//@version=4
study("MTF Damiani Volatmeter v3.2", shorttitle = "MTF Damiani Volatmeter v3.2", overlay=false)

//mtf libraly
useCurrentRes = input(true, title="useCurrentRes 現在のタイムフレームを使う")
res = input(title="Different Timeframe タイムフレーム", type=input.resolution, defval="240")
uptimeflame = input(false, title="use upper up timeflame 一個上のタイムフレームを使う", type=input.bool)
upRes(res)=> res == "1"  ? "5" : res == "3"  ? "15" : res == "5"  ? "15" : res == "15"  ? "60" : res == "30"  ? "120" : res == "60"  ? "240" : res == "120"  ? "1D" : res == "180"  ? "1D" : res == "240"  ? "1D" : res == "1D"  ? "1W" : res == "1W"  ? "1M" : res == "D"  ? "1W" : res == "W"  ? "1M" : res
restf = useCurrentRes ? (uptimeflame ? upRes(timeframe.period) : timeframe.period) : (uptimeflame ? upRes(res) : res)
cvttf2n(a)=>a == '1' ?  1 : a == '3' ?  3 : a == '5' ?  5 : a == '15' ? 15 : a == '30' ?  30 : a == '60' ?  60 : a == '120' ?  120 : a == '180' ?  180 : a == '240' ?  240 : a == '1D' ?  1440 : a == '1W' ?  10080 : a == '1M' ?  43200 : a == 'D' ?  1440 : a == 'W' ?  10080 : a == 'M' ?  43200 : na
current_tf_mn = timeframe.ismonthly ? timeframe.multiplier * 43200 : timeframe.isweekly ? timeframe.multiplier * 10080 : timeframe.isdaily ? timeframe.multiplier * 1440 : timeframe.multiplier
cvttf2mult(rest) =>cvttf2n(rest)  / current_tf_mn
tf_mult = cvttf2mult(restf)
//
//source = input(close, title="Source ")

// original trend color
DVColorMode = input ("MACD(close)", title = "DV Color mode",options=["MACD(DV)", "trend", "MACD(close)","MACD os(close)","donchian"])
donchian(len) => avg(lowest(len), highest(len))
//MACD
dummyMACD = input(false, title = "MACD setting, MACD用設定")
MACDfast = input(9, title = "MACD fast length")
MACDslow = input(17, title = "MACD slow length")
MACDsignal = input(7, title = "MACD signal length")
//trend
dummytrend = input(false, title = "trend setting, trend用設定")
vwmalen = input(3, title = "trend color length")
vwmasig = input(3, title = "trend color smooth")
//donchian
dummydonchian = input(false, title = "donchian setting, donchian用設定")
donchianfast = input(13, title = "(donchian)fast length")
donchianslow = input(20, title = "(donchian)slow length")

//ColorOsi(src, 9 ,17, 7, color.green, color.red)
ColorOsi(src, upc, dnc) => 
	ret = upc
	if DVColorMode == "MACD(DV)"
		macd = ema(src, MACDfast) - ema(src, MACDslow)
        sig = ema(macd, MACDsignal)
        hist = macd - sig
		ret := hist >= 0 ? upc : dnc
	if DVColorMode == "trend"
		vwmaval = vwma(close, vwmalen)
		vwmasigval = sma(vwmaval, vwmasig)
		ret := vwmaval >= vwmasigval ? upc : dnc
	if DVColorMode == "MACD(close)"
		macd = ema(close, MACDfast) - ema(close, MACDslow)
		sig = sma(macd, MACDsignal)
		hist = macd - sig
		ret := hist >= 0 ? upc : dnc
	if DVColorMode == "MACD os(close)"
		macd = ema(close, MACDfast) - ema(close, MACDslow)
		sig = sma(macd, MACDsignal)
		hist = macd - sig
		ret := hist >= hist[1] ? upc : dnc
	if DVColorMode == "donchian"
		donchianfastval = donchian(donchianfast)
		donchianval = donchianfastval - donchian(donchianslow)
		donchiandir = donchianval == 0 ? (close > donchianfastval ? 1 : -1) : donchianval
		ret := donchiandir >= 0 ? upc : dnc
	ret

