//+------------------------------------------------------------------+ //| Volatility quality.mq4 | //| | //| | //| Volatility quality index originaly developed by | //| Thomas Stridsman (August 2002 Active Trader Magazine) | //| | //| Price pre-smoothing and filter added by raff1410 | //+------------------------------------------------------------------+ #property copyright "mladen" #property link "mladenfx@gmail.com" #property indicator_separate_window #property indicator_buffers 5 #property indicator_color1 LimeGreen #property indicator_color2 Orange #property indicator_color3 DarkSlateGray #property indicator_color4 Blue #property indicator_color5 Red #property indicator_width1 2 #property indicator_width2 2 #property indicator_width3 2 // // // // // extern ENUM_TIMEFRAMES TimeFrame = PERIOD_CURRENT; extern int PriceSmoothing = 5; extern ENUM_MA_METHOD PriceSmoothingMethod = MODE_LWMA; extern double FilterInPips = 2.0; extern bool ShowArrows = true; extern bool arrowsOnFirst = false; extern string arrowsIdentifier = "vq Arrows1"; extern double arrowsUpperGap = 0.5; extern double arrowsLowerGap = 0.5; extern color arrowsUpColor = LimeGreen; extern color arrowsDnColor = Red; extern int arrowsUpCode = 225; extern int arrowsDnCode = 226; extern int arrowsUpSize = 2; extern int arrowsDnSize = 2; extern bool verticalLinesVisible = false; extern bool linesOnFirst = true; extern string verticalLinesID = "vq Lines"; extern color verticalLinesUpColor = DeepSkyBlue; extern color verticalLinesDnColor = PaleVioletRed; extern int verticalLinesStyle = STYLE_DOT; extern int verticalLinesWidth = 0; extern bool Interpolate = true; extern int DotSize = 3; extern bool DotsOnFirst = true; // // // // // double sumVqi[]; double sumVqida[]; double sumVqidb[]; double CrossUp[]; double CrossDn[]; double Vqi[]; double trend[]; string indicatorFileName; bool returnBars; //+------------------------------------------------------------------+ //| | //+------------------------------------------------------------------+ // // // // // int init() { IndicatorBuffers(7); SetIndexBuffer(0,sumVqida); SetIndexStyle(0,DRAW_HISTOGRAM); SetIndexBuffer(1,sumVqidb); SetIndexStyle(1,DRAW_HISTOGRAM); SetIndexBuffer(2,sumVqi); SetIndexBuffer(3,CrossUp); SetIndexStyle(3,DRAW_ARROW,0,DotSize); SetIndexArrow(3,159); SetIndexBuffer(4,CrossDn); SetIndexStyle(4,DRAW_ARROW,0,DotSize); SetIndexArrow(4,159); SetIndexBuffer(5,Vqi); SetIndexBuffer(6,trend); indicatorFileName = WindowExpertName(); returnBars = TimeFrame==-98; PriceSmoothing = MathMax(PriceSmoothing,1); TimeFrame = MathMax(TimeFrame,_Period); IndicatorShortName(timeFrameToString(TimeFrame)+" Volatility Quality"); return(0); } int deinit() { deleteArrows(); deleteLines(); return(0); } //+------------------------------------------------------------------+ //| | //+------------------------------------------------------------------+ // // // // // int start() { int counted_bars=IndicatorCounted(); if(counted_bars<0) return(-1); if(counted_bars>0) counted_bars--; int limit = MathMin(Bars-counted_bars,Bars-1); if (returnBars) { sumVqida[0] = MathMin(limit+1,Bars-1); return(0); } double pipMultiplier = MathPow(10,_Digits%2); // // // // // if (TimeFrame == _Period) { for(int i=limit; i>=0; i--) { if (i==(Bars-1)) { Vqi[i] = 0; sumVqi[i] = 