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Alternative_Ichimoku_cfb_mtf-correct.mq4

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//+----------------------------------------------------------+
//|                             Alternative Ichimoku .mq4    |
//|                             Copyright © february 2007    |
//|               Lukashuk Victor Gennadievich aka lukas1   
//|
//|                                lucas settings:
//| Pair         Time  SSP  SSK
//| EURGBP    4H    44     38
//| CADCHF    4H    62     52
//| CADJPY    4H    48     36
//| GBPUSD    4H    44     36
//| GBPCHF    4H    34     29
//| GBPJPY    4H    36     29
//| EURUSD    4H    34     34
//| EURCHF    4H    72     50
//| EURJPY    4H    72     36
//| USDCAD    4H    24     60
//| USDCHF    4H    34     29
//| USDJPY    4H    34     29
//| 
//+----------------------------------------------------------+
#property copyright "Copyright © 2007, lukas1"
#property link ""







#property indicator_chart_window
#property indicator_buffers 5
#property indicator_color1  LightPink
#property indicator_color2  LightSteelBlue
#property indicator_color3  LightSteelBlue
#property indicator_color4  LightPink
#property indicator_color5  Blue
#property indicator_width1  1
#property indicator_width2  1
#property indicator_width3  2
#property indicator_width4  2
#property indicator_width5  1






extern string TimeFrame             = "Current time frame";
extern int    ShortLimit            = 10;
extern int    LongLimit             = 20;
extern int    CfbNormLength         = 50;
extern int    CfbDepth              = 6;
extern int    CfbPrice              = PRICE_WEIGHTED;
extern int    CfbSmooth             = 8;
extern double CfbResultSmooth       = 2;
extern double CfbResultSmoothPhase  = 0.0;
extern bool   CfbResultSmoothDouble = true;
extern int    SSK                   = 5; 
extern bool   Interpolate           = true;

extern bool   alertsOn              = true;
extern bool   alertsOnCurrent       = false;
extern bool   alertsMessage         = true;
extern bool   alertsSound           = true;
extern bool   alertsEmail           = false; 






double ExtMapBuffer1[];
double ExtMapBuffer2[];
double Wal1[];
double Wal2[];
double ExtMapBuffer4[];
double cfb[];
double trend[];


double _Point = 1;
double SSP;

string indicatorFileName;
bool   calculateValue;
bool   returnBars;
int    timeFrame;






int init()
  {

   IndicatorBuffers(7);
   SetIndexBuffer(0,ExtMapBuffer1); SetIndexStyle(0, DRAW_LINE);     SetIndexDrawBegin(0,SSP*2); SetIndexLabel(0,"priority line");
   SetIndexBuffer(1,ExtMapBuffer2); SetIndexStyle(1, DRAW_LINE);     SetIndexDrawBegin(1,SSP*2); SetIndexLabel(1,"overdue line");
   SetIndexBuffer(2,Wal1);          SetIndexStyle(2, DRAW_HISTOGRAM);SetIndexDrawBegin(2,SSP*2);
   SetIndexBuffer(3,Wal2);          SetIndexStyle(3, DRAW_HISTOGRAM);SetIndexDrawBegin(3,SSP*2);
   SetIndexBuffer(4,ExtMapBuffer4); SetIndexStyle(4, DRAW_LINE);     SetIndexDrawBegin(4,SSP*2); SetIndexLabel(4, "stop-order line");
   SetIndexBuffer(5,cfb);
   SetIndexBuffer(6,trend);
   
   
   
   
   
   indicatorFileName = WindowExpertName();
   calculateValue    = (TimeFrame=="calculateValue"); if (calculateValue) return(0);
   returnBars        = (TimeFrame=="returnBars");     if (returnBars)     return(0);
   timeFrame         = stringToTimeFrame(TimeFrame);
   
   
   IndicatorShortName(timeFrameToString(timeFrame)+" Alternate Ichimoku cfb");

