'################################################################################################
'#	Indicator	:	Ehlers Filter (Verdo)														#
'#	Author		:   VERDESOFTS																	#		
'#	Copyright	:   VERDESOFTS																	#
'#	Website		:   www.verde-solution.com														#
'#	E-mail		:   admin@verde-solution.com													#
'#	Date		:   07-09-2015																	#
'#	Description	:	Ehlers Filter is a powerful trend-following indicator the provides precise	#
'#					BUY and SELL signals.														#
'#					This indicator has a minimal lag, of approximately 4 bars, which is very	#
'#					useful in detecting start of trends.										#
'#					In the first step we calculate the distance co-efficient - which is the		#
'#					absolute difference between the current price and price MOM_PERIOD bars ago.#
'#					This difference is then price-weighted over the LENGTH bars, that is,		#
'#					multiplied by the price, thus providing us with the LENGTH bars WMA. It is	#
'#					similar to an EMA, but is faster with lesser lag and better response to		#
'#					change in trends.															#
'#					It provides excellent entries when the signal-to-noise ratio (using the		#
'#					Signal Noise Ratio indicator) is high, implying that the whipsaws are		#
'#					lesser.																		#
'#					BUY - Enter BUY trade when indicator color turns BLUE. Exit BUY when		#
'#					indicator color turns RED.													#
'#					SELL - Enter SELL trade when indicator color turns RED. Exit SELL when		#
'#					indicator color turns BLUE.													#
'#					Inputs :																	#
'#					a) MOM_PERIOD - The momentum period to calculate the Ehlers Filter.			#
'#					b) LENGTH- The smoothing period of the Ehler								#
'#	History		:																				#
'#		1.00	:	Initial version.															#	
'#																								#
'################################################################################################

'''######################  INPUT PARAMETERS  ####################################################
''' All user input parameters are defined as constants so that they are not accidentally
''' changed in the code.

Const	LENGTH			= 8		' Length input parameter used in Ehlers Filter calculation.
Const	MOM_PERIOD		= 5			' The momentum period.

'''##############################################################################################

''' Indicator keys and data.

Dim m_chartID			' To track the current chart ID
Dim m_chartName			' To track the current chart Name
Dim m_indID1, m_indID2	' To track indicator series created by this script.
Dim arrPrice(), arrEhlers(), arrCoeff(), arrBUY(), arrSELL()

Dim BARS_COUNT			' To track the total number of bars on the current chart.
Dim PROCESSING			' To track active processing activity.

'########## System Constants #######

Const UNDEFINED			= -987654321	' Undefined value provided by VTL                         

' Price field constants for applied price.
Const PF_CLOSE			= 0				' Price Series : Close
Const PF_OPEN			= 1				' Price Series : Open
Const PF_HIGH			= 2				' Price Series : High
Const PF_LOW			= 3				' Price Series : Low
Const PF_MEDIAN			= 4				' Price Series : Median		(H+L)/2
Const PF_TYPICAL		= 5				' Price Series : Typical	(H+L+C)/3
Const PF_WEIGHTED		= 6				' Price Series : Weighted	(H+L+2C)/4
Const PF_VOLUME			= 10			' Price Series : Volume

Const VOL_DEFAULT		= 100			' Default Volume when Volume is missing

' Color Constants
Const COLOR_BLUE		= 16711680		' Blue
Const COLOR_RED			= 255			' Red

'////////////////////////////////////////////////////////////////////////////////////////
' Main
'////////////////////////////////////////////////////////////////////////////////////////
Public Sub main()

	While (PROCESSING)
	Wend
	
	PROCESSING = True
	BARS_COUNT = 0
	m_chartID = ChartID()
	m_chartName = ChartSymbol(CLng(m_chartID))

	updateBuffers
	performCalculations 1

	' Add indicator series to chart.
	m_indID1 = AddCustomIndicator(0, arrBUY, 1, False)
	SetSeriesStyle 0, CStr(m_indID1), LINE_CHART
	LineColor 0, CStr(m_indID1), COLOR_BLUE
	LineWeight 0, CStr(m_indID1), 3

	' Add indicator series to chart.
	m_indID2 = AddCustomIndicator(0, arrSELL, 1, False)
	SetSeriesStyle 0, CStr(m_indID2), LINE_CHART
	LineColor 0, CStr(m_indID2), COLOR_RED
	LineWeight 0, CStr(m_indID2), 3

	PROCESSING = False

End Sub

'////////////////////////////////////////////////////////////////////////////////////////
' OnTick
'////////////////////////////////////////////////////////////////////////////////////////
Public Sub OnTick(symbolName)

	If( PROCESSING ) Then Exit Sub
	If( symbolName <> ChartSymbol(0) ) Then Exit Sub
	If( CLng(BARS_COUNT) <> CLng(Bars(0)) ) Then Exit Sub

	' Write your OnTick code from here

	arrPrice(CLng(BARS_COUNT)) = CDbl(getPriceValue(PF_MEDIAN, CLng(BARS_COUNT)))

	performCalculations CLng(BARS_COUNT)
	
