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//+------------------------------------------------------------------+
//| NonLagZigZag_v2.mq4 |
//| Copyright ?2006, TrendLaboratory |
//| http://finance.groups.yahoo.com/group/TrendLaboratory |
//| E-mail: igorad2003@yahoo.co.uk |
//+------------------------------------------------------------------+
#property copyright "Copyright ?2006, TrendLaboratory"
#property link "http://finance.groups.yahoo.com/group/TrendLaboratory"
//----
#property indicator_chart_window
#property indicator_buffers 1
//----
#property indicator_color1 Gold
#property indicator_width1 2
//---- input parameters
extern int Price =0; //Apply to Price(0-Close;1-Open;2-High;3-Low;4-Median price;5-Typical price;6-Weighted Close)
extern int Length =100; //Period of NonLagMA
extern double PctFilter =2; //Dynamic filter in decimals
//----
double ZZBuffer[];
double MABuffer[];
double trend[];
double Del[];
double AvgDel[];
//----
int ilow, ihigh, nlow, nhigh, prevnhigh,prevnlow, BarsBack;
double alfa[];
datetime lotime,hitime;
int i, Phase, Len, Cycle=4, Back=0;
double Coeff, beta, t, Sum, Weight, g;
double pi=3.1415926535;
//+------------------------------------------------------------------+
//| Custom indicator initialization function |
//+------------------------------------------------------------------+
int init()
{
IndicatorBuffers(5);
SetIndexStyle(0,DRAW_SECTION);
SetIndexBuffer(0,ZZBuffer);
SetIndexBuffer(1,MABuffer);
SetIndexBuffer(2,trend);
SetIndexBuffer(3,Del);
SetIndexBuffer(4,AvgDel);
string short_name;
//---- indicator line
IndicatorDigits(MarketInfo(Symbol(),MODE_DIGITS));
//---- name for DataWindow and indicator subwindow label
short_name="NonLagZigZag("+Length+")";
IndicatorShortName(short_name);
SetIndexLabel(0,"NonLagZigZag");
//----
SetIndexEmptyValue(0,0.0);
SetIndexDrawBegin(0,Length*Cycle+Length);
//----
Coeff= 3*pi;
Phase=Length-1;
Len=Length*Cycle + Phase;
ArrayResize(alfa,Len);
Weight=0;
for(i=0;i<Len-1;i++)
{
if (i<=Phase-1) t=1.0*i/(Phase-1);
else t=1.0 + (i-Phase+1)*(2.0*Cycle-1.0)/(Cycle*Length-1.0);
beta=MathCos(pi*t);
g=1.0/(Coeff*t+1);
if (t<=0.5)g=1;
alfa[i]=g * beta;
Weight+=alfa[i];
}
//----
return(0);
}
//+------------------------------------------------------------------+
//| NonLagZigZag_v2 |
//+------------------------------------------------------------------+
int start()
{
int i,shift,limit;
double price,smin,smax;
int counted_bars = IndicatorCounted();
if(counted_bars < 0) return(-1);
if(counted_bars > 0) counted_bars--;
limit = Bars - counted_bars;
if(counted_bars==0) limit-=1+1+MathMax(Len,Length);
for(shift=limit;shift>=0;shift--)
{
Sum=0;
for(i=0;i<=Len-1;i++)
{
price=iMA(NULL,0,1,0,3,Price,i+shift);
Sum+=alfa[i]*price;
}
if (Weight > 0) MABuffer[shift]=Sum/Weight;
Del[shift]=MathAbs(MABuffer[shift] - MABuffer[shift+1]);
//----
double sumdel=0;
for(i=0;i<=Length-1;i++) sumdel+=Del[shift+i];
AvgDel[shift]=sumdel/Length;
//----
double sumpow=0;
for(i=0;i<=Length-1;i++) sumpow+=MathPow(Del[shift+i]-AvgDel[shift+i],2);
double StdDev=MathSqrt(sumpow/Length);
double Filter=PctFilter * StdDev;
if (Filter < Point) Filter=Point;
if(MathAbs(MABuffer[shift]-MABuffer[shift+1]) < Filter)MABuffer[shift]=MABuffer[shift+1];
//----
trend[shift]=trend[shift+1];
if (MABuffer[shift]-MABuffer[shift+1] > Filter) trend[shift]= 1;
if (MABuffer[shift+1]-MABuffer[shift] > Filter) trend[shift]=-1;
if(trend[shift]>0)
{
if(trend[shift]!=trend[shift+1])
{
ilow=LowestBar(iBarShift(NULL,0,hitime,FALSE)-shift,shift);
lotime=Time[ilow];
ZZBuffer[ilow]=Low[ilow];
}
else
if (shift==0)
{
int hilen=iBarShift(NULL,0,lotime,FALSE);
nhigh=HighestBar(hilen,0);
ZZBuffer[nhigh]=High[nhigh];
if (nhigh== 0) for(i=hilen-1;i>=1;i--) ZZBuffer[i]=0;
if (nhigh > 0) for(i=nhigh-1;i>=0;i--) ZZBuffer[i]=0;
}
}
if (trend[shift]<0)
{
if(trend[shift]!=trend[shift+1])
{
ihigh=HighestBar(iBarShift(NULL,0,lotime,FALSE)-shift,shift);
hitime=Time[ihigh];
ZZBuffer[ihigh]=High[ihigh];
}
else
if (shift==0)
{
int lolen=iBarShift(NULL,0,hitime,FALSE);
nlow=LowestBar(lolen,0);
ZZBuffer[nlow]=Low[nlow];
if (nlow==0) for(i=lolen-1;i>=1;i--) ZZBuffer[i]=0;
if (nlow >0) for(i=nlow-1;i>=0;i--) ZZBuffer[i]=0;
}
}
}
return(0);
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
int LowestBar(int len,int k)
{
double min=10000000;
int lobar;
//----
for(int i=k+len-1;i>=k;i--)
if(Low[i] < min) {min=Low[i]; lobar=i;}
if(len<=0) lobar=k;
return(lobar);
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
int HighestBar(int len,int k)
{
double max=-10000000;
int hibar;
for(int i=k+len-1;i>=k;i--)
if(High[i] > max) {max=High[i]; hibar=i;}
if(len<=0) hibar=k;
return(hibar);
}
//+------------------------------------------------------------------+
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