   _Point  = MarketInfo(Symbol(),MODE_POINT)*MathPow(10,Digits%2);
   
   return(0);
  }


int deinit() { Comment(""); return(0);}
//
//                           
//
int start()
  {
   int counted_bars=IndicatorCounted();
   int i,r,limit;

   if(counted_bars<0) return(-1);
   if(counted_bars>0) counted_bars--;
         limit = MathMin(Bars-counted_bars,Bars-1);
         if (returnBars) { ExtMapBuffer1[0] = limit+1; return(0); }

   //
   //
   //
   //
   //

    if (calculateValue || timeFrame == Period())
    {
         
   
            
    for(i=limit, r=Bars-i-1; i>=0; i--, r++)
    {    
    cfb[i] = iDSmooth(iCfb(Bars,iMA(NULL,0,1,0,MODE_SMA,CfbPrice,i),CfbDepth,CfbSmooth,r),CfbResultSmooth,CfbResultSmoothPhase,CfbResultSmoothDouble,i);
    
         //
         //
         //
         //
         //
         
         double cfbMax = cfb[i];
         double cfbMin = cfb[i];
         for (int x=1; x 0)
                  double ratio = (cfb[i]-cfbMin)/denominator;
               else      ratio = 0.5; 
               
               
                               
              SSP       = MathCeil(ShortLimit+ratio*(LongLimit-ShortLimit));
       double SsMax     = High[iHighest(NULL,0, MODE_HIGH,SSP, i)];      
       double SsMin     = Low[iLowest(NULL,  0, MODE_LOW, SSP, i)];         
       double SsMax05   = High[iHighest(NULL,0, MODE_HIGH,SSP, i + SSK)];
       double SsMin05   = Low[iLowest(NULL,  0, MODE_LOW, SSP, i + SSK)]; 
         
       ExtMapBuffer1[i] = (SsMax + SsMin) / 2;
       ExtMapBuffer2[i] = (SsMax05+SsMin05) / 2;
       
       double val1      = ExtMapBuffer1[1] / _Point;
       double val2      = ExtMapBuffer2[1] / _Point;
       
                Wal1[i] = ExtMapBuffer1[i];
                Wal2[i] = ExtMapBuffer2[i];
      
       double Tsmax     = High[iHighest(NULL,0, MODE_HIGH,SSP * 1.62, i)];     
       double Tsmin     = Low[iLowest(NULL,  0, MODE_LOW, SSP * 1.62, i)];    
       ExtMapBuffer4[i] = (Tsmax + Tsmin) / 2;     
               trend[i] = trend[i+1];
                          
           if (ExtMapBuffer1[i] > ExtMapBuffer2[i] && ExtMapBuffer1[i+1] <= ExtMapBuffer2[i+1]) trend[i] =  1;
           if (ExtMapBuffer1[i] < ExtMapBuffer2[i] && ExtMapBuffer1[i+1] >= ExtMapBuffer2[i+1]) trend[i] = -1;
            
