//+------------------------------------------------------------------+
//|                                                       ZScore.mq5 |
//|                                             Rodrigo César Pagani |
//|                                            rodrigo@pagani.com.br |
//+------------------------------------------------------------------+
#property copyright "Rodrigo César Pagani"
#property link      "rodrigo@pagani.com.br"
#property version   "1.00"
#property indicator_chart_window
#property indicator_buffers 4
#property indicator_plots   1
//--- plot ZScore
#property indicator_label1  "ZScore"
#property indicator_type1   DRAW_LINE
#property indicator_color1  clrRed
#property indicator_style1  STYLE_SOLID
#property indicator_width1  1
//--- input parameters
input uint                 InpPeriod         =  20;            // Período
input ENUM_APPLIED_PRICE   InpAppliedPrice   =  PRICE_CLOSE;   // Preço
input double               m_desvio          =  3.0;            // Coeficiente de Desvio

//--- indicator buffers
double         BufferZScore[];
double         BufferDev[];
double         BufferMA1[];
double         BufferMA2[];
//--- global variables
int            period;
int            handle_dev;
int            handle_ma1;
int            handle_ma2;
//+------------------------------------------------------------------+
//| Custom indicator initialization function                         |
//+------------------------------------------------------------------+
int OnInit(){
  //--- setting global variables
  period=int(InpPeriod<1 ? 1 : InpPeriod);
  //--- indicator buffers mapping
  SetIndexBuffer(0,BufferZScore,INDICATOR_DATA);
  SetIndexBuffer(1,BufferDev,INDICATOR_CALCULATIONS);
  SetIndexBuffer(2,BufferMA1,INDICATOR_CALCULATIONS);
  SetIndexBuffer(3,BufferMA2,INDICATOR_CALCULATIONS);
  //--- settings indicators parameters
  IndicatorSetInteger(INDICATOR_DIGITS,Digits());
  IndicatorSetString(INDICATOR_SHORTNAME,"ZScore("+(string)period+")");
  IndicatorSetInteger(INDICATOR_LEVELS,2);  
  IndicatorSetDouble(INDICATOR_LEVELVALUE,0,m_desvio);
  IndicatorSetDouble(INDICATOR_LEVELVALUE,1,-m_desvio);  
  //--- setting buffer arrays as timeseries
  ArraySetAsSeries(BufferZScore,true);
  ArraySetAsSeries(BufferDev,true);
  ArraySetAsSeries(BufferMA1,true);
  ArraySetAsSeries(BufferMA2,true);
  //--- creating handles StdDev, MA1, MA2
  handle_dev=iStdDev(Symbol(),PERIOD_CURRENT,period,0,MODE_SMA,InpAppliedPrice);
  if(handle_dev==INVALID_HANDLE){
    Print("Error creating StdDev's handle: ",GetLastError());
    return INIT_FAILED;
  }
  handle_ma1=iMA(Symbol(),PERIOD_CURRENT,1,0,MODE_SMA,InpAppliedPrice);
  if(handle_ma1==INVALID_HANDLE){
    Print("Error creating MA(1)'s handle: ",GetLastError());
    return INIT_FAILED;
  }
  handle_ma2=iMA(Symbol(),PERIOD_CURRENT,period,0,MODE_SMA,InpAppliedPrice);
  if(handle_ma1==INVALID_HANDLE){
    Print("Error creating MA(",(string)period,")'s handle: ",GetLastError());
    return INIT_FAILED;
  }
  //---
  return(INIT_SUCCEEDED);
}
//+------------------------------------------------------------------+
//| Custom 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[]){
  //--- Проверка на минимальное колиество баров для расчёта
  if(rates_total<period) 
    return 0;
  //--- Проверка и расчёт количества просчитываемых баров
  int limit=rates_total-prev_calculated;
  if(limit>1){
    limit=rates_total-1;
    ArrayInitialize(BufferZScore,EMPTY_VALUE);
    ArrayInitialize(BufferDev,EMPTY_VALUE);
    ArrayInitialize(BufferMA1,EMPTY_VALUE);
    ArrayInitialize(BufferMA2,EMPTY_VALUE);
  }
  //--- Подготовка данных
  int copied=(limit>1 ? rates_total : 1);
  int copied_dev=CopyBuffer(handle_dev,0,0,copied,BufferDev);
  if(copied_dev!=copied)
    return 0;
  int copied_ma1=CopyBuffer(handle_ma1,0,0,copied,BufferMA1);
  if(copied_ma1!=copied)
    return 0;
  int copied_ma2=CopyBuffer(handle_ma2,0,0,copied,BufferMA2);
  if(copied_ma2!=copied)
    return 0;
  //--- Расчёт индикатора
  for(int i=limit; i>=0; i--){
    double dev=BufferDev[i];
    BufferZScore[i]=(BufferMA1[i]-BufferMA2[i])/(dev>0 ? dev : DBL_MIN);
  }
  //--- return value of prev_calculated for next call
  return(rates_total);
}
//+------------------------------------------------------------------+