Indi_FractalAdaptiveMA.mqh

//+------------------------------------------------------------------+
//|                                                EA31337 framework |
//|                                 Copyright 2016-2021, EA31337 Ltd |
//|                                       https://github.com/EA31337 |
//+------------------------------------------------------------------+

/*
 * This file is free software: you can redistribute it and/or modify
 * it under the terms of the GNU General Public License as published by
 * the Free Software Foundation, either version 3 of the License, or
 * (at your option) any later version.
 *
 * This program is distributed in the hope that it will be useful,
 * but WITHOUT ANY WARRANTY; without even the implied warranty of
 * MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
 * GNU General Public License for more details.
 *
 * You should have received a copy of the GNU General Public License
 * along with this program.  If not, see <http://www.gnu.org/licenses/>.
 *
 */

// Includes.
#include "../BufferStruct.mqh"
#include "../Indicator.mqh"
#include "../Storage/ValueStorage.all.h"

// Structs.
struct IndiFrAIndiMAParams : IndicatorParams {
  unsigned int frama_shift;
  unsigned int period;
  ENUM_APPLIED_PRICE applied_price;

  // Struct constructor.
  IndiFrAIndiMAParams(int _period = 14, int _frama_shift = 0, ENUM_APPLIED_PRICE _ap = PRICE_CLOSE, int _shift = 0)
      : IndicatorParams(INDI_FRAMA, 1, TYPE_DOUBLE) {
    frama_shift = _frama_shift;
    SetDataValueRange(IDATA_RANGE_MIXED);
    SetCustomIndicatorName("Examples\\FrAMA");
    applied_price = _ap;
    period = _period;
    shift = _shift;
  };
  IndiFrAIndiMAParams(IndiFrAIndiMAParams &_params, ENUM_TIMEFRAMES _tf) {
    THIS_REF = _params;
    tf = _tf;
  };
};

/**
 * Implements the Bill Williams' Accelerator/Decelerator oscillator.
 */
class Indi_FrAMA : public Indicator<IndiFrAIndiMAParams> {
 public:
  /**
   * Class constructor.
   */
  Indi_FrAMA(IndiFrAIndiMAParams &_p, IndicatorBase *_indi_src = NULL)
      : Indicator<IndiFrAIndiMAParams>(_p, _indi_src){};
  Indi_FrAMA(ENUM_TIMEFRAMES _tf = PERIOD_CURRENT, int _shift = 0) : Indicator(INDI_FRAMA, _tf, _shift){};

  /**
   * Built-in version of FrAMA.
   */
  static double iFrAMA(string _symbol, ENUM_TIMEFRAMES _tf, int _ma_period, int _ma_shift, ENUM_APPLIED_PRICE _ap,
                       int _mode = 0, int _shift = 0, IndicatorBase *_obj = NULL) {
#ifdef __MQL5__
    INDICATOR_BUILTIN_CALL_AND_RETURN(::iFrAMA(_symbol, _tf, _ma_period, _ma_shift, _ap), _mode, _shift);
#else
    INDICATOR_CALCULATE_POPULATE_PARAMS_AND_CACHE_LONG(_symbol, _tf,
                                                       Util::MakeKey("Indi_FrAMA", _ma_period, _ma_shift, (int)_ap));
    return iFrAMAOnArray(INDICATOR_CALCULATE_POPULATED_PARAMS_LONG, _ma_period, _ma_shift, _mode, _shift, _ap, _cache);
#endif
  }

  /**
   * Calculates FrAMA on the array of values.
   */
  static double iFrAMAOnArray(INDICATOR_CALCULATE_PARAMS_LONG, int _ma_period, int _ma_shift, int _mode, int _shift,
                              ENUM_APPLIED_PRICE _ap, IndicatorCalculateCache<double> *_cache,
                              bool _recalculate = false) {
    _cache.SetPriceBuffer(_open, _high, _low, _close);

    if (!_cache.HasBuffers()) {
      _cache.AddBuffer<NativeValueStorage<double>>(1);
    }

    if (_recalculate) {
      _cache.ResetPrevCalculated();
    }

    _cache.SetPrevCalculated(Indi_FrAMA::Calculate(INDICATOR_CALCULATE_GET_PARAMS_LONG, _cache.GetBuffer<double>(0),
                                                   _ma_period, _ma_shift, _ap));

