var smoothF(int period) { return 2./(period+1); }
var LowPass(var *Data,int Period)
{
var* LP = series(*Data,3);
var a = smoothF(Period);
var a2 = a*a;
return LP[0] = (a-0.25*a2)*Data[0]
+ 0.5*a2*Data[1]
- (a-0.75*a2)*Data[2]
+ 2*(1.-a)*LP[1]
- (1.-a)*(1.-a)*LP[2];
}
but not enough to understand the derivation. But no worries, don't need to know the derivation to use it.
//---- indicator settings
#property indicator_chart_window
#property indicator_buffers 3
#property indicator_color1 Yellow
#property indicator_color2 LightBlue
#property indicator_color3 Tomato
#property indicator_width1 2
#property indicator_width2 2
#property indicator_width3 2
//---- indicator parameters
extern int Price = 0; //Price mode : 0-Close,1-Open,2-High,3-Low,4-Median,5-Typical,6-Weighted
extern int Order = 3; //Filter Order: 1-EMA,2-2nd Order,3-3rd Order
extern int FilterPeriod =14; //Filter Period
extern int PreSmooth = 1; //Pre-smoothing period
extern int PreSmoothMode = 0; //Pre-smoothing MA Mode: 0-SMA,1-EMA,2-SMMA,3-LWMA
extern double PctFilter = 0; //Dynamic filter in decimal(multiplier for StdDev)
extern int ColorMode = 0; //Color Mode: 0-off,1-on
extern int ColorBarBack = 1; //Should be 0 or 1
extern int AlertMode = 0; //Sound Alert switch (0-off,1-on)
extern int WarningMode = 0; //Sound Warning switch(0-off,1-on)
//---- indicator buffers
double Filter[];
double UpTrend[];
double DnTrend[];
double Smoother[];
double trend[];
double Del[];
double AvgDel[];
int draw_begin;
bool UpTrendAlert=false, DownTrendAlert=false;
//+------------------------------------------------------------------+
//| Custom indicator initialization function |
//+------------------------------------------------------------------+
int init()
{
//---- indicator buffers mapping
IndicatorBuffers(7);
SetIndexBuffer(0,Filter);
SetIndexBuffer(1,UpTrend);
SetIndexBuffer(2,DnTrend);
SetIndexBuffer(3,Smoother);
SetIndexBuffer(4,trend);
SetIndexBuffer(5,Del);
SetIndexBuffer(6,AvgDel);
//---- drawing settings
SetIndexStyle(0,DRAW_LINE);
SetIndexStyle(1,DRAW_LINE);
SetIndexStyle(2,DRAW_LINE);
draw_begin = FilterPeriod + PreSmooth;
SetIndexDrawBegin(0,draw_begin);
SetIndexDrawBegin(1,draw_begin);
SetIndexDrawBegin(2,draw_begin);
IndicatorDigits(MarketInfo(Symbol(),MODE_DIGITS)+1);
//---- name for DataWindow and indicator subwindow label
IndicatorShortName("LowPassFilter("+Order+","+FilterPeriod+")");
SetIndexLabel(0,"LowPassFilter");
SetIndexLabel(1,"UpTrend");
SetIndexLabel(2,"DnTrend");
//---- initialization done
return(0);
}
//+------------------------------------------------------------------+
//| LowPassFilter_v1 |
//+------------------------------------------------------------------+
int start()
{
int limit, i, shift;
int counted_bars=IndicatorCounted();
double a, b, c, pi = 3.1415926535;
if(counted_bars<1)
