Effective Averaging Algorithms with Minimal Lag: Use in Indicators

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Effective Averaging Algorithms with Minimal Lag: Use in Indicators [ ru ]

Introduction

I think there is no need to explain how important the smoothing algorithms are for technical analysis and for trading systems. Codes of practically all indicators contain explicit or implicit averaging algorithms. If we have a closer look at online trading platforms and client terminals, the most of them and the most indicators will turn out to use the simplest (though far not the most effective) averaging algorithms.

Much more effective averaging algorithms have been developed by the present. However, attempts to apply them to indicators usually, due to significant complexity of the algorithms, resulted in that the programmers just did not have enough patience and made at most one or two indicators that by no means always operated correctly. After that, they usually tired of working in this direction. The basic advantage of simple averages is that they are always available as simple custom functions to be applied anywhere and at any time.

Subject Matter

In this article, I would like to describe for traders who know MQL4 rather effective averaging algorithms with minimal lag represented as rather simple custom functions. The use of these functions is not much more complicated than that of technical indicators. The functions were written long before and their operation quality has been checked for rather long time, too. No faults or problems, or incorrect calculations have found in them. Thus, we will consider the following algorithms:
- JJMASeries () - adaptive JMA smoothing algorithm;
- JLiteSeries() - JMA smoothing algorithm without an adaptive algorithm;
- JurXSeries () - ultralinear smoothing algorithm taken from indicator JRSX;
- ParMASeries() - smoothing algorithm based on parabolic approximation;
- LRMASeries () - smoothing algorithm based on linear regression;
- T3Series () - smoothing algorithm based on Tilson algorithm.

Smoothing Functions Realization

The functions are represented as the following files: JJMASeries.mqh, JLiteSeries. mqh, JurXSeries. mqh, ParMASeries.mqh, LRMASeries.mqh, T3Series.mqh.

Function calls themselves are absolutely the same, the only difference is that some functions do not have some external variables. Such functions are usually used to process custom and indicator arrays that operate as external variables. In my opinion, it is not always convenient, so it would be much better to use such functions for processing normal variables, not arrays. In this case, one can make an unlimited amount of smoothings using these algorithms within one computation cycle! I think it is unnecessary to give the code of functions in this article. The code will be interesting only for those who are going to create similar functions based on other algorithms. We are interested in just the function call algorithm in the indicator code, i.e., in practical use of the functions.

JJMASeries ()
We will start to learn them with function JJMASeries():

double JJMASeries(int number, int din, int MaxBar, int limit, 
                  int Phase, int Length, double series, int bar,
                  int& reset)

File JJMASeries.mqh contains four functions: JJMASeries(), JJMASeriesResize(), JJMASeriesAlert() and JMA_ErrDescr(). The file also contains variables declared as global ones.

Function JJMASeries() is intended for using the JMA algorithm in writing any technical indicators or Expert Advisors, for replacing classical averaging computation with this algorithm. The function does not work if the 'limit' parameter takes on a value of zero! All indicators I developed for JJMASeries are made considering this limitation. The file must be saved in folder MetaTrader\experts\include\. It must be noted that, if the 'bar' variable value exceeds that of the MaxBar variable, the JJMASeries() function will return a zero value for this bar! And, therefore, this value may not be present as a term of a fraction in some indicator calculations! JJMASeries() will return zero on the consequent 30 bars, as well!

This version of JJMASeries() supports Expert Advisors when operated in custom indicators used by the Expert Advisor. Besides, this version of JJMASeries() supports Expert Advisors when operated in the indicator code entirely placed in the Expert's code keeping all the DO statements and variables saved! When coding indicators or Expert Advisors using JJMASeries, it is not recommended to name variables with names starting with nJMA... or dJMA... . The JJMASeries() function can be used in the internal code of other custom functions provided that it is considered that every call for JJMASeries() must have its unique number at each call for such a custom function. This version of JJMASeries() is intended for processing variables related to time-series arrays of the current chart! If this function is applied to processing of variables computed on time-series arrays of other charts, the calculations will be incorrect!

Inputs:
- number - the number of the JJMASeries() function call in the indicator's code (0, 1, 2, 3, ...);
- din - parameter, which allows to modify Length and Phase parameters on each bar. 0 - parameters may not be changed, any other value allows changing parameters;
- MaxBar - maximum value of the computed bar number. Normally, it is Bars-1-period where "period" is the amount of bars, on which the initial series value is not calculated;
- limit - amount of uncalculated bars plus one or the number of the last uncalculated bar. It must be equal to Bars-IndicatorCounted()-1;
- Length - averaging depth;
- Phase - parameter changing in the range between -100 and +100. It influences the transient process quality;
- series - input, which underlies JJMASeries() calculation;
- bar - the number of bar to be calculated. This parameter must be changed by the DO statement from the maximal value to zero. Its maximal value must be always equal to the value of 'limit'!

