-- More information about this indicator can be found at: -- http://fxcodebase.com/code/viewtopic.php?f=17&t=60418 --+------------------------------------------------------------------+ --| Copyright © 2018, Gehtsoft USA LLC | --| http://fxcodebase.com | --+------------------------------------------------------------------+ --| Developed by : Mario Jemic | --| mario.jemic@gmail.com | --+------------------------------------------------------------------+ --| Support our efforts by donating | --| Paypal: https://goo.gl/9Rj74e | --+------------------------------------------------------------------+ --| Patreon : https://goo.gl/GdXWeN | --| BitCoin : 15VCJTLaz12Amr7adHSBtL9v8XomURo9RF | --| BitCoin Cash: 1BEtS465S3Su438Kc58h2sqvVvHK9Mijtg | --| Ethereum : 0x8C110cD61538fb6d7A2B47858F0c0AaBd663068D | --| LiteCoin : LLU8PSY2vsq7B9kRELLZQcKf5nJQrdeqwD | --+------------------------------------------------------------------+ -- Indicator profile initialization routine -- Defines indicator profile properties and indicator parameters -- TODO: Add minimal and maximal value of numeric parameters and default color of the streams function Init() indicator:name("VolatilityMA"); indicator:description("VolatilityMA"); indicator:requiredSource(core.Tick); indicator:type(core.Indicator); indicator.parameters:addGroup("Calculation"); indicator.parameters:addInteger("Lookback", "Lookback Period Duration in seconds", "Duration in seconds", 3000); indicator.parameters:addDouble("Barrier", "Barrier", "Barrier", 2); indicator.parameters:addGroup("Style"); indicator.parameters:addColor("VolatilityMA_color", "Color of VolatilityMA", "Color of VolatilityMA", core.rgb(255, 0, 0)); indicator.parameters:addInteger("width", "Line width", "", 1, 1, 5); indicator.parameters:addInteger("style", "Line style", "", core.LINE_SOLID); indicator.parameters:setFlag("style", core.FLAG_LINE_STYLE); end -- Indicator instance initialization routine -- Processes indicator parameters and creates output streams -- TODO: Refine the first period calculation for each of the output streams. -- TODO: Calculate all constants, create instances all subsequent indicators and load all required libraries -- Parameters block local Lookback; local Barrier; local first; local source = nil; local Period; -- Streams block local VolatilityMA = nil; local Raw1,Raw2; local Second; -- Routine function Prepare(nameOnly) Lookback = instance.parameters.Lookback; Barrier = instance.parameters.Barrier; source = instance.source; first = source:first()+1; Second=1/86400 ; local name = profile:id() .. "(" .. source:name() .. ", " .. tostring(Lookback) .. ", " .. tostring(Barrier) .. ")"; instance:name(name); if (nameOnly) then return; end Raw1 = instance:addInternalStream(0, 0); Raw2 = instance:addInternalStream(0, 0); Period = instance:addInternalStream(0, 0); VolatilityMA = instance:addStream("VolatilityMA", core.Line, name, "VolatilityMA", instance.parameters.VolatilityMA_color, first); VolatilityMA:setWidth(instance.parameters.width); VolatilityMA:setStyle(instance.parameters.style); end -- Indicator calculation routine -- TODO: Add your code for calculation output values function Update(period) Raw1[period] = (source[period]-source[period-1])/source[period]; Raw2[period] = (source[period-1]-source[period])/source[period]; if period < first or not source:hasData(period) then return; end local PERIOD= core.findDate (source, source:date(period)- Second * Lookback, false); if PERIOD==-1 or PERIOD< first+1 or PERIOD>= period then return; end local Average = mathex.avg(Raw1, PERIOD, period); local j; local Variance=0; for j = PERIOD, period, 1 do Variance =Variance+ math.pow( (Raw2[period-j] - Average),2); end local sDev = math.sqrt( Variance/(period-PERIOD) ); local sDevNow = ((source[period]-source[period-1])/source[period])/ sDev; if math.abs(sDevNow) > Barrier then Period[period]=1; else Period[period]=Period[period-1]+ 1; end if period < Period[period] then return; end VolatilityMA[period] = mathex.avg(source, period-Period[period]+1, period); end