for(i=1;i<=draw_begin;i++)
{
Filter[Bars-i]=0;
UpTrend[Bars-i]=0;
DnTrend[Bars-i]=0;
}
//---- last counted bar will be recounted
if(counted_bars>0) counted_bars--;
limit=Bars-counted_bars;
for(shift=limit; shift>=0; shift--)
Smoother[shift] = iMA(NULL,0,PreSmooth,0,PreSmoothMode,Price,shift);
for(shift=limit; shift>=0; shift--)
{
if(Order == 1) Filter[shift] = iMAOnArray(Smoother,0,FilterPeriod,0,1,shift);
else
if(Order == 2)
{
a = MathExp(-MathSqrt(2)*pi/FilterPeriod);
b = 2*a*MathCos(MathSqrt(2)*pi/FilterPeriod);
Filter[shift] = b*Filter[shift+1] - a*a*Filter[shift+2] + (1 - b + a*a)*Smoother[shift];
}
else
if(Order == 3)
{
a = MathExp(-pi/FilterPeriod);
b = 2*a*MathCos(MathSqrt(3)*pi/FilterPeriod);
c = MathExp(-2*pi/FilterPeriod); //a * a;
Filter[shift] = (b+c)*Filter[shift+1] - (c+b*c)*Filter[shift+2] + c*c*Filter[shift+3] + (1-b+c)*(1-c)*Smoother[shift];
}
int Length = FilterPeriod;
if (PctFilter>0)
{
Del[shift] = MathAbs(Filter[shift] - Filter[shift+1]);
double sumdel=0;
for (int j=0;j<=Length-1;j++) sumdel = sumdel+Del[shift+j];
AvgDel[shift] = sumdel/Length;
double sumpow = 0;
for (j=0;j<=Length-1;j++) sumpow+=MathPow(Del[j+shift]-AvgDel[j+shift],2);
double StdDev = MathSqrt(sumpow/Length);
double filter = PctFilter * StdDev;
if(MathAbs(Filter[shift]-Filter[shift+1]) < filter ) Filter[shift]=Filter[shift+1];
}
else
filter=0;
if (ColorMode>0)
{
trend[shift] = trend[shift+1];
if (Filter[shift] - Filter[shift+1] > filter) trend[shift] = 1;
if (Filter[shift+1] - Filter[shift] > filter) trend[shift] =-1;
if (trend[shift]>0)
{
UpTrend[shift] = Filter[shift];
if (trend[shift+ColorBarBack]<0) UpTrend[shift+ColorBarBack]=Filter[shift+ColorBarBack];
DnTrend[i] = EMPTY_VALUE;
if (WarningMode>0 && trend[shift+1]<0 && shift==0) PlaySound("alert2.wav");
}
else
if (trend[shift]<0)
{
DnTrend[shift] = Filter[shift];
if (trend[shift+ColorBarBack]>0) DnTrend[shift+ColorBarBack]=Filter[shift+ColorBarBack];
UpTrend[shift] = EMPTY_VALUE;
if (WarningMode>0 && trend[shift+1]>0 && shift==0) PlaySound("alert2.wav");
}
}
}
//----------
string Message;
if ( trend[2]<0 && trend[1]>0 && Volume[0]>1 && !UpTrendAlert)
{
Message = " "+Symbol()+" M"+Period()+": HMA Signal for BUY";
if ( AlertMode>0 ) Alert (Message);
UpTrendAlert=true; DownTrendAlert=false;
}
if ( trend[2]>0 && trend[1]<0 && Volume[0]>1 && !DownTrendAlert)
{
Message = " "+Symbol()+" M"+Period()+": HMA Signal for SELL";
if ( AlertMode>0 ) Alert (Message);
DownTrendAlert=true; UpTrendAlert=false;
}
//---- done
return(0);
}
var Butterworth(var *Data,int Cutoff)
{
var a = exp(-PI / Cutoff);
var b = 2*a*cos(1.738*PI / Cutoff);
var c = a*a;
var c1 = b + c;
var c2 = -(c + b*c);
var c3 = c*c;
var c0 = 1 - c1 - c2 - c3;
var* Filt = series(*Data,4);
return Filt[0] = c0*Data[0] + c1*Filt[1] + c2*Filt[2] + c3*Filt[3];
}
).