Output Parameters:
- JMASeries() - JMA value. If the 'bar' parameter value exceeds MaxBar-30, function JJMASeries() always returns zero!
- reset - parameter that returns by reference a value other than 0 if an error occurred in the function computation, and it returns 0 if computation was ok. This parameter can only be variable, but not value!

Function Initialization
Before calling the JJMASeries() function, when the amount of bars already calculated equals to 0, internal buffer variables of the function should be resized (it would be even better to do it in the initialization block of the custom indicator or of the Expert Advisor). For this, it is necessary to call variables of JJMASeries() using helper function JJMASeriesResize() with the following parameters: JJMASeriesResize(number+1); it is necessary to make parameter 'number' (MaxJMA.number) equal to the amount of calls for JJMASeries, i.e., greater by 1 than the maximal value of 'number'. Along with resizing the buffers of JJMASeries(), one can check in the initialization block the indicator input values Length and Phase that are JJMASeries() inputs, for whether they lie within their changing range using JJMASeriesAlert():

JJMASeriesAlert(int Number, string name, int ExternVar)

- Number - parameter that can take on two values: 0 - to check the input ExternVar for whether it lies within the changing range of the Length input of JJMASeries() and 1 - to check the input ExternVar for whether it lies within the changing range of the Phase input of JJMASeries();
- name - string name of input ExternVar to give an alert;

- ExternVar - indicator's input

Error Indication

When being debugged, codes of indicators or Expert Advisors can contain errors. To find out the causes of errors, it is necessary to view the log file. Function JJMASeries() records all errors ina log file in the folder named \MetaTrader\EXPERTS\LOGS\. If an MQL4 error occurs in the code preceding JJMASeries() function before calling this function, the function will record the error code and content into a log file. If an MQL4 error occurs in the JJMASeries() algorithm during execution of function JJMASeries(), the function will record the error code and content into a log file, too. If the JJMASeries() function call 'number' is specified incorrectly or incorrect defining of buffer variables size nJJMAResize.Size takes place, messages about incorrect parameters will be recorded in the log file. Information about incorrect definitions of the 'limit' parameter will be recorded in the log file, as well.

If resizing of JJMASeries buffers fails during init() function execution, function JJMASeriesResize() will record information about failed resizing into the log file. If the correct sequence of the 'bar' parameter changing is violated when calling the JJMASeries() function via an external DO statement, this information will be recorded in the log file, too. It must be considered that some errors in the code will produce further errors in its execution, this is why, if the JJMASeries() function records several errors in the log file at once, these errors should be eliminated in order of their appearance. In a correctly coded indicator, the JJMASeries() function can make records in the log file only operating system disorders. An exception is record of buffer variables resizing at indicator or Expert Advisor rebooting that happens at each init() function call. All MQL4 errors are recorded in the log file using function JMA_ErrDescr() that flushes the code and the error content according to its code got using function GetLastError() to the log file.

Exemplary JJMASeries() Function Call (doubled JMA smoothing of the entry price):

