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LaguerreFilter.mq4

Time: 2015-12-14 | Download file:LaguerreFilter.mq4

//+------------------------------------------------------------------+
//|                                               LaguerreFilter.mq4 |
//|                                                                  |
//| Laguerre Filter                                                  |
//|                                                                  |
//| Algorithm taken from book                                        |
//|     "Cybernetics Analysis for Stock and Futures"                 |
//| by John F. Ehlers                                                |
//|                                                                  |
//|                                              contact@mqlsoft.com |
//|                                          http://www.mqlsoft.com/ |
//+------------------------------------------------------------------+
#property copyright "Coded by Witold Wozniak"
#property link      "www.mqlsoft.com"

#property indicator_chart_window
#property indicator_buffers 2
#property indicator_color1 Red
#property indicator_color2 Blue

extern double Gamma = 0.8;

double Filter[];
double FIR[];
double L0[];
double L1[];
double L2[];
double L3[];

int buffers = 0;
int drawBegin = 0;

int init() {
    drawBegin = 4;
    initBuffer(Filter, "Laguerre Filter", DRAW_LINE);
    initBuffer(FIR, "FIR", DRAW_LINE);
    initBuffer(L0);
    initBuffer(L1);
    initBuffer(L2);
    initBuffer(L3);
    IndicatorBuffers(buffers);
    IndicatorShortName("Laguerre Filter [" + DoubleToStr(Gamma, 2) + "]");  
    return (0);
}
  

int start() {
    if (Bars <= drawBegin) return (0);
    int countedBars = IndicatorCounted();
    if (countedBars < 0) return (-1);
    if (countedBars > 0) countedBars--;
    int s, limit = Bars - countedBars - 1;
    for (s = limit; s >= 0; s--) {
        L0[s] = (1.0 - Gamma) * P(s) + Gamma * L0[s + 1];
        L1[s] = -Gamma * L0[s] + L0[s + 1] + Gamma * L1[s + 1];
        L2[s] = -Gamma * L1[s] + L1[s + 1] + Gamma * L2[s + 1];
        L3[s] = -Gamma * L2[s] + L2[s + 1] + Gamma * L3[s + 1];
        Filter[s] = (L0[s] + 2.0 * L1[s] + 2.0 * L2[s] + L3[s]) / 6.0;
        FIR[s] = (P(s) + 2.0 * P(s + 1) + 2.0 * P(s + 2) + P(s + 3)) / 6.0;
        if (s > Bars - 4) {
            L0[s] = P(s);
            L1[s] = P(s);
            L2[s] = P(s);
            L3[s] = P(s);
            Filter[s] = P(s);
        }
    }   
    return (0);   
}

double P(int index) {
    return ((High[index] + Low[index]) / 2.0);
}

void initBuffer(double array[], string label = "", int type = DRAW_NONE, int arrow = 0, int style = EMPTY, int width = EMPTY, color clr = CLR_NONE) {
    SetIndexBuffer(buffers, array);
    SetIndexLabel(buffers, label);
    SetIndexEmptyValue(buffers, EMPTY_VALUE);
    SetIndexDrawBegin(buffers, drawBegin);
    SetIndexShift(buffers, 0);
    SetIndexStyle(buffers, type, style, width);
    SetIndexArrow(buffers, arrow);
    buffers++;
}

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