-- More information about this indicator can be found at: -- http://fxcodebase.com/code/viewtopic.php?f=17&t=2511 --+------------------------------------------------------------------+ --| 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("Zero Lag"); indicator:description("Zero Lag indicator from Futures & Commodities, Oct issue"); indicator:requiredSource(core.Tick); indicator:type(core.Indicator); indicator.parameters:addInteger("N", "Lenth", "Inernal EMA length", 20); indicator.parameters:addInteger("GainLimit", "GainLimit", "Limit of gain term", 50); indicator.parameters:addGroup("Style Parameters"); indicator.parameters:addInteger("width", " Grid Line Width", "", 1, 1, 5); indicator.parameters:addInteger("style", " Grid Style", " ", core.LINE_SOLID); indicator.parameters:setFlag("style", core.FLAG_LINE_STYLE); indicator.parameters:addColor("ZL_color", "Color of ZeroLag", "Color of ZeroLag", core.rgb(255, 255, 0)); 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 N; local gainLimit; local first; local source = nil; -- Streams block local EMAI = nil; local ZL = nil; local alpha -- Routine function Prepare(nameOnly) N = instance.parameters.N; gainLimit = instance.parameters.GainLimit / 10; source = instance.source; local name = profile:id() .. "(" .. source:name() .. ", " .. N .. ", " .. instance.parameters.GainLimit .. ")"; instance:name(name); if (nameOnly) then return; end EMAI = core.indicators:create("EMA", source, N ); first = EMAI.DATA:first() + 1; alpha = 2.0 / (N + 1.0) ZL = instance:addStream("ZL", core.Line, name .. ".ZL", "ZL", instance.parameters.ZL_color, first); ZL:setWidth(instance.parameters.width); ZL:setStyle(instance.parameters.style); end -- Indicator calculation routine -- TODO: Add your code for calculation output values function Update(period, mode) EMAI:update(mode); if period >= first and source:hasData(period) then local EMA = EMAI.DATA[period]; local err = source[period] - ZL[period - 1] local gain = 0 if math.abs(alpha * err) > 1e-9 then local diff = ZL[period - 1] - EMA gain = (err + alpha * diff) / (alpha * err) end -- Force gain to [-gainLimit; gainLimit] interval gain = math.max(math.min(gain, gainLimit), -gainLimit) -- Round gain to nearest value quanted by 0.1 interval if gain > 0 then gain = math.floor(gain * 10 + 0.5) / 10; else gain = math.ceil(gain * 10 - 0.5) / 10; end ZL[period] = alpha * (EMA + gain * err) + (1 - alpha) * ZL[period - 1]; end end