/*
For the indicator to operate, files 
JJMASeries.mqh 
PriceSeries.mqh 
must be placed into the directory: MetaTrader\experts\include\
Heiken Ashi#.mq4
into the directory: MetaTrader\indicators\
*/
//+------------------------------------------------------------------+   
//|                                                        J2JMA.mq4 | 
//|                       JMA code: Copyright © 2005, Jurik Research | 
//|                                          http://www.jurikres.com/ | 
//|    MQL4 JJMASeries+J2JMA: Copyright © 2006,     Nikolay Kositsin | 
//|                              Khabarovsk,   farria@mail.redcom.ru | 
//+------------------------------------------------------------------+   
#property copyright "Copyright © 2006, Nikolay Kositsin"
#property link "farria@mail.redcom.ru" 
//---- drawing of the indicator in the main window
#property indicator_chart_window 
//---- amount of indicator buffers
#property indicator_buffers 1 
//---- color of the indicator
#property indicator_color1 Magenta 
//---- INDICATOR INPUTS 
extern int Length1 = 5; // depth of the first smoothing 
extern int Length2 = 5; // depth of the second smoothing 
// the first smoothing parameter changing within the range between -100 and +100, 
//it influences the transient quality; 
extern int Phase1  = 100;
// the second smoothing parameter changing in the range between -100 and +100, 
//it influences the transient quality; 
extern int Phase2  = 100;
// indicator shifting along the time axis 
extern int Shift   = 0;
/* Choosing of prices to be used for indicator calculations 
(0-CLOSE, 1-OPEN, 2-HIGH, 3-LOW, 4-MEDIAN, 5-TYPICAL, 6-WEIGHTED,
7-Heiken Ashi Close, 8-SIMPL, 9-TRENDFOLLOW, 10-0.5*TRENDFOLLOW, 
11-Heiken Ashi Low, 12-Heiken Ashi High,  13-Heiken Ashi Open, 
14-Heiken Ashi Close.) */
extern int Input_Price_Customs = 0;
//---- indicator buffers
double J2JMA[];
//---- floating points variables  
double Temp_Series; 
//----+ Introducing of function JJMASeries 
//----+ Introducing of function JJMASeriesResize 
//----+ Introducing of function JJMASeriesAlert  
//----+ Introducing of function JMA_ErrDescr  
#include <JJMASeries.mqh>   
//----+ Introducing of function PriceSeries
//----+ Introducing of function PriceSeriesAlert 
#include <PriceSeries.mqh>
//+------------------------------------------------------------------+ 
//| J2JMA indicator initialization function                          | 
//+------------------------------------------------------------------+ 
int init() 
  {  
//---- defining of the chart drawing style
   SetIndexStyle (0, DRAW_LINE); 
//---- 1 indicator buffer is used for calculations
   SetIndexBuffer(0, J2JMA);
//---- horizontal shift of the indicator line 
   SetIndexShift (0, Shift);  
//---- placing of indicator values that will not be visible in the chart
   SetIndexEmptyValue(0, 0); 
//---- name for data windows and label for subwindows 
   IndicatorShortName ("J2JMA(Length1=" + Length1 + ", Phase1=" + Phase1 +
                       ", Length2=" + Length2 + ", Phase2=" + Phase2 + 
                       ", Shift=" + Shift + ")"); 
   SetIndexLabel (0, "J2JMA"); 
//---- Setting the indicator imaging precision format
   IndicatorDigits(Digits);
//----+ Resizing of buffer variables of function JJMASeries, 
//nJMAnumber=2(two calls for function JJMASeries)
   if(JJMASeriesResize(2) != 2)
       return(-1);
//---- setting alerts for nonaccepted values of external variables
   JJMASeriesAlert (0,"Length1", Length1);
   JJMASeriesAlert (0,"Length2", Length2);
   JJMASeriesAlert (1,"Phase1", Phase1 );
   JJMASeriesAlert (1,"Phase2", Phase2 );
   PriceSeriesAlert(Input_Price_Customs);
//---- complete initialization
   return(0); 
  } 
//+------------------------------------------------------------------+   
//| J2JMA iteration function                                         | 
//+------------------------------------------------------------------+ 
int start() 
  { 
//---- Bar quantity control over sufficiency for further calculations
   if(Bars - 1 < 61)
       return(0);
//----+ Introducing of integer variables and obtaining of bars already computed
   int reset, MaxBar1, MaxBar2, counted_bars = IndicatorCounted();
//---- checking for possible errors
   if(counted_bars < 0) 
       return(-1);
//---- the last counted bar should be recalculated 
//---- (without this recalculation for counted_bars, function JJMASeries will not 
//     operate correctly!!!)
   if(counted_bars > 0) 
       counted_bars--;
//---- determining of the oldest bar number, starting from which new bars
//     will be recalculated
   int limit = Bars - counted_bars - 1; 
   MaxBar1 = Bars - 1; 
   MaxBar2 = MaxBar1 - 30;
 
//----+ INDICATOR COMPUTING BASIC LOOP 
   for(int bar = limit; bar >= 0; bar--)
     {
       // Call for function PriceSeries to get the entry price Series
       Temp_Series = PriceSeries(Input_Price_Customs, bar);
       // Two calls fro function JJMASeries numbered as 0,1. Parameters 
       //nJMA.Phase and nJMA.Length 
       //do not change at each bar (nJMA.din=0)
       //(In the second call, parameter nJMA.MaxBar is decreased by 30 since it is 
       //the repeated JMA smoothing)
       Temp_Series = JJMASeries(0,0,MaxBar1,limit,Phase1,Length1,
                                Temp_Series,bar,reset);
       // checking for errors in the preceding operation
       if(reset != 0)
           return(-1);
       Temp_Series = JJMASeries(1,0,MaxBar2,limit,Phase2,Length2,
                                Temp_Series,bar,reset);
       // checking for errors in the preceding operation
       if(reset != 0)
           return(-1);
       J2JMA[bar] = Temp_Series;
     }
//---- complete calculation of indicator values
   return(0); 
  } 
//+--------------------------------------------------------+

