//------------------------------------------------------------------ #property copyright "© mladen, 2016, MetaQuotes Software Corp." #property link "www.forex-tsd.com, www.mql5.com" //------------------------------------------------------------------ #property indicator_separate_window #property indicator_buffers 9 #property indicator_plots 5 #property indicator_label1 "rvi fill" #property indicator_type1 DRAW_FILLING #property indicator_color1 C'209,243,209',C'255,230,183' #property indicator_label2 "rvi level up" #property indicator_type2 DRAW_LINE #property indicator_color2 clrLimeGreen #property indicator_style2 STYLE_DOT #property indicator_label3 "rvi middle level" #property indicator_type3 DRAW_LINE #property indicator_color3 clrSilver #property indicator_style3 STYLE_DOT #property indicator_label4 "rvi level down" #property indicator_type4 DRAW_LINE #property indicator_color4 clrOrange #property indicator_style4 STYLE_DOT #property indicator_label5 "relative volatility index" #property indicator_type5 DRAW_COLOR_LINE #property indicator_color5 clrSilver,clrLimeGreen,clrOrange #property indicator_style5 STYLE_SOLID #property indicator_width5 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 }; enum enColorOn { cc_onSlope, // Change color on slope change cc_onMiddle, // Change color on middle line cross cc_onLevels // Change color on outer levels cross }; enum enStdMethods { std_custSam, // Custom - with sample correction std_custNos // Custom - without sample correction }; enum enMaTypes { ma_sma, // Simple moving average ma_ema, // Exponential moving average ma_smma, // Smoothed MA ma_lwma // Linear weighted MA }; input ENUM_TIMEFRAMES TimeFrame = PERIOD_CURRENT; // Time frame input int VolPeriod = 14; // Relative volatility index period input enPrices VolPrice = pr_close; // Price to use input enStdMethods VolStdMethod = std_custSam; // Deviation method input enMaTypes VolMaMethod = ma_smma; // Average method for volatility calculation input int VolSmooth = 10; // Smoothing period input enMaTypes VolSmoothMethod = ma_ema; // Average method for volatility smoothing input int flLookBack = 25; // Floating levels look back period input double flLevelUp = 80; // Floating levels up level % input double flLevelDown = 20; // Floating levels down level % input enColorOn ColorOn = cc_onLevels; // Color change : input bool alertsOn = false; // Turn alerts on? input bool alertsOnCurrent = true; // Alert on current bar? input bool alertsMessage = true; // Display messageas on alerts? input bool alertsSound = false; // Play sound on alerts? input bool alertsEmail = false; // Send email on alerts? input bool alertsNotify = false; // Send push notification on alerts? input bool Interpolate = true; // Interpolate mtf data ? double buffer[],levelup[],levelmi[],leveldn[],fill1[],fill2[],trend[],prices[],count[]; ENUM_TIMEFRAMES timeFrame; //------------------------------------------------------------------ // //------------------------------------------------------------------ // // // // // int OnInit() { SetIndexBuffer(0,fill1 ,INDICATOR_DATA); SetIndexBuffer(1,fill2 ,INDICATOR_DATA); SetIndexBuffer(2,levelup,INDICATOR_DATA); SetIndexBuffer(3,levelmi,INDICATOR_DATA); SetIndexBuffer(4,leveldn,INDICATOR_DATA); SetIndexBuffer(5,buffer ,INDICATOR_DATA); SetIndexBuffer(6,trend ,INDICATOR_COLOR_INDEX); SetIndexBuffer(7,prices ,INDICATOR_CALCULATIONS); SetIndexBuffer(8,count ,INDICATOR_CALCULATIONS); for (int i=0; i<4; i++) PlotIndexSetInteger(i,PLOT_SHOW_DATA,false); timeFrame = MathMax(_Period,TimeFrame); IndicatorSetString(INDICATOR_SHORTNAME,timeFrameToString(timeFrame)+" relative volatility index ("+(string)VolPeriod+","+(string)VolSmooth+")"); return(0); } // // // // // 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)0 && !IsStopped(); limit--) if (count[limit]==_processed) break; for (i=MathMin(limit,MathMax(prev_calculated-1,0)); i 0 && time[i-n] >= currTime[0]; n++) continue; for(k=1; (i-k)>=0 && k0) ? prices[i-1] : prices[i]; double dev = iDeviation(pricec,VolPeriod,VolStdMethod==std_custSam,i,rates_total); double u = (i>0) ? (pricec>pricep) ? dev : 0 : 0; double d = (i>0) ? (pricec=0; k++) { min = MathMin(buffer[i-k],min); max = MathMax(buffer[i-k],max); } double range = max-min; levelup[i] = min+flLevelUp *range/100.0; leveldn[i] = min+flLevelDown*range/100.0; levelmi[i] = min+0.5*range; } switch(ColorOn) { case cc_onLevels: trend[i] = (buffer[i]>levelup[i]) ? 