L1Trend/Indicators/L1VolatilityNormalizedSmoothed.mq5

<EFBFBD><EFBFBD>//+------------------------------------------------------------------+
//|                               L1VolatilityNormalizedSmoothed.mq5 |
//|                             Copyright 2000-2026, MetaQuotes Ltd. |
//|                                             https://www.mql5.com |
//+------------------------------------------------------------------+
#property copyright "Copyright 2000-2026, MetaQuotes Ltd."
#property link      "https://www.mql5.com"
#property version   "1.00"
#property indicator_separate_window
#property indicator_buffers 1
#property indicator_plots   1

#property indicator_label1  "L1VolatilityNormalizedSmoothed"
#property indicator_type1   DRAW_LINE
#property indicator_color1  clrDeepSkyBlue
#property indicator_width1  2
//---
input int    BarsToShow   = 1000;  // Number of bars to calculate L1
input double CoefLambda   = 0.015; // Lambda in lambda_max units
input int    SmoothPeriod = 10;    // EMA smoothing period (1=no smoothing)
//---
double NormVolSmooth[];
//+------------------------------------------------------------------+
//| Indicator initialization function                                |
//+------------------------------------------------------------------+
int OnInit()
  {
//--- prepare  
   SetIndexBuffer(0, NormVolSmooth, INDICATOR_DATA);
   ArrayInitialize(NormVolSmooth, EMPTY_VALUE);
   PlotIndexSetDouble(0, PLOT_EMPTY_VALUE, EMPTY_VALUE);
   IndicatorSetInteger(INDICATOR_DIGITS, _Digits);
//---
   return INIT_SUCCEEDED;
  }
//+------------------------------------------------------------------+
//| Indicator iteration function                                     |
//+------------------------------------------------------------------+
int OnCalculate(const int rates_total,
                const int prev_calculated,
                const datetime &time[],
                const double &open[],
                const double &high[],
                const double &low[],
                const double &close[],
                const long &tick_volume[],
                const long &volume[],
                const int &spread[])
  {
//--- check bars
   static bool warned=false;
   if(rates_total < BarsToShow)
     {
      if(!warned)
        {
         Print("Waiting for enough bars: ",BarsToShow);
         warned=true;
        }
      ArrayInitialize(NormVolSmooth,EMPTY_VALUE);
      return 0;
     }
//--- check  new bar
   static datetime last_bar_time=0;
   bool new_bar=(time[0]!=last_bar_time);
   bool need_recalc= (prev_calculated==0) || new_bar || (rates_total!=prev_calculated);
   if(!need_recalc)
      return prev_calculated;
   last_bar_time=time[0];
   int start = rates_total - BarsToShow;
//---
   for(int i = 0; i < start; i++)
      NormVolSmooth[i] = EMPTY_VALUE;
//--- copy close prices
   vector<double> price(BarsToShow);
   for(int i = 0; i < BarsToShow; i++)
      price[i] = close[start + i];
//---
   vector<double> l1(BarsToShow);
   price.L1TrendFilter(l1, CoefLambda, true);
//--- compute normalized volatility
   vector<double> VolNormalized(BarsToShow);
   double mean = 0, stddev = 0;
   for(int i = 0; i < BarsToShow; i++)
      mean += close[start + i] - l1[i];
   mean /= BarsToShow;
//---
   for(int i = 0; i < BarsToShow; i++)
      stddev += MathPow(close[start + i] - l1[i] - mean, 2);
   stddev = MathSqrt(stddev / BarsToShow);
//---
   for(int i = 0; i < BarsToShow; i++)
      VolNormalized[i] = stddev > 0 ? (close[start + i] - l1[i]) / stddev : 0;
//--- EMA smoothing
   vector<double> Smooth(BarsToShow);
   double alpha = (SmoothPeriod <= 1) ? 1.0 : 2.0 / (SmoothPeriod + 1.0);
//---
   Smooth[0] = VolNormalized[0];
   for(int i = 1; i < BarsToShow; i++)
      Smooth[i] = alpha * VolNormalized[i] + (1 - alpha) * Smooth[i - 1];
//--- copy to indicator buffer
   for(int i = 0; i < BarsToShow; i++)
      NormVolSmooth[start + i] = Smooth[i];
//---
   return rates_total;
  }
//+------------------------------------------------------------------+