Schaff trend RSI

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

#property copyright   "Copyright 2017, mladen"

#property link        "mladenfx@gmail.com"

#property description "Schaff trend RSI"

#property version     "1.00"

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

#property indicator_separate_window

#property indicator_buffers 2

#property indicator_plots   1

#property indicator_label1  "Schaff trend RSI value"

#property indicator_type1   DRAW_COLOR_LINE

#property indicator_color1  clrSilver,clrLimeGreen,clrOrange

#property indicator_width1  2

//

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

//

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+open+close)/4

   pr_medianb,    // Average median body (open+close)/2

   pr_tbiased,    // Trend biased price

   pr_tbiased2,   // Trend biased (extreme) price

   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

   pr_hamedianb,  // Heiken ashi median body

   pr_hatbiased,  // Heiken ashi trend biased price

   pr_hatbiased2  // Heiken ashi trend biased (extreme) price

  };

// input parameters

input int       FastEma      = 23;       // Fast ema period

input int       SlowEma      = 50;       // Slow ema period

input double    RsiPeriod    = 9;        // Rsi period

input enPrices  Price        = pr_close; // Price



double  val[],valc[];

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

//|                                                                  |

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

void OnInit()

  {

   SetIndexBuffer(0,val,INDICATOR_DATA);

   SetIndexBuffer(1,valc,INDICATOR_COLOR_INDEX);

   IndicatorSetString(INDICATOR_SHORTNAME,"Schaff trend RSI ("+(string)FastEma+","+(string)SlowEma+","+(string)RsiPeriod+")");

  }

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

//|                                                                  |

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

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(-1);

//

//---

//

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

     {

      double price=getPrice(Price,open,close,high,low,i,rates_total);

      val[i]  = iRsi(iEma(price,FastEma,i,rates_total,0)-iEma(price,SlowEma,i,rates_total,1),RsiPeriod,i,rates_total);

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

     }

   return(i);

  }

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

// custom functions

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

#define rsiInstances 1

double workRsi[][rsiInstances*3];

#define _price  0

#define _prices 3

#define _change 1

#define _changa 2

//

//---

//

double iRsi(double price,double period,int r,int bars,int instanceNo=0)

  {

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

   int z=instanceNo*3;

//

//---

//



   workRsi[r][z+_price]=price;

   double alpha=1.0/MathMax(period,1);

   if(r<period)

     {

      int k; double sum=0; for(k=0; k<period && (r-k-1)>=0; k++) sum+=MathAbs(workRsi[r-k][z+_price]-workRsi[r-k-1][z+_price]);

      workRsi[r][z+_change] = (workRsi[r][z+_price]-workRsi[0][z+_price])/MathMax(k,1);

      workRsi[r][z+_changa] =                                         sum/MathMax(k,1);

     }

   else

     {

      double change=workRsi[r][z+_price]-workRsi[r-1][z+_price];

      workRsi[r][z+_change] = workRsi[r-1][z+_change] + alpha*(        change  - workRsi[r-1][z+_change]);

      workRsi[r][z+_changa] = workRsi[r-1][z+_changa] + alpha*(MathAbs(change) - workRsi[r-1][z+_changa]);

     }

   return(50.0*(workRsi[r][z+_change]/MathMax(workRsi[r][z+_changa],DBL_MIN)+1));

  }

//

//---

//

double workEma[][2];

//

//---

//

double iEma(double price,double period,int r,int _bars,int instanceNo=0)

  {

   if(ArrayRange(workEma,0)!=_bars) ArrayResize(workEma,_bars);



   workEma[r][instanceNo]=price;

   if(r>0 && period>1)

      workEma[r][instanceNo]=workEma[r-1][instanceNo]+(2.0/(1.0+period))*(price-workEma[r-1][instanceNo]);

   return(workEma[r][instanceNo]);

  }

//

//---

//

#define _pricesInstances 1

#define _pricesSize      4

double workHa[][_pricesInstances*_pricesSize];

//

//---

//

double getPrice(int tprice,const double &open[],const double &close[],const double &high[],const double &low[],int i,int _bars,int instanceNo=0)

  {

   if(tprice>=pr_haclose)

     {

      if(ArrayRange(workHa,0)!=_bars) ArrayResize(workHa,_bars); instanceNo*=_pricesSize;

      double haOpen  = (i>0) ? (workHa[i-1][instanceNo+2]+workHa[i-1][instanceNo+3])/2.0 : (open[i]+close[i])/2;;

      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][instanceNo+0] = haLow;  workHa[i][instanceNo+1] = haHigh; }

      else                 { workHa[i][instanceNo+0] = haHigh; workHa[i][instanceNo+1] = haLow;  }

      workHa[i][instanceNo+2] = haOpen;

      workHa[i][instanceNo+3] = haClose;

      //

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

      //

      switch(tprice)

        {

         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_hamedianb:   return((haOpen+haClose)/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);

         case pr_hatbiased:

            if(haClose>haOpen)

            return((haHigh+haClose)/2.0);

            else  return((haLow+haClose)/2.0);

         case pr_hatbiased2:

            if(haClose>haOpen)  return(haHigh);

            if(haClose<haOpen)  return(haLow);

            return(haClose);

        }

     }

//

//---

//

   switch(tprice)

     {

      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_medianb:   return((open[i]+close[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);

      case pr_tbiased:

         if(close[i]>open[i])

         return((high[i]+close[i])/2.0);

         else  return((low[i]+close[i])/2.0);

      case pr_tbiased2:

         if(close[i]>open[i]) return(high[i]);

         if(close[i]<open[i]) return(low[i]);

         return(close[i]);

     }

   return(0);

  }

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