        
      }
      manageAlerts();
      return (0);
   }        
  
   limit = MathMax(limit,MathMin(Bars,iCustom(NULL,timeFrame,indicatorFileName,"returnBars",0,0)*timeFrame/Period()));
   for (i=limit;i>=0;i--)
   {
   int y                = iBarShift(NULL,timeFrame,Time[i]);
       ExtMapBuffer1[i] = iCustom(NULL,timeFrame,indicatorFileName,"calculateValue",ShortLimit,LongLimit,CfbNormLength,CfbDepth,CfbPrice,CfbSmooth,CfbResultSmooth,CfbResultSmoothPhase,CfbResultSmoothDouble,SSK,0,y);
       ExtMapBuffer2[i] = iCustom(NULL,timeFrame,indicatorFileName,"calculateValue",ShortLimit,LongLimit,CfbNormLength,CfbDepth,CfbPrice,CfbSmooth,CfbResultSmooth,CfbResultSmoothPhase,CfbResultSmoothDouble,SSK,1,y);
       Wal1[i]          = iCustom(NULL,timeFrame,indicatorFileName,"calculateValue",ShortLimit,LongLimit,CfbNormLength,CfbDepth,CfbPrice,CfbSmooth,CfbResultSmooth,CfbResultSmoothPhase,CfbResultSmoothDouble,SSK,2,y);
       Wal2[i]          = iCustom(NULL,timeFrame,indicatorFileName,"calculateValue",ShortLimit,LongLimit,CfbNormLength,CfbDepth,CfbPrice,CfbSmooth,CfbResultSmooth,CfbResultSmoothPhase,CfbResultSmoothDouble,SSK,3,y);
       ExtMapBuffer4[i] = iCustom(NULL,timeFrame,indicatorFileName,"calculateValue",ShortLimit,LongLimit,CfbNormLength,CfbDepth,CfbPrice,CfbSmooth,CfbResultSmooth,CfbResultSmoothPhase,CfbResultSmoothDouble,SSK,4,y);
       trend[i]         = iCustom(NULL,timeFrame,indicatorFileName,"calculateValue",ShortLimit,LongLimit,CfbNormLength,CfbDepth,CfbPrice,CfbSmooth,CfbResultSmooth,CfbResultSmoothPhase,CfbResultSmoothDouble,SSK,6,y);
       
       
       if (timeFrame <= Period() || y==iBarShift(NULL,timeFrame,Time[i-1])) continue;
            if (!Interpolate) continue;

         //
         //
         //
         //
         //

         datetime time = iTime(NULL,timeFrame,y);
            for(int n = 1; i+n < Bars && Time[i+n] >= time; n++) continue;	
            for(int k = 1; k < n; k++)
            {
               ExtMapBuffer1[i+k] = ExtMapBuffer1[i] + (ExtMapBuffer1[i+n] - ExtMapBuffer1[i])*k/n;
               ExtMapBuffer2[i+k] = ExtMapBuffer2[i] + (ExtMapBuffer2[i+n] - ExtMapBuffer2[i])*k/n;
               Wal1[i+k]          = Wal1[i]          + (Wal1[i+n]          - Wal1[i]         )*k/n;
               Wal2[i+k]          = Wal2[i]          + (Wal2[i+n]          - Wal2[i]         )*k/n;
               ExtMapBuffer4[i+k] = ExtMapBuffer4[i] + (ExtMapBuffer4[i+n] - ExtMapBuffer4[i])*k/n;
            }               
   }

   manageAlerts();
   return(0);
}
//+------------------------------------------------------------------+

void manageAlerts()
{
   if (!calculateValue && alertsOn)
   {
      if (alertsOnCurrent)
           int whichBar = 0;
      else     whichBar = 1; whichBar = iBarShift(NULL,0,iTime(NULL,timeFrame,whichBar));
      if (trend[whichBar] != trend[whichBar+1])
      {
         if (trend[whichBar] ==  1) doAlert(whichBar,"up");
         if (trend[whichBar] == -1) doAlert(whichBar,"down");
      }
   }
}

//
//
//
//
//

void doAlert(int forBar, string doWhat)
{
   static string   previousAlert="nothing";
   static datetime previousTime;
   string message;
   
   if (previousAlert != doWhat || previousTime != Time[forBar]) {
       previousAlert  = doWhat;
       previousTime   = Time[forBar];

       //
       //
       //
       //
       //

       message =  StringConcatenate(Symbol()," ",timeFrameToString(timeFrame)," at ",TimeToStr(TimeLocal(),TIME_SECONDS)," Alternate Ichimoku Cfb trend changed to ",doWhat);
          if (alertsMessage) Alert(message);
          if (alertsEmail)   SendMail(StringConcatenate(Symbol()," Alternate Ichimoku Cfb  "),message);
          if (alertsSound)   PlaySound("alert2.wav");
   }
}




int    Depths[] = {2,3,4,6,8,12,16,24,32,48,64,96,128,192};
double workCfb[][28];

//
//
//
//
//

double iCfb(int totalBars, double price, int depth, int smooth, int i)
{
   if (ArrayRange(workCfb,0) != totalBars) ArrayResize(workCfb,totalBars);
         
