SmartATR/SmartATR.mq5

//+------------------------------------------------------------------+
//|   SmartATR MT5 - Adaptive, Volume & News-Weighted ATR            |
//|   Project: SmartATR MT5 (Open Source, MIT License)               |
//|   Author: Steve Rosenstock & Community                           |
//|   Repository: https://forge.mql5.io/steverosenstock/SmartATR     |
//|   Git: https://forge.mql5.io/steverosenstock/SmartATR.git        |
//+------------------------------------------------------------------+
#property copyright "Steve Rosenstock & Community"
#property link      "https://forge.mql5.io/steverosenstock/SmartATR"
#property version   "1.0"
#property indicator_separate_window
#property indicator_buffers 2
#property indicator_plots   2

#property indicator_label1  "SmartATR"
#property indicator_type1   DRAW_LINE
#property indicator_color1  clrDodgerBlue
#property indicator_width1  2

#property indicator_label2  "News Event Overlay"
#property indicator_type2   DRAW_HISTOGRAM
#property indicator_color2  clrOrangeRed
#property indicator_width2  3

//--- INPUT PARAMETERS
input int      ATR_Period     = 14;     // Initial ATR period (used for first calculation, adaptively changes)
input bool     Adaptive_Mode  = true;   // Enable adaptive period (dynamic lookback)
input int      Min_Period     = 7;      // Minimum ATR period (adaptive mode)
input int      Max_Period     = 28;     // Maximum ATR period (adaptive mode)
input bool     Volume_Filter  = true;   // Weight True Range by volume
input bool     News_Filter    = true;   // Weight True Range by economic news events (MT5 Calendar)
input double   Alert_Threshold= 2.0;    // Multiplier: alert if ATR exceeds this factor of average
input bool     Enable_Alerts  = true;   // Enable pop-up & sound alerts on high volatility

//--- BUFFERS
double SmartATRBuffer[];     // Main SmartATR output
double NewsBarBuffer[];      // For chart overlays on news events

//--- GLOBALS
int current_period;          // Adaptive ATR period in use
double avgVolume = 0;        // Rolling average volume for weighting
datetime lastAlertTime = 0;  // For alert throttling

//+------------------------------------------------------------------+
//|    INIT: Buffers & Setup                                         |
//+------------------------------------------------------------------+
int OnInit()
  {
   SetIndexBuffer(0, SmartATRBuffer, INDICATOR_DATA);
   SetIndexBuffer(1, NewsBarBuffer, INDICATOR_DATA);

   PlotIndexSetString(0, PLOT_LABEL, "SmartATR");
   PlotIndexSetString(1, PLOT_LABEL, "News Event Overlay");

   IndicatorSetInteger(INDICATOR_DIGITS, 2);
   ArrayInitialize(SmartATRBuffer, 0.0);
   ArrayInitialize(NewsBarBuffer, 0.0);

   Print("SmartATR MT5 initialized! Project: https://forge.mql5.io/steverosenstock/SmartATR");
   return(INIT_SUCCEEDED);
  }

//+------------------------------------------------------------------+
//|    MAIN CALCULATION: SmartATR                                    |
//+------------------------------------------------------------------+
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 < Max_Period+2)
      return(0);

   int start = Max_Period; // avoid lookback errors

   //--- average volume calculation for weighting
   int volWindow = 20;
   double volSum = 0;
   for(int i=0; i<volWindow && i<rates_total; i++)
      volSum += tick_volume[i];
   avgVolume = volSum / MathMax(volWindow,1);

   //--- rolling ATR mean for alerts
   double rollingATRmean = 0.0;
   int rollingWindow = 50;
   for(int i=0; i<rollingWindow && i<rates_total; i++)
      rollingATRmean += SmartATRBuffer[i];
   rollingATRmean = rollingATRmean / MathMax(rollingWindow,1);

   //--- MAIN LOOP
   for(int i=start; i<rates_total; i++)
     {
      // 1. True Range Calculation
      double tr1 = high[i] - low[i];
      double tr2 = MathAbs(high[i] - close[i-1]);
      double tr3 = MathAbs(low[i] - close[i-1]);
      double trueRange = MathMax(tr1, MathMax(tr2, tr3));

      // 2. Volume Weighting
      double vol_weight = 1.0;
      if(Volume_Filter)
        {
         if(tick_volume[i] > avgVolume)
            vol_weight = 1.2;
         else if(tick_volume[i] < avgVolume*0.5)
            vol_weight = 0.7;
        }