1 : (buffer[i]levelmi[i]) ? 1 : (buffer[i]0) ? (buffer[i]>buffer[i-1]) ? 1 : (buffer[i]levelup[i]) ? levelup[i] : (buffer[i]=0; k++) { newMean = (workDev[i-k]-oldMean)/(k+1)+oldMean; squares += (workDev[i-k]-oldMean)*(workDev[i-k]-newMean); oldMean = newMean; } return(MathSqrt(squares/MathMax(k-isSample,1))); } //------------------------------------------------------------------ // //------------------------------------------------------------------ // // // // // void manageAlerts(const datetime& time[], double& ttrend[], int bars) { if (!alertsOn) return; int whichBar = bars-1; if (!alertsOnCurrent) whichBar = bars-2; datetime time1 = time[whichBar]; if (ttrend[whichBar] != ttrend[whichBar-1]) { if (ttrend[whichBar] == 1) doAlert(time1,"up"); if (ttrend[whichBar] == 2) doAlert(time1,"down"); } } // // // // // void doAlert(datetime forTime, string doWhat) { static string previousAlert="nothing"; static datetime previousTime; if (previousAlert != doWhat || previousTime != forTime) { previousAlert = doWhat; previousTime = forTime; string message = timeFrameToString(_Period)+" "+_Symbol+" at "+TimeToString(TimeLocal(),TIME_SECONDS)+" relative volatility index state changed to "+doWhat; if (alertsMessage) Alert(message); if (alertsEmail) SendMail(_Symbol+" relative volatility index",message); if (alertsNotify) SendNotification(message); if (alertsSound) PlaySound("alert2.wav"); } } //------------------------------------------------------------------ // //------------------------------------------------------------------ // // // // // // #define priceInstances 1 double workHa[][priceInstances*4]; 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*=4; // // // // // double haOpen; if (i>0) haOpen = (workHa[i-1][instanceNo+2] + workHa[i-1][instanceNo+3])/2.0; else haOpen = (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 haOpen) return((haHigh+haClose)/2.0); else return((haLow+haClose)/2.0); case pr_hatbiased2: if (haClose>haOpen) return(haHigh); if (haCloseopen[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]=0; k++) workSma[r][instanceNo+1] += workSma[r-k][instanceNo+0]; workSma[r][instanceNo+1] /= 1.0*k; return(workSma[r][instanceNo+1]); } // // // // // double workEma[][_maWorkBufferx1]; 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]); } // // // // // double workSmma[][_maWorkBufferx1]; double iSmma(double price, double period, int r, int _bars, int instanceNo=0) { if (ArrayRange(workSmma,0)!= _bars) ArrayResize(workSmma,_bars); workSmma[r][instanceNo] = price; if (r>1 && period>1) workSmma[r][instanceNo] = workSmma[r-1][instanceNo]+(price-workSmma[r-1][instanceNo])/period; return(workSmma[r][instanceNo]); } // // // // // double workLwma[][_maWorkBufferx1]; double iLwma(double price, double period, int r, int _bars, int instanceNo=0) { if (ArrayRange(workLwma,0)!= _bars) ArrayResize(workLwma,_bars); workLwma[r][instanceNo] = price; if (period<=1) return(price); double sumw = period; double sum = period*price; for(int k=1; k=0; k++) { double weight = period-k; sumw += weight; sum += weight*workLwma[r-k][instanceNo]; } return(sum/sumw); } //------------------------------------------------------------------ // //------------------------------------------------------------------ // // // // // string getIndicatorName() { string progPath = MQL5InfoString(MQL5_PROGRAM_PATH); int start=-1; while (true) { int foundAt = StringFind(progPath,"\\",start+1); if (foundAt>=0) start = foundAt; else break; } string indicatorName = StringSubstr(progPath,start+1); indicatorName = StringSubstr(indicatorName,0,StringLen(indicatorName)-4); return(indicatorName); } // // // // // int _tfsPer[]={PERIOD_M1,PERIOD_M2,PERIOD_M3,PERIOD_M4,PERIOD_M5,PERIOD_M6,PERIOD_M10,PERIOD_M12,PERIOD_M15,PERIOD_M20,PERIOD_M30,PERIOD_H1,PERIOD_H2,PERIOD_H3,PERIOD_H4,PERIOD_H6,PERIOD_H8,PERIOD_H12,PERIOD_D1,PERIOD_W1,PERIOD_MN1}; string _tfsStr[]={"1 minute","2 minutes","3 minutes","4 minutes","5 minutes","6 minutes","10 minutes","12 minutes","15 minutes","20 minutes","30 minutes","1 hour","2 hours","3 hours","4 hours","6 hours","8 hours","12 hours","daily","weekly","monthly"}; string timeFrameToString(int period) { if (period==PERIOD_CURRENT) period = _Period; int i; for(i=ArraySize(_tfsPer)-1;i>=0;i--) if(period==_tfsPer[i]) break; return(_tfsStr[i]); }