   //
   //
   //
   //
   //

   double suma     = 0;
   double sumb     = 0;
   double cfb      = 0;
   double evenCoef = 1;
   double oddCoef  = 1;
   double avg      = 0;
         
      if (i>=smooth)
         for (int k=depth-1; k>=0; k--)
         {
            workCfb[i][k]    = iCfbFunc(totalBars,price,i,Depths[k],k);
            workCfb[i][k+14] = workCfb[i-1][k+14] + (workCfb[i][k]-workCfb[i-smooth][k])/smooth;

                  if ((k%2)==0)
                        { avg = oddCoef  * workCfb[i][k+14]; oddCoef  = oddCoef  * (1 - avg); }
                  else  { avg = evenCoef * workCfb[i][k+14]; evenCoef = evenCoef * (1 - avg); }
               
               suma += avg*avg*Depths[k];
               sumb += avg;
         }
      else for (k=depth-1; k>=0; k--) { workCfb[i][k] = 0; workCfb[i][k+14] = 0; }            

   //
   //
   //
   //
   //

   if (sumb != 0) cfb = suma/sumb;
   return(cfb);
}


//
//
//
//
//

double  workCfbFunc[][70];
#define _prices 0
#define _roc    1
#define _value1 2
#define _value2 3
#define _value3 4

//
//
//
//

double iCfbFunc(int totalBars, double price, int r, int depth, int k)
{
   k *= 5;
      if (ArrayRange(workCfbFunc,0) != totalBars) ArrayResize(workCfbFunc,totalBars);
      if (r<=(depth+1))
      {
         workCfbFunc[r][k+_prices] = 0;
         workCfbFunc[r][k+_roc]    = 0;
         workCfbFunc[r][k+_value1] = 0;
         workCfbFunc[r][k+_value2] = 0;
         workCfbFunc[r][k+_value3] = 0;
         return(0);
      }         
      workCfbFunc[r][k+_prices] = price; 

   //
   //
   //
   //
   //

      workCfbFunc[r][k+_roc]    = MathAbs(workCfbFunc[r][k+_prices] - workCfbFunc[r-1][k+_prices]);
      workCfbFunc[r][k+_value1] = workCfbFunc[r-1][k+_value1] - workCfbFunc[r-depth][k+_roc] + workCfbFunc[r][k+_roc];
      workCfbFunc[r][k+_value2] = workCfbFunc[r-1][k+_value2] - workCfbFunc[r-1][k+_value1] + workCfbFunc[r][k+_roc]*depth;
      workCfbFunc[r][k+_value3] = workCfbFunc[r-1][k+_value3] - workCfbFunc[r-1-depth][k+_prices] + workCfbFunc[r-1][k+_prices];
   
      double dividend = MathAbs(depth*workCfbFunc[r][k+_prices]-workCfbFunc[r][k+_value3]);

      //
      //
      //
      //
      //
         
   if (workCfbFunc[r][k+_value2] != 0)
         return( dividend / workCfbFunc[r][k+_value2]);
   else  return(0.00);            
}


double wrk[][20];

#define bsmax  5
#define bsmin  6
#define volty  7
#define vsum   8
#define avolty 9

//
//
//
//
//

double iDSmooth(double price, double length, double phase, bool isDouble, int i, int s=0)
{
   if (isDouble)
         return (iSmooth(iSmooth(price,MathSqrt(length),phase,i,s),MathSqrt(length),phase,i,s+10));
   else  return (iSmooth(price,length,phase,i,s));
}

//
//
//
//
//

double iSmooth(double price, double length, double phase, int i, int s=0)
{
   if (length <=1) return(price);
   if (ArrayRange(wrk,0) != Bars) ArrayResize(wrk,Bars);
   
   int r = Bars-i-1; 
      if (r==0) { for(int k=0; k<7; k++) wrk[r][k+s]=price; for(; k<10; k++) wrk[r][k+s]=0; return(price); }

