130 linhas
Sem EOL
9,5 KiB
MQL5
130 linhas
Sem EOL
9,5 KiB
MQL5
//+------------------------------------------------------------------+
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//| L1VolatilityRegime.mq5 |
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//| Copyright 2000-2026, MetaQuotes Ltd. |
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//| https://www.mql5.com |
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//+------------------------------------------------------------------+
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#property copyright "Copyright 2000-2026, MetaQuotes Ltd."
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#property link "https://www.mql5.com"
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#property version "1.00"
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#property indicator_separate_window
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#property indicator_buffers 1
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#property indicator_plots 1
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//---
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#property indicator_label1 "L1 Volatility Regime"
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#property indicator_type1 DRAW_LINE
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#property indicator_color1 clrRoyalBlue
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#property indicator_width1 2
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//--- input parameters
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input int BarsToShow = 1000; // Number of bars to calculate L1
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input double CoefLambda = 0.015; // Lambda in lambda_max units
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input int ATRPeriod = 14; // ATR period
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input int SmoothPeriod = 10; // Smooth period
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input double L1MoveThresh = 0.0; // Move volatility
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input double LowVolThresh = 0.5; // Low volatility
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input double HighVolThresh = 1.5; // High volatility
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input double PanicMult = 2.0; // Panic volatility
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//---
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double Regime[];
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//+------------------------------------------------------------------+
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//| Indicator initialization function |
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//+------------------------------------------------------------------+
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int OnInit()
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{
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SetIndexBuffer(0, Regime, INDICATOR_DATA);
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PlotIndexSetDouble(0,PLOT_EMPTY_VALUE, EMPTY_VALUE);
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IndicatorSetInteger(INDICATOR_DIGITS, 0); // целые значения 0..3
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return INIT_SUCCEEDED;
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}
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//+------------------------------------------------------------------+
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//| Indicator iteration function |
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//+------------------------------------------------------------------+
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int OnCalculate(const int rates_total,
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const int prev_calculated,
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const datetime &time[],
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const double &open[],
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const double &high[],
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const double &low[],
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const double &close[],
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const long &tick_volume[],
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const long &volume[],
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const int &spread[])
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{
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//--- check bars
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if(rates_total < BarsToShow + ATRPeriod)
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{
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ArrayInitialize(Regime, EMPTY_VALUE);
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return 0;
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}
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//--- check new bar
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static datetime last_bar_time=0;
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bool new_bar=(time[0]!=last_bar_time);
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bool need_recalc=(prev_calculated==0) || new_bar || (rates_total!=prev_calculated);
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if(!need_recalc)
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return prev_calculated;
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last_bar_time=time[0];
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//---
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int start = rates_total - BarsToShow;
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int count = BarsToShow;
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//---
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for(int i=0; i<start; i++)
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Regime[i] = EMPTY_VALUE;
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//---
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vector<double> DataClose(count), DataHigh(count), DataLow(count);
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for(int i=0; i<count; i++)
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{
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DataClose[i] = close[start+i];
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DataHigh[i] = high[start+i];
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DataLow[i] = low[start+i];
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}
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//---
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vector<double> L1(count);
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if(!DataClose.L1TrendFilter(L1, CoefLambda, true))
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return prev_calculated;
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//---
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vector<double> TR(count), ATR(count);
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for(int i=0; i<count; i++)
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{
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if(i==0)
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TR[i] = DataHigh[i]-DataLow[i];
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else
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{
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double h_l = DataHigh[i]-DataLow[i];
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double h_pc = MathAbs(DataHigh[i]-DataClose[i-1]);
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double l_pc = MathAbs(DataLow[i]-DataClose[i-1]);
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TR[i] = MathMax(h_l, MathMax(h_pc, l_pc));
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}
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int from = MathMax(0, i-ATRPeriod+1);
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double sumTR = 0;
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int n = i-from+1;
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for(int j=from;j<=i;j++)
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sumTR += TR[j];
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ATR[i] = sumTR/n;
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}
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//---
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vector<double> NormVol(count), SmoothVol(count);
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for(int i=0;i<count;i++)
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NormVol[i] = (ATR[i]>0) ? MathAbs(DataClose[i]-L1[i])/ATR[i] : 0;
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double alpha = 2.0/(SmoothPeriod+1.0);
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SmoothVol[0] = NormVol[0];
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for(int i=1;i<count;i++)
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SmoothVol[i] = alpha*NormVol[i] + (1-alpha)*SmoothVol[i-1];
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//---
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for(int i=0;i<count;i++)
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{
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double vol = SmoothVol[i];
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double deltaL1 = (i>0) ? (L1[i]-L1[i-1]) : 0.0;
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if(vol < LowVolThresh)
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Regime[start+i] = 0; // Range
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else
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if(vol >= LowVolThresh && vol < HighVolThresh)
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Regime[start+i] = (MathAbs(deltaL1) > L1MoveThresh) ? 1 : 0; // Trend/Range
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else
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if(vol >= HighVolThresh && vol < HighVolThresh*PanicMult)
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Regime[start+i] = 2; // Expansion
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else
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Regime[start+i] = 3; // Panic
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}
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//---
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return rates_total;
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}
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//+------------------------------------------------------------------+ |