Support Board

//+------------------------------------------------------------------+
//| Volatility Bars.mq4 |
//| |
//| |
//+------------------------------------------------------------------+
#property copyright "Shaun Overton, www.onestepremoved.com"
#property link "www.onestepremoved.com"

#property indicator_chart_window
#property indicator_buffers 1
#property indicator_color1 Red


extern int Lookback = 300;
extern double Barrier = 2.0;

double vols[];

int init() {

IndicatorDigits(Digits);
IndicatorShortName("Volatility MA");

SetIndexBuffer(0,vols);
SetIndexStyle(0,DRAW_LINE, STYLE_SOLID, 1, Red);
SetIndexLabel(0,"Vols");

return(0);
}

int deinit()
{

return(0);
}
//+------------------------------------------------------------------+
//| Custom indicator iteration function |
//+------------------------------------------------------------------+
int start()
{
int remaining_bars= Bars - IndicatorCounted() - 1;

if( Bars - 1 < Lookback ) {
Comment("There are not enough bars on the chart");
return( 0 );
}

int consecutiveBars = 1;

double sum = 0;
double average, temp, divisor;
double variance = 0;

string show = "";

double thisSDev;

for( int i = remaining_bars; i >= 0; i--) {

sum = 0;

for( int j = i; j < i + Lookback; j++ )
sum += Close[j]-Close[j+1];

if( Lookback != 0 )
average = sum / Lookback;

for( int k = i; k < i + Lookback; k++) {

if( Close[k] != 0 )
temp = (Close[k]-Close[k+1])/Close[k];
else
temp = 0;

variance += MathPow(temp-average,2);
}


divisor = Lookback-1;
variance = variance / divisor;

double sdev = MathSqrt(variance);

if( sdev != 0 )
thisSDev = ( (Close[i]-Close[i+1]) / Close[i] ) / sdev;
else
sdev = 0;

if( MathAbs(thisSDev) >= Barrier ) {
consecutiveBars = 1;
vols[i] = iMA(Symbol(),Period(),consecutiveBars,0,MODE_SMA, MODE_CLOSE, i);
//Print(StringConcatenate(DoubleToStr(thisSDev,2), " deviations, resetting consecutive bars. Close of last bar is ", DoubleToStr( vols[i], Digits)));
}
else {
consecutiveBars++;
vols[i] = iMA(Symbol(),Period(),consecutiveBars,0,MODE_SMA, MODE_CLOSE, i);
//Print(StringConcatenate(DoubleToStr(thisSDev,2), " deviations at ", TimeToStr( Time[i], TIME_MINUTES), ", consecutive bars = ", consecutiveBars));
}
}

return(0);
}
//+------------------------------------------------------------------+