//+------------------------------------------------------------------+
//|                                                CDRVolatility.mq4 |
//|                                       Copyright © Ricahrd Poster |
//|                                                                  |
//| Convergent Divergent Range Volatility Indicator                  |
//| Guide to settng S/L, T/P and T/S                                 |
//| Best use on H1,H4 D1 charts                                      |
//| raposterbnl@gmail.com                                            |
//+------------------------------------------------------------------+
#property copyright "Richard Poster"
#property link      "http://www.metaquotes.net/"
//---
#property indicator_separate_window
#property indicator_buffers 2
#property indicator_color1  DodgerBlue
#property indicator_color2  Red
#property indicator_minimum    0
//---
#property indicator_level1     50.0
#property indicator_level2    100.0
#property indicator_level3    200.0
//---- input parameters
extern int      SMAPeriod=20;
extern string   noteCDRWindow=" # of bars in Window (open of 1st bar to close of last bar)";
extern int      CDRWindow=12;
extern string   noteDeltaThreshold=" Abs Val of Price Change from start to end of window ";
extern double   DeltaThrshld=0.;
extern int      MaxBars=10000;
//---- buffers
double  CnvBuffer[];
double  DvrBuffer[];
double _point,MULT;
int    _digits;
string _symbol;
int    BCtr,BarPrev;
double VDValAry1[],VDValAry2[],VDFnlAry1[],VDFnlAry2[];
//+------------------------------------------------------------------+
//| Custom indicator initialization function                         |
//+------------------------------------------------------------------+
int init()
  {
   string short_name,short_name1,short_name2;
//---- 1 additional buffer used for counting.
   IndicatorBuffers(2);
//---- indicator line
   SetIndexStyle(0,DRAW_LINE);
   SetIndexStyle(1,DRAW_LINE);
   SetIndexBuffer(0,CnvBuffer);
   SetIndexBuffer(1,DvrBuffer);
//---- name for DataWindow and indicator subwindow label
   short_name=" CDR SMAPer, Window, Thrshld ("+SMAPeriod+", "+CDRWindow+", "+DeltaThrshld+" )";
   short_name1="Convergent";
   short_name2="Divergent";
   IndicatorShortName(short_name);
   SetIndexLabel(0,short_name1);
   SetIndexLabel(1,short_name2);
//----
   SetIndexDrawBegin(0,SMAPeriod+CDRWindow);
   SetIndexDrawBegin(1,SMAPeriod+CDRWindow);
//----
   _symbol= Symbol();
   _point =  MarketInfo(Symbol(),MODE_POINT);
   _digits= MarketInfo(Symbol(),MODE_DIGITS);
   MULT=1.0;
   if(_digits==5 || _digits==3)
      MULT=10.0;
//---
   BCtr=0;
   BarPrev=0;
   ArrayResize(VDValAry1,SMAPeriod);
   ArrayResize(VDValAry2,SMAPeriod);
   ArrayResize(VDFnlAry1,SMAPeriod);
   ArrayResize(VDFnlAry2,SMAPeriod);
//---
   return(0);
  }
//+------------------------------------------------------------------+
//| Convergent Diverent Range                                        |
//+------------------------------------------------------------------+
int start()
  {
   double VolDvr,VolCnv,VolDvrAvg,VolCnvAvg;
   double VDeltaHi,VDeltaLo,VDeltaCl,VDVal1,VDVal2;
   int i,jj,mm,limit,NumAvg,counted_bars;
   bool NewBar;
//---
   counted_bars=IndicatorCounted();
//----
   if(Bars<=SMAPeriod+CDRWindow) return(0);
//---- 
   if(counted_bars<1)
     {
      for(i=1;i<=SMAPeriod;i++) CnvBuffer[Bars-i]=0.0;
      for(i=1;i<=SMAPeriod;i++) DvrBuffer[Bars-i]=0.0;
      BCtr=0;
      BarPrev=0;
     }
//----
   NewBar=false;
   if(Bars>BarPrev)
     {
      NewBar=true;
      BarPrev=Bars;
     }
   if(counted_bars>0) counted_bars--;
   limit=Bars-counted_bars;     // = 1 in steady state
   if(counted_bars==0) limit=MathMin(MaxBars,limit);   //  max bars when starting         
                                                       // go forward in time to use previous values if indicator for SMA
   for(i=limit-1;i>=0;i--)
     {
      BCtr+=1;
      VolDvr = 0.;
      VolCnv = 0.;
      // compute VolDvr, VolCnv for current bar
      VDeltaCl = (Close[i] - Open[i+CDRWindow-1])/(_point*MULT);
      VDeltaHi = (High[Highest(_symbol,0,MODE_HIGH,CDRWindow,i)] -
                  Open[i+CDRWindow-1])/(_point*MULT);
      VDeltaLo=(Low[Lowest(_symbol,0,MODE_LOW,CDRWindow,i)]-
                Open[i+CDRWindow-1])/(_point*MULT);
      // do threshold test for delta price over CDRWindow bars         
      if(MathAbs(VDeltaCl)>=DeltaThrshld)
        {
         VDVal1 =  MathAbs(VDeltaHi);    // divergent case  (VDeltaCl <=0)
         VDVal2 =  MathAbs(VDeltaLo);    // convergent case (VDeltaCl <=0)
         if(VDeltaCl>0.) VDVal1 = MathAbs(VDeltaLo);  // divergent
         if(VDeltaCl>0.) VDVal2 = MathAbs(VDeltaHi);  // convergent   
         VolDvr = VDVal1;   // divr
         VolCnv = VDVal2;   // cnvr
        }
      //---  populate indicator arrays for computing SMA  
      //---  shift each element down by one 
      if(NewBar)
        {
         for(jj=SMAPeriod-1;jj>0;jj--)
           {
            VDValAry1[jj] = VDValAry1[jj-1];
            VDValAry2[jj] = VDValAry2[jj-1];
           }
        }
      //--- store/update current bar       
      VDValAry1[0]=VolDvr;  // will be 0 when price delta not reach Threshold
      VDValAry2[0]= VolCnv;
      NumAvg=SMAPeriod;
      if(BCtr<SMAPeriod) NumAvg=BCtr;
      //--- handle case when threshold >0 and price change less than threshold
      mm=0;
      if(NumAvg==SMAPeriod)
        {
         for(jj=0;jj<SMAPeriod;jj++)
           {
            if(VDValAry1[jj]>0.)
              {
               VDFnlAry1[mm] = VDValAry1[jj];
               VDFnlAry2[mm] = VDValAry2[jj];
               mm+=1;
              }
           }
         NumAvg=mm;     // new sum total after removing below threshold values  
        }
      //--- get SMA    
      CnvBuffer[i] = 0.;
      DvrBuffer[i] = 0.;
      if(NumAvg>0)
        {
         VolDvrAvg = iMAOnArray(VDFnlAry1,NumAvg,NumAvg,0,MODE_SMA,0);
         VolCnvAvg = iMAOnArray(VDFnlAry2,NumAvg,NumAvg,0,MODE_SMA,0);
         CnvBuffer[i] = VolCnvAvg;
         DvrBuffer[i] = VolDvrAvg;
        }
     }
//----
   return(0);
  }
//+------------------------------------------------------------------+