L1Trend/Indicators/L1VolatilitySmoothed.mq5

<EFBFBD><EFBFBD>//+------------------------------------------------------------------+
//|                                         L1VolatilitySmoothed.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  "L1VolatilitySmoothed"
#property indicator_type1   DRAW_LINE
#property indicator_color1  clrMediumVioletRed
#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;  // Smooth period
//---
double VolSmoothed[];
//+------------------------------------------------------------------+
//| Indicator initialization function                                |
//+------------------------------------------------------------------+
int OnInit()
  {
   SetIndexBuffer(0, VolSmoothed, INDICATOR_DATA);
   ArrayInitialize(VolSmoothed, 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[])
  {
   if(rates_total < BarsToShow)
     {
      ArrayInitialize(VolSmoothed, EMPTY_VALUE);
      return 0;
     }
//--- recalc only on new bar
   static datetime last_bar_time = 0;
   if(time[0] == last_bar_time && prev_calculated > 0)
      return prev_calculated;
   last_bar_time = time[0];
//---
   int start = rates_total - BarsToShow;
   for(int i = 0; i < start; i++)
      VolSmoothed[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);
//--- calculate raw volatility
   vector<double> rawVol(BarsToShow);
   for(int i = 0; i < BarsToShow; i++)
      rawVol[i] = close[start + i] - l1[i];
//--- apply simple moving average smoothing
   for(int i = 0; i < BarsToShow; i++)
     {
      double sum = 0;
      int count = 0;
      for(int j = MathMax(0, i - SmoothPeriod + 1); j <= i; j++)
        {
         sum += rawVol[j];
         count++;
        }
      VolSmoothed[start + i] = sum / count;
     }
//---
   return rates_total;
  }
//+------------------------------------------------------------------+