//+------------------------------------------------------------------+
//|                                                       AFIRMA.mq4 |
//|                                          Copyright © 2006, gpwr. |
//+------------------------------------------------------------------+
#property copyright "Copyright © 2006, gpwr."
#property indicator_chart_window
#property indicator_buffers 2
#property indicator_color1 Blue
#property indicator_color2 Red
#property indicator_width1 2
#property indicator_width2 2
//Global constants
#define pi 3.141592653589793238462643383279502884197169399375105820974944592
//Input parameters
extern int  Periods = 4;   // 1/(2*Periods) sets the filter bandwidth
extern int  Taps    = 21;  // must be an odd number
extern int  Window  = 4;   // selects windowing function
//Global variables
double w[], wsum, sx2, sx3, sx4, sx5, sx6, den; 
int n;
//Indicator buffers
double FIRMA[];
double ARMA[];
//+------------------------------------------------------------------+
//|                                                                  |
//+------------------------------------------------------------------+
int init()
  {
   //Calculate weights
   ArrayResize(w, Taps);
   wsum = 0.0;
   for(int k = 0; k < Taps; k++)
     {
       switch(Window)
         {
           case 1:  w[k] = 1.0; // Rectangular window
                    break;
           case 2:  w[k] = 0.50 - 0.50*MathCos(2.0*pi*k / Taps);   // Hanning window
                    break;
           case 3:  w[k] = 0.54 - 0.46*MathCos(2.0*pi*k / Taps);   // Hamming window
                    break;
           case 4:  w[k] = 0.42 - 0.50*MathCos(2.0*pi*k / Taps) +  
                           0.08*MathCos(4.0*pi*k / Taps);          // Blackman window
                    break;
           case 5:  w[k] = 0.35875 - 0.48829*MathCos(2.0*pi*k / Taps) + 
                           0.14128*MathCos(4.0*pi*k / Taps) - 
                           0.01168*MathCos(6.0*pi*k / Taps);       // Blackman - Harris window
                    break; 
           default: w[k] = 1;                                      //Rectangular window 
                    break;
         }
       if(k != Taps / 2.0) 
           w[k] = w[k]*MathSin(pi*(k - Taps / 2.0) / Periods) / pi / (k - Taps / 2.0);
       wsum += w[k];
     }
//Calculate sums for the least-squares method
   n = (Taps - 1) / 2;
   sx2 = (2*n + 1) / 3.0;
   sx3 = n*(n + 1) / 2.0;
   sx4 = sx2*(3*n*n+3*n - 1) / 5.0;
   sx5 = sx3*(2*n*n+2*n - 1) / 3.0;
   sx6 = sx2*(3*n*n*n*(n + 2) - 3*n+1) / 7.0;
   den = sx6*sx4 / sx5 - sx5;
//Initialize indicator
   IndicatorBuffers(2);
   SetIndexBuffer(0, FIRMA);
   SetIndexBuffer(1, ARMA);
   SetIndexStyle(0, DRAW_LINE, STYLE_SOLID, 2);
   SetIndexStyle(1, DRAW_LINE, STYLE_SOLID, 2);
   IndicatorShortName("AFIRMA");
   return(0);
  }
//+------------------------------------------------------------------+
//|                                                                  |
//+------------------------------------------------------------------+
int deinit()
  {
    return(0);
  }
//+------------------------------------------------------------------+
//|                                                                  |
//+------------------------------------------------------------------+
int start()
  {
//Calculate FIR MA for all bars except for the last n bars
   ArrayInitialize(FIRMA, EMPTY_VALUE);
   for(int i = 0; i <= Bars - Taps; i++)
     {
       FIRMA[i+n] = 0.0;
       for(int k = 0; k < Taps; k++)
           FIRMA[i+n] += Close[i+k]*w[k] / wsum;
     }
   //Calculate regressive MA for the remaining n bars
   double a0 = FIRMA[n];
   double a1 = FIRMA[n] - FIRMA[n+1];
   double sx2y = 0.0;
   double sx3y = 0.0;
   for(i = 0; i <= n; i++)
     {
       sx2y += i*i*Close[n-i];
       sx3y += i*i*i*Close[n-i];
     }
   sx2y = 2.0*sx2y / n / (n + 1);
   sx3y = 2.0*sx3y / n / (n + 1);
   double p = sx2y - a0*sx2 - a1*sx3;
   double q = sx3y - a0*sx3 - a1*sx4;
   double a2 = (p*sx6 / sx5 - q) / den;
   double a3 = (q*sx4 / sx5 - p) / den;
   ArrayInitialize(ARMA, EMPTY_VALUE);
   for(i = 0; i <= n; i++)
       ARMA[n-i] = a0 + i*a1 + i*i*a2 + i*i*i*a3;
   return(0);
  }
//+------------------------------------------------------------------+