    return _cache.GetTailValue<double>(_mode, _shift);
  }

  static int Calculate(INDICATOR_CALCULATE_METHOD_PARAMS_LONG, ValueStorage<double> &FrAmaBuffer, int InpPeriodFrAMA,
                       int InpShift, ENUM_APPLIED_PRICE InpAppliedPrice) {
    if (rates_total < 2 * InpPeriodFrAMA) return (0);

    int start, i;
    // Start calculations.
    if (prev_calculated == 0) {
      start = 2 * InpPeriodFrAMA - 1;
      for (i = 0; i <= start; i++)
        FrAmaBuffer[i] = PriceValueStorage::GetApplied(open, high, low, close, i, InpAppliedPrice);
    } else
      start = prev_calculated - 1;

    // Main cycle.
    double math_log_2 = MathLog(2.0);
    for (i = start; i < rates_total && !IsStopped(); i++) {
      double hi1 = high[iHighest(high, InpPeriodFrAMA, rates_total - i - 1)].Get();
      double lo1 = low[iLowest(low, InpPeriodFrAMA, rates_total - i - 1)].Get();
      double hi2 = high[iHighest(high, InpPeriodFrAMA, rates_total - i + InpPeriodFrAMA - 1)].Get();
      double lo2 = low[iLowest(low, InpPeriodFrAMA, rates_total - i + InpPeriodFrAMA - 1)].Get();
      double hi3 = high[iHighest(high, 2 * InpPeriodFrAMA, rates_total - i - 1)].Get();
      double lo3 = low[iLowest(low, 2 * InpPeriodFrAMA, rates_total - i - 1)].Get();
      double n1 = (hi1 - lo1) / InpPeriodFrAMA;
      double n2 = (hi2 - lo2) / InpPeriodFrAMA;
      double n3 = (hi3 - lo3) / (2 * InpPeriodFrAMA);
      double d = (MathLog(n1 + n2) - MathLog(n3)) / math_log_2;
      double alfa = MathExp(-4.6 * (d - 1.0));
      double _iprice = PriceValueStorage::GetApplied(open, high, low, close, i, InpAppliedPrice);

      FrAmaBuffer[i] = alfa * _iprice + (1 - alfa) * FrAmaBuffer[i - 1].Get();
    }

    // OnCalculate done. Return new prev_calculated.
    return (rates_total);
  }

  /**
   * Returns the indicator's value.
   */
  virtual IndicatorDataEntryValue GetEntryValue(int _mode = 0, int _shift = -1) {
    double _value = EMPTY_VALUE;
    int _ishift = _shift >= 0 ? _shift : iparams.GetShift();
    switch (iparams.idstype) {
      case IDATA_BUILTIN:
        _value = Indi_FrAMA::iFrAMA(_Symbol, GetTf(), /*[*/ GetPeriod(), GetFRAMAShift(), GetAppliedPrice() /*]*/,
                                    _mode, _ishift, THIS_PTR);
        break;
      case IDATA_ICUSTOM:
        _value = iCustom(istate.handle, _Symbol, GetTf(), iparams.GetCustomIndicatorName(), /*[*/ GetPeriod(),
                         GetFRAMAShift() /*]*/, 0, _ishift);
        break;
      default:
        SetUserError(ERR_INVALID_PARAMETER);
    }
    return _value;
  }

  /* Getters */

  /**
   * Get period.
   */
  unsigned int GetPeriod() { return iparams.period; }

  /**
   * Get FRAMA shift.
   */
  unsigned int GetFRAMAShift() { return iparams.frama_shift; }

  /**
   * Get applied price.
   */
  ENUM_APPLIED_PRICE GetAppliedPrice() { return iparams.applied_price; }

  /* Setters */

  /**
   * Set period value.
   */
  void SetPeriod(unsigned int _period) {
    istate.is_changed = true;
    iparams.period = _period;
  }

  /**
   * Set FRAMA shift.
   */
  void SetFRAMAShift(unsigned int _frama_shift) {
    istate.is_changed = true;
    iparams.frama_shift = _frama_shift;
  }

  /**
   * Set applied price.
   */
  void SetAppliedPrice(ENUM_APPLIED_PRICE _applied_price) {
    istate.is_changed = true;
    iparams.applied_price = _applied_price;
  }
};