      // 3. News Weighting (MT5 Calendar)
      double news_weight = 1.0;
      bool newsDetected = false;
      if(News_Filter)
        {
         newsDetected = IsEconomicNewsEvent(time[i]);
         if(newsDetected)
           {
            news_weight = 1.5;
            NewsBarBuffer[i] = trueRange; // draw histogram at bar height
           }
         else
            NewsBarBuffer[i] = 0.0;
        }
      else
         NewsBarBuffer[i] = 0.0;

      // 4. Adaptive ATR period
      if(Adaptive_Mode)
        {
         int window = 20;
         double localTRsum = 0;
         for(int j=1; j<=window && i-j>=0; j++)
           {
            double ltr1 = high[i-j] - low[i-j];
            double ltr2 = MathAbs(high[i-j] - close[i-j-1]);
            double ltr3 = MathAbs(low[i-j] - close[i-j-1]);
            double ltr = MathMax(ltr1, MathMax(ltr2,ltr3));
            localTRsum += ltr;
           }
         double localTRmean = localTRsum / window;

         if(trueRange > localTRmean*1.5)
            current_period = MathMax(Min_Period, current_period-1);
         else if(trueRange < localTRmean*0.7)
            current_period = MathMin(Max_Period, current_period+1);
         // else keep as is
        }
      else
         current_period = ATR_Period;

      // 5. SmartATR Calculation (EMA-like smoothing)
      if(i==start)
         SmartATRBuffer[i] = trueRange * vol_weight * news_weight;
      else
         SmartATRBuffer[i] = (SmartATRBuffer[i-1]*(current_period-1) + trueRange*vol_weight*news_weight) / current_period;

      // 6. Alerts for High Volatility
      if(Enable_Alerts && SmartATRBuffer[i] > rollingATRmean*Alert_Threshold)
        {
         // Only alert once per bar!
         if(lastAlertTime != time[i])
           {
            string msg = StringFormat("SmartATR ALERT: Volatility Spike at %s! ATR = %.5f (%.2fx mean)\nProject: https://forge.mql5.io/steverosenstock/SmartATR",
                                      TimeToString(time[i]), SmartATRBuffer[i], SmartATRBuffer[i]/rollingATRmean);
            Alert(msg);
            lastAlertTime = time[i];
           }
        }
     }

   return(rates_total);
  }

//+------------------------------------------------------------------+
//|    News Event Detection (MT5 Calendar)                           |
//|    Uses MQL5 built-in economic news database.                    |
//|    Returns true if news event detected for the bar's time.       |
//+------------------------------------------------------------------+
bool IsEconomicNewsEvent(datetime bartime)
  {
   MqlCalendarValue news[];
   datetime fromTime = bartime - 60; // look 1 min before bar
   datetime toTime   = bartime + 60; // and 1 min after
   int count = CalendarValueHistory(news, fromTime, toTime);

   if(count>0)
     {
      // Check if any high/medium-impact event exists
      for(int i=0; i<count; i++)
        {
         if(news[i].impact>=CALENDAR_IMPORTANCE_MEDIUM)
            return(true);
        }
     }
   return(false);
  }

//+------------------------------------------------------------------+
//|           --- DEVELOPER NOTES & EXTENSION HOOKS ---              |
//|                                                                  |
//| - SmartATRBuffer[] holds the final ATR output, use in EAs etc.   |
//| - NewsBarBuffer[] overlays colored bars on news-event candles    |
//| - You can extend IsEconomicNewsEvent() to add more logic         |
//| - Adaptive period logic can be improved for other markets        |
//| - For more overlays: add custom graphics via OnChartEvent        |
//| - For multi-symbol operation: adapt buffer logic as needed       |
//+------------------------------------------------------------------+

/*
README FOR DEVELOPERS

SmartATR MT5 is a fully open-source, community-friendly, adaptive ATR indicator for MetaTrader 5.
It combines classic ATR with volume weighting, news sensitivity (using the native MT5 economic calendar), and an adaptive lookback window.
- Ready for plug-and-play use in all markets.
- All main settings are input parameters.
- All calculation logic is fully documented and extensible.
- Alerts and chart overlays are included.

Contributions, improvements and bugfixes are highly encouraged!
- Project home: https://forge.mql5.io/steverosenstock/SmartATR
- Repository:   https://forge.mql5.io/steverosenstock/SmartATR.git

License: MIT
Author: Steve Rosenstock & Community

*/