	' Write to chart update code from here
	ObjectSeriesSetValue 0, CStr(m_indID1), CLng(BARS_COUNT), CDbl(arrBUY(BARS_COUNT))
	ObjectSeriesSetValue 0, CStr(m_indID2), CLng(BARS_COUNT), CDbl(arrSELL(BARS_COUNT))

End Sub

'////////////////////////////////////////////////////////////////////////////////////////
' OnCalculate
'////////////////////////////////////////////////////////////////////////////////////////
Public Sub OnCalculate(symbol, symbolPeriod, openVal, highVal, lowVal, closeVal)
	
	If (PROCESSING) Then Exit Sub
	If( symbol <> ChartSymbol(0) ) Then Exit Sub
	
	PROCESSING = True

	updateBuffers
	performCalculations 1

	SetIndicatorData 0, CStr(m_indID1), CDbl(arrBUY(BARS_COUNT)) 
	SetIndicatorData 0, CStr(m_indID2), CDbl(arrSELL(BARS_COUNT)) 

	PROCESSING = False

End Sub

'////////////////////////////////////////////////////////////////////////////////////////
' updateBuffers
' Update data buffers and build / perform calculations as required.
' Loads all the required data for the indicator. This function is called during 
' initialization and during OnCalculate
'////////////////////////////////////////////////////////////////////////////////////////
Private Sub updateBuffers()

	loadPriceSeries PF_MEDIAN, arrPrice
	loadPriceSeries PF_CLOSE,  arrEhlers
	loadPriceSeries PF_CLOSE,  arrCoeff
	loadPriceSeries PF_CLOSE,  arrBUY
	loadPriceSeries PF_CLOSE,  arrSELL
	Dim i
	For i = 1 To CLng(Bars(0))
		arrEhlers(i) = UNDEFINED
		arrBUY(i) = UNDEFINED
		arrSELL(i) = UNDEFINED
		arrCoeff(i) = UNDEFINED
	Next
		
	' Make sure this is the last line of the function
	BARS_COUNT = CLng(Bars(0))

End Sub

'////////////////////////////////////////////////////////////////////////////////////////
' performCalculations
' Perform calculations for the specified range on the buffer.
' E.g. if startBar = 90, it performs calculations from the 90th-bar to the latest bar.
'////////////////////////////////////////////////////////////////////////////////////////
Private Sub performCalculations(Byval startBar)
	
	Dim i, count, SumCoef, Num, j
	For i = startBar To BARS_COUNT
		If( i - MOM_PERIOD > 0 ) Then
			arrCoeff(i) = MathAbs(arrPrice(i) - arrPrice(i - MOM_PERIOD))
		End If

		arrBUY(i) = UNDEFINED
		arrSELL(i) = UNDEFINED
		Num = 0
		SumCoef = 0
		For j = 0 To LENGTH - 1
			If( i - j > 0 ) Then
				If( arrCoeff(i-j) <> UNDEFINED ) Then
					Num = Num + arrCoeff(i-j) * arrPrice(i-j)
					SumCoef = SumCoef + arrCoeff(i-j)
				End If
			End If
		Next
		If( Num > 0 AND SumCoef > 0 ) Then arrEhlers(i) = Num / SumCoef
		If( i > 1) Then
			If( arrEhlers(i) <> UNDEFINED AND arrEhlers(i-1) <> UNDEFINED ) Then
				If( arrEhlers(i) > arrEhlers(i-1) ) Then
					arrBUY(i) = arrEhlers(i)
					If( arrBUY(i-1) = UNDEFINED AND arrSELL(i-1) <> UNDEFINED ) Then
						arrSELL(i) = arrEhlers(i)
					End If
				ElseIf ( arrEhlers(i) < arrEhlers(i-1) ) Then
					arrSELL(i) = arrEhlers(i)
					If( arrBUY(i-1) <> UNDEFINED AND arrSELL(i-1) = UNDEFINED ) Then
						arrBUY(i) = arrEhlers(i)
					End If
				Else
					arrBUY(i) = arrBUY(i-1)
					arrSELL(i) = arrSELL(i-1)
				End If
			End If
		End If
	Next

End Sub


'////////////////////////////////////////////////////////////////////////////////////////
' loadPriceSeries
'////////////////////////////////////////////////////////////////////////////////////////
Private Sub loadPriceSeries(Byval priceField, Byref array())