   //
   //
   //
   //
   //
   
      double len1   = MathMax(MathLog(MathSqrt(0.5*(length-1)))/MathLog(2.0)+2.0,0);
      double pow1   = MathMax(len1-2.0,0.5);
      double del1   = price - wrk[r-1][bsmax+s];
      double del2   = price - wrk[r-1][bsmin+s];
      double div    = 1.0/(10.0+10.0*(MathMin(MathMax(length-10,0),100))/100);
      int    forBar = MathMin(r,10);
	
         wrk[r][volty+s] = 0;
               if(MathAbs(del1) > MathAbs(del2)) wrk[r][volty+s] = MathAbs(del1); 
               if(MathAbs(del1) < MathAbs(del2)) wrk[r][volty+s] = MathAbs(del2); 
         wrk[r][vsum+s] =	wrk[r-1][vsum+s] + (wrk[r][volty+s]-wrk[r-forBar][volty+s])*div;
         
         //
         //
         //
         //
         //
   
         wrk[r][avolty+s] = wrk[r-1][avolty+s]+(2.0/(MathMax(4.0*length,30)+1.0))*(wrk[r][vsum+s]-wrk[r-1][avolty+s]);
            if (wrk[r][avolty+s] > 0)
               double dVolty = wrk[r][volty+s]/wrk[r][avolty+s]; else dVolty = 0;   
	               if (dVolty > MathPow(len1,1.0/pow1)) dVolty = MathPow(len1,1.0/pow1);
                  if (dVolty < 1)                      dVolty = 1.0;

      //
      //
      //
      //
      //
	        
   	double pow2 = MathPow(dVolty, pow1);
      double len2 = MathSqrt(0.5*(length-1))*len1;
      double Kv   = MathPow(len2/(len2+1), MathSqrt(pow2));

         if (del1 > 0) wrk[r][bsmax+s] = price; else wrk[r][bsmax+s] = price - Kv*del1;
         if (del2 < 0) wrk[r][bsmin+s] = price; else wrk[r][bsmin+s] = price - Kv*del2;
	
   //
   //
   //
   //
   //
      
      double R     = MathMax(MathMin(phase,100),-100)/100.0 + 1.5;
      double beta  = 0.45*(length-1)/(0.45*(length-1)+2);
      double alpha = MathPow(beta,pow2);

         wrk[r][0+s] = price + alpha*(wrk[r-1][0+s]-price);
         wrk[r][1+s] = (price - wrk[r][0+s])*(1-beta) + beta*wrk[r-1][1+s];
         wrk[r][2+s] = (wrk[r][0+s] + R*wrk[r][1+s]);
         wrk[r][3+s] = (wrk[r][2+s] - wrk[r-1][4+s])*MathPow((1-alpha),2) + MathPow(alpha,2)*wrk[r-1][3+s];
         wrk[r][4+s] = (wrk[r-1][4+s] + wrk[r][3+s]); 

   //
   //
   //
   //
   //

   return(wrk[r][4+s]);
}

string sTfTable[] = {"M1","M5","M15","M30","H1","H4","D1","W1","MN"};
int    iTfTable[] = {1,5,15,30,60,240,1440,10080,43200};

//
//
//
//
//

int stringToTimeFrame(string tfs)
{
   tfs = stringUpperCase(tfs);
   for (int i=ArraySize(iTfTable)-1; i>=0; i--)
         if (tfs==sTfTable[i] || tfs==""+iTfTable[i]) return(MathMax(iTfTable[i],Period()));
                                                      return(Period());
}
string timeFrameToString(int tf)
{
   for (int i=ArraySize(iTfTable)-1; i>=0; i--) 
         if (tf==iTfTable[i]) return(sTfTable[i]);
                              return("");
}

//
//
//
//
//

string stringUpperCase(string str)
{
   string   s = str;

   for (int length=StringLen(str)-1; length>=0; length--)
   {
      int char = StringGetChar(s, length);
         if((char > 96 && char < 123) || (char > 223 && char < 256))
                     s = StringSetChar(s, length, char - 32);
         else if(char > -33 && char < 0)
                     s = StringSetChar(s, length, char + 224);
   }
   return(s);
}