0; continue; } // // // // // double cHigh = iMA(NULL,0,PriceSmoothing,0,PriceSmoothingMethod,PRICE_HIGH ,i); double cLow = iMA(NULL,0,PriceSmoothing,0,PriceSmoothingMethod,PRICE_LOW ,i); double cOpen = iMA(NULL,0,PriceSmoothing,0,PriceSmoothingMethod,PRICE_OPEN ,i); double cClose = iMA(NULL,0,PriceSmoothing,0,PriceSmoothingMethod,PRICE_CLOSE,i); double pClose = iMA(NULL,0,PriceSmoothing,0,PriceSmoothingMethod,PRICE_CLOSE,i+1); double trueRange = MathMax(cHigh,pClose)-MathMin(cLow,pClose); double range = cHigh-cLow; if (range != 0 && trueRange!=0) double vqi = ((cClose-pClose)/trueRange + (cClose-cOpen)/range)*0.5; else vqi = Vqi[i+1]; // // // // // Vqi[i] = MathAbs(vqi)*(cClose-pClose+cClose-cOpen)*0.5; sumVqi[i] = sumVqi[i+1]+Vqi[i]; sumVqida[i] = EMPTY_VALUE; sumVqidb[i] = EMPTY_VALUE; if (FilterInPips > 0) if (MathAbs(sumVqi[i]-sumVqi[i+1]) < FilterInPips*pipMultiplier*Point) sumVqi[i] = sumVqi[i+1]; // // // // // trend[i] = trend[i+1]; if (sumVqi[i] > sumVqi[i+1]) trend[i] = 1; if (sumVqi[i] < sumVqi[i+1]) trend[i] = -1; if (trend[i] == 1) sumVqida[i] = sumVqi[i]; if (trend[i] ==-1) sumVqidb[i] = sumVqi[i]; // // // // // CrossUp[i] = EMPTY_VALUE; CrossDn[i] = EMPTY_VALUE; if (trend[i] !=trend[i+1]) if (trend[i] == 1) CrossUp[i] = sumVqi[i]; else CrossDn[i] = sumVqi[i]; // // // // // if (ShowArrows) { deleteArrow(Time[i]); if (trend[i]!=trend[i+1]) { if (trend[i] == 1) drawArrow(i,arrowsUpColor,arrowsUpCode,arrowsUpSize,false); if (trend[i] ==-1) drawArrow(i,arrowsDnColor,arrowsDnCode,arrowsDnSize, true); } } // // // // // if (verticalLinesVisible) { deleteLine(Time[i]); if (trend[i]!=trend[i+1]) { if (trend[i] == 1) drawLine(i,verticalLinesUpColor); if (trend[i] ==-1) drawLine(i,verticalLinesDnColor); } } } return(0); } // // // // // int displace = -1; if (DotsOnFirst) displace = 1; limit = (int)MathMax(limit,MathMin(Bars-1,iCustom(NULL,TimeFrame,indicatorFileName,-98,0,0)*TimeFrame/Period())); for (i=limit; i>=0; i--) { int y = iBarShift(NULL,TimeFrame,Time[i]); int x = iBarShift(NULL,TimeFrame,Time[i+displace]); SetIndexBuffer(0,sumVqida); SetIndexBuffer(1,sumVqidb); SetIndexBuffer(2,sumVqi); SetIndexBuffer(3,CrossUp); SetIndexBuffer(4,CrossDn); SetIndexBuffer(6,trend); sumVqi[i] = iCustom(NULL,TimeFrame,indicatorFileName,PERIOD_CURRENT,PriceSmoothing,PriceSmoothingMethod,FilterInPips,ShowArrows,arrowsOnFirst,arrowsIdentifier,arrowsUpperGap,arrowsLowerGap,arrowsUpColor,arrowsDnColor,arrowsUpCode,arrowsDnCode,arrowsUpSize,arrowsDnSize,verticalLinesVisible,linesOnFirst,verticalLinesID,verticalLinesUpColor,verticalLinesDnColor,verticalLinesStyle,verticalLinesWidth,2,y); trend[i] = iCustom(NULL,TimeFrame,indicatorFileName,PERIOD_CURRENT,PriceSmoothing,PriceSmoothingMethod,FilterInPips,ShowArrows,arrowsOnFirst,arrowsIdentifier,arrowsUpperGap,arrowsLowerGap,arrowsUpColor,arrowsDnColor,arrowsUpCode,arrowsDnCode,arrowsUpSize,arrowsDnSize,verticalLinesVisible,linesOnFirst,verticalLinesID,verticalLinesUpColor,verticalLinesDnColor,verticalLinesStyle,verticalLinesWidth,6,y); sumVqida[i] = EMPTY_VALUE; sumVqidb[i] = EMPTY_VALUE; if (trend[i] == 1) sumVqida[i] = sumVqi[i]; if (trend[i] ==-1) sumVqidb[i] = sumVqi[i]; if (x!