	' Price Field - Close(0), Open(1), High(2), Low(3), Median(4), Typical(5), Weighted(6)
	Dim totalBars
	totalBars = CLng(Bars(0))
	Erase array
	CopyClose 0, 1, Bars(0), array
	Dim arrHigh(), arrLow(), arrClose()
	If( priceField = PF_OPEN ) Then					' OPEN
		CopyOpen 0, 1, Bars(0), array
	Elseif( priceField = PF_HIGH ) Then				' HIGH
		CopyHigh 0, 1, Bars(0), array
	Elseif( priceField = PF_LOW ) Then				' LOW
		CopyLow 0, 1, Bars(0), array
	Elseif( priceField = PF_MEDIAN ) Then			' MEDIAN
		CopyHigh	0, 1, Bars(0), arrHigh
		CopyLow		0, 1, Bars(0), arrLow
		For i = 1 To totalBars
			array(i) = CDbl( (CDbl(arrHigh(i)) + CDbl(arrLow(i))) / 2.0)
		Next
	Elseif( priceField = PF_TYPICAL OR priceField = PF_WEIGHTED ) Then		'TYPICAL OR WEIGHTED
		CopyHigh	0, 1, Bars(0), arrHigh
		CopyLow		0, 1, Bars(0), arrLow
		CopyClose	0, 1, Bars(0), arrClose
		For i = 1 To totalBars
			If( priceField = PF_TYPICAL ) Then
				array(i) = (CDbl(arrHigh(i)) + CDbl(arrLow(i)) + CDbl(arrClose(i))) / 3.0
			Elseif( priceField = PF_WEIGHTED ) Then
				array(i) = (CDbl(arrHigh(i)) + CDbl(arrLow(i)) + 2.0 * CDbl(arrClose(i)))/ 4.0
			End If
		Next 
	Elseif( priceField = PF_VOLUME ) Then			' VOLUME
		CopyClose  0, 1, Bars(0), array
		For i = 1 To totalBars
			array(i) = CLng(VOL_DEFAULT)
		Next
	Else											' CLOSE
		CopyClose 0, 1, Bars(0), array
	End If

End Sub

'////////////////////////////////////////////////////////////////////////////////////////
' getPriceValue
' Returns the specified price (or volume) field value for the specified bar. 
' E.g. if priceField is PF_OPEN, and barNum = 9, it returns the Open price of the 9th
' bar.
'////////////////////////////////////////////////////////////////////////////////////////
Private Function getPriceValue(Byval priceField, Byval barNum)

	' Price Field - Close(0), Open(1), High(2), Low(3), Median(4)
	Dim result
	If( priceField = PF_OPEN ) Then					' OPEN
		result = GetOpen(0, CLng(barNum))
	Elseif( priceField = PF_HIGH ) Then				' HIGH
		result = GetHigh(0, CLng(barNum))
	Elseif( priceField = PF_LOW ) Then				' LOW
		result = GetLow(0, CLng(barNum))
	Elseif( priceField = PF_MEDIAN ) Then			' MEDIAN
		result = (CDbl(GetHigh(0, CLng(barNum))) + CDbl(getLow(0, CLng(barNum)))) / 2.0
	Elseif( priceField = PF_TYPICAL ) Then			' TYPICAL
		result = (CDbl(GetHigh(0, CLng(barNum))) + CDbl(getLow(0, CLng(barNum)) + CDbl(getClose(0, CLng(barNum))))) / 3.0
	Elseif( priceField = PF_WEIGHTED ) Then			' WEIGHTED
		result = (CDbl(GetHigh(0, CLng(barNum))) + CDbl(getLow(0, CLng(barNum)) + 2.0 * CDbl(getClose(0, CLng(barNum))))) / 4.0
	Elseif( priceField = PF_VOLUME ) Then
		result = CDbl(VOL_DEFAULT)
	Else											' CLOSE
		result = GetClose(0, CLng(barNum))
	End If
	getPriceValue = CDbl(result)

End Function

'////////////////////////////////////////////////////////////////////////////////////////
' OnInit
'////////////////////////////////////////////////////////////////////////////////////////
Public Sub OnInit()

End Sub

'////////////////////////////////////////////////////////////////////////////////////////
' OnDeInit
'////////////////////////////////////////////////////////////////////////////////////////
Public Sub OnDeInit()
	ObjectDelete 0, CStr(m_indID1)
	ObjectDelete 0, CStr(m_indID2)
	BARS_COUNT = 0
End Sub

'////////////////////////////////////////////////////////////////////////////////////////
' AllDataLoaded
'////////////////////////////////////////////////////////////////////////////////////////
Public Sub AllDataLoaded()

End Sub

'////////////////////////////////////////////////////////////////////////////////////////
' AccountSelected
'////////////////////////////////////////////////////////////////////////////////////////
Public Sub AccountSelected(accountNumber)

End Sub

'////////////////////////////////////////////////////////////////////////////////////////
' OnOrderTrade
'////////////////////////////////////////////////////////////////////////////////////////
Public Sub OnOrderTrade(actionType, orderID, returnValue)

End Sub

'////////////////////////////////////////////////////////////////////////////////////////
' OnPositionTrade
'////////////////////////////////////////////////////////////////////////////////////////
Public Sub OnPositionTrade(actionType, ticketID)

End Sub

'////////////////////////////////////////////////////////////////////////////////////////
' OnManageOrdersReceived
'////////////////////////////////////////////////////////////////////////////////////////
Public Sub OnManageOrdersReceived(manageOrders)

End Sub

'////////////////////////////////////////////////////////////////////////////////////////
' OnTimer
'////////////////////////////////////////////////////////////////////////////////////////
Public Sub OnTimer()

End Sub