//+------------------------------------------------------------------+
//|                                           L1VolatilityRegime.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  "L1 Volatility Regime"
#property indicator_type1   DRAW_LINE
#property indicator_color1  clrRoyalBlue
#property indicator_width1  2
//--- input parameters
input int    BarsToShow    = 1000;  // Number of bars to calculate L1
input double CoefLambda    = 0.015; // Lambda in lambda_max units
input int    ATRPeriod     = 14;    // ATR period
input int    SmoothPeriod  = 10;    // Smooth period
input double L1MoveThresh  = 0.0;   // Move volatility  
input double LowVolThresh  = 0.5;   // Low volatility 
input double HighVolThresh = 1.5;   // High volatility 
input double PanicMult     = 2.0;   // Panic volatility
//---
double Regime[];
//+------------------------------------------------------------------+
//| Indicator initialization function                                |
//+------------------------------------------------------------------+
int OnInit()
  {
   SetIndexBuffer(0, Regime, INDICATOR_DATA);
   PlotIndexSetDouble(0,PLOT_EMPTY_VALUE, EMPTY_VALUE);
   IndicatorSetInteger(INDICATOR_DIGITS, 0); // целые значения 0..3
   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
   if(rates_total < BarsToShow + ATRPeriod)
     {
      ArrayInitialize(Regime, 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;
   int count = BarsToShow;
//---
   for(int i=0; i<start; i++)
      Regime[i] = EMPTY_VALUE;
//---
   vector<double> DataClose(count), DataHigh(count), DataLow(count);
   for(int i=0; i<count; i++)
     {
      DataClose[i] = close[start+i];
      DataHigh[i]  = high[start+i];
      DataLow[i]   = low[start+i];
     }
//---
   vector<double> L1(count);
   if(!DataClose.L1TrendFilter(L1, CoefLambda, true))
      return prev_calculated;
//---
   vector<double> TR(count), ATR(count);
   for(int i=0; i<count; i++)
     {
      if(i==0)
         TR[i] = DataHigh[i]-DataLow[i];
      else
        {
         double h_l = DataHigh[i]-DataLow[i];
         double h_pc = MathAbs(DataHigh[i]-DataClose[i-1]);
         double l_pc = MathAbs(DataLow[i]-DataClose[i-1]);
         TR[i] = MathMax(h_l, MathMax(h_pc, l_pc));
        }
      int from = MathMax(0, i-ATRPeriod+1);
      double sumTR = 0;
      int n = i-from+1;
      for(int j=from;j<=i;j++)
         sumTR += TR[j];
      ATR[i] = sumTR/n;
     }
//---
   vector<double> NormVol(count), SmoothVol(count);
   for(int i=0;i<count;i++)
      NormVol[i] = (ATR[i]>0) ? MathAbs(DataClose[i]-L1[i])/ATR[i] : 0;
   double alpha = 2.0/(SmoothPeriod+1.0);
   SmoothVol[0] = NormVol[0];
   for(int i=1;i<count;i++)
      SmoothVol[i] = alpha*NormVol[i] + (1-alpha)*SmoothVol[i-1];
//---
   for(int i=0;i<count;i++)
     {
      double vol = SmoothVol[i];
      double deltaL1 = (i>0) ? (L1[i]-L1[i-1]) : 0.0;
      if(vol < LowVolThresh)
         Regime[start+i] = 0; // Range
      else
         if(vol >= LowVolThresh && vol < HighVolThresh)
            Regime[start+i] = (MathAbs(deltaL1) > L1MoveThresh) ? 1 : 0; // Trend/Range
         else
            if(vol >= HighVolThresh && vol < HighVolThresh*PanicMult)
               Regime[start+i] = 2; // Expansion
            else
               Regime[start+i] = 3; // Panic
     }
//---
   return rates_total;
  }
//+------------------------------------------------------------------+