=y) { CrossUp[i] = iCustom(NULL,TimeFrame,indicatorFileName,PERIOD_CURRENT,PriceSmoothing,PriceSmoothingMethod,FilterInPips,ShowArrows,arrowsOnFirst,arrowsIdentifier,arrowsUpperGap,arrowsLowerGap,arrowsUpColor,arrowsDnColor,arrowsUpCode,arrowsDnCode,arrowsUpSize,arrowsDnSize,verticalLinesVisible,linesOnFirst,verticalLinesID,verticalLinesUpColor,verticalLinesDnColor,verticalLinesStyle,verticalLinesWidth,3,y); CrossDn[i] = iCustom(NULL,TimeFrame,indicatorFileName,PERIOD_CURRENT,PriceSmoothing,PriceSmoothingMethod,FilterInPips,ShowArrows,arrowsOnFirst,arrowsIdentifier,arrowsUpperGap,arrowsLowerGap,arrowsUpColor,arrowsDnColor,arrowsUpCode,arrowsDnCode,arrowsUpSize,arrowsDnSize,verticalLinesVisible,linesOnFirst,verticalLinesID,verticalLinesUpColor,verticalLinesDnColor,verticalLinesStyle,verticalLinesWidth,4,y); } else { CrossUp[i] = EMPTY_VALUE; CrossDn[i] = EMPTY_VALUE; } // // // // // if (!Interpolate || y==iBarShift(NULL,TimeFrame,Time[i-1])) continue; datetime time = iTime(NULL,TimeFrame,y); for(int n = 1; i+n < Bars && Time[i+n] >= time; n++) continue; for(int k = 1; k < n; k++) { sumVqi [i+k] = sumVqi [i] + (sumVqi [i+n] - sumVqi [i])*k/n; if (sumVqida[i]!= EMPTY_VALUE) sumVqida[i+k] = sumVqi[i+k]; if (sumVqidb[i]!= EMPTY_VALUE) sumVqidb[i+k] = sumVqi[i+k]; } } return(0); } // // // // // void drawArrow(int i,color theColor,int theCode,int theWidth,bool up) { string name = arrowsIdentifier+":"+Time[i]; double gap = 3.0*iATR(NULL,0,20,i)/4.0; // // // // // int add = 0; if (!arrowsOnFirst) add = _Period*60-1; ObjectCreate(name,OBJ_ARROW,0,Time[i]+add,0); ObjectSet(name,OBJPROP_ARROWCODE,theCode); ObjectSet(name,OBJPROP_COLOR,theColor); ObjectSet(name,OBJPROP_WIDTH,theWidth); if (up) ObjectSet(name,OBJPROP_PRICE1,High[i]+ arrowsUpperGap * gap); else ObjectSet(name,OBJPROP_PRICE1,Low[i] - arrowsLowerGap * gap); } // // // // // void deleteArrows() { string lookFor = arrowsIdentifier+":"; int lookForLength = StringLen(lookFor); for (int i=ObjectsTotal()-1; i>=0; i--) { string objectName = ObjectName(i); if (StringSubstr(objectName,0,lookForLength) == lookFor) ObjectDelete(objectName); } } void deleteArrow(datetime time) { string lookFor = arrowsIdentifier+":"+time; ObjectDelete(lookFor); } // // // // // void drawLine(int i,color theColor) { string name = verticalLinesID+":"+Time[i]; // // // // // int add = 0; if (!linesOnFirst) add = _Period*60-1; ObjectCreate(name,OBJ_VLINE,0,Time[i]+add,0); ObjectSet(name,OBJPROP_COLOR,theColor); ObjectSet(name,OBJPROP_STYLE,verticalLinesStyle); ObjectSet(name,OBJPROP_WIDTH,verticalLinesWidth); ObjectSet(name,OBJPROP_BACK,true); } // // // // // void deleteLines() { string lookFor = verticalLinesID+":"; int lookForLength = StringLen(lookFor); for (int i=ObjectsTotal()-1; i>=0; i--) { string objectName = ObjectName(i); if (StringSubstr(objectName,0,lookForLength) == lookFor) ObjectDelete(objectName); } } // // // // // void deleteLine(datetime time) { string lookFor = verticalLinesID+":"+time; ObjectDelete(lookFor); } //------------------------------------------------------------------- // //------------------------------------------------------------------- // // // // // string sTfTable[] = {"M1","M5","M15","M30","H1","H4","D1","W1","MN"}; int iTfTable[] = {1,5,15,30,60,240,1440,10080,43200}; string timeFrameToString(int tf) { for (int i=ArraySize(iTfTable)-1; i>=0; i--) if (tf==iTfTable[i]) return(sTfTable[i]); return(""); }