//+-------------------------------------------------------
//| Stat-Arbitrage Indicator.mq4 |
//| Ilya Kiselev, JIBS |
//| http://www.jibs.se |
//+-------------------------------------------------------
#property indicator_chart_window
#property indicator_buffers 4
#property indicator_color2 Yellow
#property indicator_color3 Blue
#property indicator_color4 Red
extern double T=8;
extern int porog_E =10;
double H1, L1, A1, H2, L2, A2, H3, L3, A3, T_half, Zt, Wt;
//---- buffers
double ExtMapBuffer1[];
double Signal[];
double Up[];
double Dn[];
double Fl[];
//+-------------------------------------------------------
//| Custom indicator initialization function |
//+-------------------------------------------------------
int init()
{
//---- indicators
SetIndexStyle(0,DRAW_NONE);
SetIndexDrawBegin(0,0);
SetIndexBuffer(0,ExtMapBuffer1);
SetIndexStyle(1,DRAW_LINE);
SetIndexDrawBegin(1,0);
SetIndexBuffer(1,Fl);
SetIndexStyle(2,DRAW_LINE);
SetIndexDrawBegin(2,0);
SetIndexBuffer(2,Up);
SetIndexStyle(3,DRAW_LINE);
SetIndexDrawBegin(3,0);
SetIndexBuffer(3,Dn);
IndicatorShortName("Indicator EMAVFS");
return;
}
//+-------------------------------------------------------
//| Custom indicator iteration function |
//+-------------------------------------------------------
int start()
{
int i;
int Indicator_Counted=IndicatorCounted();
int limit=Bars-Indicator_Counted;
T_half = T/2;
//----
for ( i=limit;i>=0;i--)
{
H1=High[iHighest(NULL,0,MODE_HIGH, T_half, i)];
L1=Low[iLowest(NULL,0,MODE_LOW, T_half, i)];
A1 = H1-L1;
H2=High[iHighest(NULL,0,MODE_HIGH, T, i+T_half)];
L2=Low[iLowest(NULL,0,MODE_LOW, T, i+T_half)];
A2 = H2-L2;
H3=High[iHighest(NULL,0,MODE_HIGH, T, i)];
L3=Low[iLowest(NULL,0,MODE_LOW, T, i)];
A3 = H3-L3;
Zt = (MathAbs(Close[i]-ExtMapBuffer1[i+1]))/porog_E;
if ((Zt<=1) && (Zt>=0))
{
Wt = 0.5 * (1 - MathSqrt(1 - Zt*Zt));
}
else
if (Zt>1)
{
Wt = 0.5 * (1 + MathSqrt(1 - 1/(Zt*Zt)));
}
ExtMapBuffer1[i] = Wt*Close[i] +
(1Wt)*ExtMapBuffer1[i+1];
if(MathAbs(ExtMapBuffer1[i]-ExtMapBuffer1[i+1])
>=porog_E*Point)
{
if(i>0)
{
if(Close[i]<=ExtMapBuffer1[i])
{
Dn[i]=ExtMapBuffer1[i];
}
else
{
Fl[i]=ExtMapBuffer1[i];
}
if(Close[i] >=ExtMapBuffer1[i])
{
Up[i]=ExtMapBuffer1[i];
}
else
{
Fl[i]=ExtMapBuffer1[i];
}
}
else
{
Fl[i]=ExtMapBuffer1[i];
}
}
else
{
ExtMapBuffer1[i]=ExtMapBuffer1[i+1];
Fl[i]=ExtMapBuffer1[i];
}
}
return(0);
}