{- Filename: HvW Trading Navigator -}

function _Volatility(Series: TSeries; Periode: integer): TSeries;
var
  Len, i: integer;
  S: TSeries;
begin
  Len := GetArrayLength(Series);
  S := CreateSeries(Len);

  { bereken de logaritme van het quotient van de slotkoers en de vorige slot }
  for i:=FirstValidIndex(Series)+1 to Len-1 do
  S[i] := ln(Series[i] / Series[i-1]);
  { de vermenigvuldigingsfactor 253 is voor dagkoersen; zie de Wall Street/AlexPro
  online help bij de Volatility indicator }
  Result := MultiplySeriesBy(StdDev(S, Periode), 100*sqrt(253)); // hier heb ik sqrt 52weken genomen ipv sqrt 253 dag
end;

var
  WMAPeriode4, WMAPeriode62, VolLevel: Integer;
  i, iFirst, StopLoss, VolPeriode : Integer;
  wma4, wma62, Svol : TSeries;
  SLLong, SLShort, MSL, ShowStopLoss : TSeries;
  SLLevel: Real;
  ShowAll: Boolean;
  State: integer;
begin
  VolLevel := CreateParameterInteger('VolatilityLev', 1, 1000, 1000, true);
  WMAPeriode4 := CreateParameterInteger('WMAPeriode4', 1, 999, 4, true);
  WMAPeriode62 := CreateParameterInteger('WMAPeriode62', 1, 999, 62, true);
  StopLoss := CreateParameterInteger('StopLoss %' , 1, 999, 20, true);
  ShowAll := CreateParameterBoolean('ShowAll', false, true);
  VolPeriode := CreateParameterInteger('Volatility periode', 1, 999, 26, false);


  with Indicator do
  begin
    RequiredBars := MaxInt(WMAPeriode62, WMAPeriode4) + VolPeriode;
    NewBand := false;
    ScaleRange := srCommon;
    SignalView := svShowInMain;
  end;

  wma4 := MA(Close, maWeighted,WMAPeriode4);
  wma62 := MA(Close, maWeighted,WMAPeriode62);
  SLLong := MultiplySeriesBy(DivideSeriesBy(Close, 100), (100-StopLoss));
  SLShort := MultiplySeriesBy(DivideSeriesBy(Close, 100), (100+StopLoss));
  MSL := CreateSeries(Barcount);
  ShowStopLoss := CreateSeries(Barcount);

  SLLevel := 0;
  sVol := Volatility(Close, VolPeriode, BarInterval);

  State := 0;
  iFirst := MaxInt(FirstValidIndex(wma4), MaxInt(FirstValidIndex(sVol), FirstValidIndex(wma62)));
  for i:= iFirst+1 to BarCount-1 do
  begin
    if State = 1 then
    begin
      if Close[i] < SLLevel then SLLevel := SLLong[i] else SLLevel := Max(SLLevel, SLLong[i]);
      MSL[i]:= SLLevel;
      if IsValid(MSL[i-1]) then
      begin
        if Close[i] < MSL[i-1] then
        begin
          State := 0;
          ExitLong(i);
        end;
      end;
    end else if State = -1 then
    begin
      if Close[i] > SLLevel then SLLevel := SLShort[i] else SLLevel := Min(SLLevel, SLShort[i]);
      MSL[i]:= SLLevel;
      if IsValid(MSL[i-1]) then
      begin
        if Close[i] > MSL[i-1] then
        begin
          State := 0;
          ExitShort(i);
        end;
      end;
    end;

    if true then
    begin
      if (Close[i] > wma4 [i]) and (Close[i-1] > wma4[i-1]) and
         (Close[i] > Close[i-1]) and (wma62[i] > wma62[i-1]) and (sVol[i] < VolLevel) then
      begin
        if EnterLong(i) then
        begin
          State := 1;
          SLLevel := SLLong[i];
        end;
      end else
      if (Close[i] < wma4 [i]) and (Close[i-1] < wma4[i-1]) and
         (Close[i] < Close[i-1]) and (wma62[i] < wma62[i-1]) and (sVol[i] < VolLevel) then
      begin
        if EnterShort(i) then
        begin
          State := -1;
          SLLevel := SLShort[i];
        end;
      end;
      MSL[i] := SLLevel;

      if ShowAll or (State <> 0) then
        ShowStopLoss[i] := MSL[i];
    end;
  end;

  with CreateLine(wma4) do
  begin
    Name :='wma4';
    Color := clLime;
  end;
  with CreateLine(wma62) do
  begin
    Name :='wma62';
    Color := clPurple;
  end;
  with CreateLine(ShowStopLoss) do
  begin
    Name :='SL';
    Color := clYellow;
    LineType := ltCandlestick;
  end;
END.