color2  Yellow
#property  indicator_color3  Green
#property  indicator_width1  1
//+------------------------------------------------------------------+
extern int WindowSize = 60;
extern int SmoothPeriod = 5;
extern bool LinearWeighted  = true;
extern string AppliedPriceText1 = "Close: 0, Open: 1, High: 2, Low: 3";
extern string AppliedPriceText2 = "Median: 4, Typical: 5, Weighted: 6";
extern int AppliedPrice = 0;
extern int PriceShift = 0;
extern bool dFDI = true;
extern double RandomLevel = 1.5;
extern int MaxBars = 4000;
//+------------------------------------------------------------------+
double RangeBuffer[];
double TrendBuffer[];
double dFDIBuffer[];
double Price[];
double dPrice[];
double Alpha = 0.0;
//+------------------------------------------------------------------+
int init() {

   	IndicatorDigits(Digits+1);
   	
   	IndicatorBuffers(5);
   	
   	SetIndexStyle(0, DRAW_LINE);
   	SetIndexStyle(1, DRAW_LINE);
   	SetIndexStyle(2, DRAW_LINE);
   	SetIndexBuffer(0, RangeBuffer);
   	SetIndexBuffer(1, TrendBuffer);
   	SetIndexBuffer(2, dFDIBuffer);
   	SetIndexBuffer(3, Price);
   	SetIndexBuffer(4, dPrice);
   	SetLevelValue(0, RandomLevel);
   	   	
   	IndicatorShortName("LK_FDI_V2, WindowSize: " + WindowSize + ", SmoothPeriod: " + SmoothPeriod + " ");
   	
   	Alpha = 2.0/(SmoothPeriod + 1.0);
   	
   	return(0);
}
//+------------------------------------------------------------------+
double FDI(double Data[], int p, bool w, int Shift) {
	
	double Df = 0.0;
	double Temp = 0.0;
	double Range = 0.0;
	int i = 0;
	
	Range = Data[ArrayMaximum(Data, p, Shift)] - Data[ArrayMinimum(Data, p, Shift)];
	
	i = p-2;
	while(i >= 0) {
		if(Range == 0.0) Temp = 1.0;
		else Temp = (Data[i+Shift] - Data[i+1+Shift])/Range;
		if(w) Df = Df + (p-1-i)*MathSqrt(Temp*Temp + 1.0/(p*p));
		else Df = Df + MathSqrt(Temp*Temp + 1.0/(p*p));
		i--;
	}
	if(w) Df = Df/(p/2.0);
	Df = 1.0 + MathLog(2.0*Df)/MathLog(2.0*p);
	
	return(Df);
}
//+------------------------------------------------------------------+
int start() {
	int j = 0;
	int i = IndicatorCounted();
	if(i < 0) return(-1);
	i = Bars - i;
	if(i > MaxBars) { 
		i = MaxBars;
		ArrayInitialize(TrendBuffer, 1.5);
		ArrayInitialize(RangeBuffer, 1.5);
		ArrayInitialize(dFDIBuffer, 1.7);
		i--;
		j = i + WindowSize;
	} 
	else j = i;
	
	while(j >= 0) {
		Price[j] = iMA(NULL, 0, 1, 0, 0, AppliedPrice, j+PriceShift);
		dPrice[j] = Price[j] - iMA(NULL, 0, 1, 0, 0, AppliedPrice, j+PriceShift+1);
		j--;
	}
		
	while(i >= 0) {
		double Df = FDI(Price, WindowSize, LinearWeighted, i);
		
		if(RangeBuffer[i+1] == EMPTY_VALUE) Df = (1.0-Alpha)*TrendBuffer[i+1] + Alpha*Df;
		else Df = (1.0-Alpha)*RangeBuffer[i+1] + Alpha*Df;
				
		if(dFDI) dFDIBuffer[i] = (1.0-Alpha)*dFDIBuffer[i+1] + Alpha*FDI(dPrice, WindowSize, LinearWeighted, i);
		else dFDIBuffer[i] = EMPTY_VALUE;
		
		if(Df > RandomLevel) {
			RangeBuffer[i] = Df;
			TrendBuffer[i] = EMPTY_VALUE;
			if(RangeBuffer[i+1] == EMPTY_VALUE) RangeBuffer[i+1] = TrendBuffer[i+1];
		} else {
			TrendBuffer[i] = Df;
			RangeBuffer[i] = EMPTY_VALUE;
			if(TrendBuffer[i+1] == EMPTY_VALUE) TrendBuffer[i+1] = RangeBuffer[i+1];
		}
		i--;
	}	

   	return(0);
}
//+------------------------------------------------------------------+