dummydv = input(false, title = "Damiani Volatmeter setting DV設定")
usevolmode = true //input(true, title = "use volume Mode")
vis_atr = input(13)
vis_std = input(20)
sed_atr = input(40)
sed_std = input(100)
threshold_level = input(1.4)
lag_supressor = input(true)

atrv(len)=>rma(volume, len)
//DV(13,20,40,100,1.4,true)
DV(vis_atr,vis_std,sed_atr,sed_std,threshold_level,lag_supressor)=>
	vol = 0.0
	lag_s_K = 0.5
	s1=nz(vol[1], 0)
	s3=nz(vol[3], 0)
    vol := lag_supressor ? atr(vis_atr) / atr(sed_atr) + lag_s_K*(s1-s3) : atr(vis_atr) / atr(sed_atr)
	anti_thres = stdev(close, vis_std) / stdev(close, sed_std)
	t = threshold_level - anti_thres
	t- vol
//Standard Deviation Function
st_dev(y, t)=>sqrt(sma(pow(y - sma(y, t), 2), t))


//Correlation Coefficient
corr(x, y, t)=>
    x_dev = x - sma(x, t)
    y_dev = y - sma(y, t)
    xy_sum = 0.0
    x2_sum = 0.0
    y2_sum = 0.0
    for i = 0 to (t - 1)
        xy_sum := xy_sum + x_dev[i]*y_dev[i]
        x2_sum := x2_sum + pow(x_dev[i], 2)
        y2_sum := y2_sum + pow(y_dev[i], 2)
    xy_sum/sqrt(x2_sum*y2_sum)


DVval = -DV(vis_atr,vis_std,sed_atr,sed_std,threshold_level,lag_supressor)
mtfDV = security(syminfo.tickerid, restf, DVval)
mtfDVcol = security(syminfo.tickerid, restf, ColorOsi(DVval, color.green, color.red))
mtfDV2 = security(syminfo.tickerid, upRes(restf), DVval)
mtfDVcol2 = security(syminfo.tickerid, upRes(restf), ColorOsi(DVval, color.blue, color.orange))

hline(0, title = '0 Line', linestyle=hline.style_dashed, linewidth=1, color=color.black)
underhline = input(-0.35, title = "charge hline level")
hline(underhline, title = 'charge Line', linestyle=hline.style_dotted, linewidth=1, color=color.black)

bgcolor(mtfDV < 0 ? color.new(color.red, 80) : color.new(color.red, 100))
bgcolor(mtfDV2 < 0 ? color.new(color.blue, 80) : color.new(color.blue, 100))

dispDV = input(true, title = "display MTF DV")
dispDV2 = input(true, title = "display MTF upper DV")

plot(dispDV? mtfDV : na, color= mtfDVcol, title="MTF DV", linewidth=2)
plot(dispDV2 ? mtfDV2 : na, color= mtfDVcol2, title="MTF upper DV", linewidth=2)

//DV signal line
dummydvsig = input(false, title = "DV signal line setting シグナルライン用設定")
dvsigfast = input(12, title = "(signal)fast length")
dvsigslow = input(26, title = "(signal)slow length")
dvsigsignal = input(9, title = "(signal)signal length")


DVema26 = ema(DVval, dvsigslow)
DVsig = sma(ema(DVval, dvsigfast) - DVema26, dvsigsignal) + DVema26
mtfDVsig = security(syminfo.tickerid, restf, DVsig)

plot(dispDV? mtfDVsig : na, color= color.gray, title="MTF DV signal", linewidth=2)
dispdvsignal = input(true, title = "display sign")
plot((dispDV and dispdvsignal and cross(mtfDV,mtfDVsig))? mtfDV : na, color= mtfDV >= mtfDVsig ? color.green : color.red, title="MTF DV sign", style = plot.style_circles, linewidth=4)

alertcondition(crossover(mtfDV,mtfDVsig) or crossover(mtfDV,0), title="MTF DV Caution",message="MTF DV Caution")