Thus, the following points can be stressed in application of this function:
1. Declaration of functions being parts of file JJMASeries.mqh with line #include in the beginning of the indicator code. Declared are variables and four functions: JJMASeries(), JJMASeriesResize(), JJMASeriesAlert(), JMA_ErrDescr().
2. Resizing of buffer elements used by function JJMASeries() using function JJMASeriesResize() in the initialization block.
3. Checking using function JJMASeriesAlert() in the initialization block whether the values of the indicator external variables that are external variables of function JJMASeries() are correct .
4. Calls for function JJMASeries() themselves made using DO statements with relevant error control. >

Other Functions

Algorithm of calling for other functions is very much the same as the algoritm considered above, but there are some differences in quantity of external variables available in functions:

JJMASeries (int number, int din, int MaxBar, int limit, int Phase,
            int Length, double series, int bar, int&reset)
JLiteSeries(int number, int din, int MaxBar, int limit, int Phase,
            int Length, double series, int bar, int&reset)
JurXSeries (int number, int din, int MaxBar, int limit,
            int Length, double series, int bar, int&reset)
T3Series   (int number, int din, int MaxBar, int limit, int Phase,
            int Length, double series, int bar, int&reset )
ParMASeries(int number, int MaxBar, int limit, int period, 
            double series, int bar, int&reset)
LRMASeries (int number, int MaxBar, int limit, int period, 
            double series, int bar, int&reset )

It should be appreciated that functions JJMASeries() and JLiteSeries() are not compatible in the same Expert Advisor or indicator! Indeed, the same JMA code with the function name of JJMASeries()is placed in file JLiteSeries.mqh without adaptation! To replace function JJMASeries() with function JLiteSeries() in an Expert Advisor or in an indicator, it is sufficient to replace line #include with #include. All calls for functions of file JLiteSeries.mqh are considered as calls for functions identical to those used for functions of file JJMASeries.mqh.

Other functions are fully compatible within the same indicator or Expert Advisor code. In functions ParMASeries() and LRMASeries(), the value of external variable 'period' is limited by 501. If larger values are necessary, it is necessary to change the first (not zero!) parameters of buffers dParMA.TempBuffer[][501] and dParMA.TEMPBUFFER[][501] for function ParMASeries() or dLRMA.TempBuffer[][501] and dLRMA.TEMPBUFFER[][501] for function LRMASeries() in files ParMASeries.mqh and LRMASeries.mqh, respectively. >

Function JurXSeries()
Below is an exemplary call for function JurXSeries() (ultralinear smoothing of the entry price with additional JMA smoothing):


/*
For the indicator to operate, it is necessary to place files 

JurXSeries.mqh, 
JJMASeries.mqh, 
PriceSeries.mqh,  
to directory: MetaTrader\experts\include\
Heiken Ashi#.mq4
to directory: MetaTrader\indicators\
This indicator is based on the smoothing algorithm of indicator JRSX.
The final result of this indicator bear some resemblance to 
double JMA smoothing, but is less perfect since it is simpler.
 
*/
//+------------------------------------------------------------------+
//|                                                        JJurX.mq4 | 
//|                           Copyright © 2006,     Nikolay Kositsin | 
//|                              Khabarovsk,   farria@mail.redcom.ru | 
//+------------------------------------------------------------------+
#property copyright "Copyright © 2006, Nikolay Kositsin"
#property link "farria@mail.redcom.ru" 
//---- drawing the indicator in the main window
#property indicator_chart_window 
//---- amount of indicator buffers
#property indicator_buffers 1 
//---- color of the indicator
#property indicator_color1 Gold
//---- INDICATOR INPUTS 
extern int JurX_Length  = 5; // depth of JurX smoothing 
extern int JJMA_Length  = 4; // depth of JJMA smoothing 
// parameter of JJMA smoothing ranging between -100 and +100 
// influences the transient quality; 
extern int JJMA_Phase   = -100;
extern int Shift        = 0;      // indicator shift along the time axis 
/* Choosing of prices underlying the indicator calculations 
(0-CLOSE, 1-OPEN, 2-HIGH, 3-LOW, 4-MEDIAN, 5-TYPICAL, 6-WEIGHTED,
7-Heiken Ashi Close, 8-SIMPL, 9-TRENDFOLLOW, 10-0.5*TRENDFOLLOW, 
11-Heiken Ashi Low, 12-Heiken Ashi High,  13-Heiken Ashi Open, 
14-Heiken Ashi Close.) */
extern int Input_Price_Customs = 0;
//---- indicator buffers
double Ind_Buffer[];
//---- floating point variables  
double Price,JurX,JJurX,Error;
//+------------------------------------------------------------------+
//----+ Introducing of function JJMASeries 
//----+ Introducing of function JJMASeriesResize 
//----+ Introducing of function JJMASeriesAlert  
//----+ Introducing of function JMA_ErrDescr  
#include <JJMASeries.mqh> 
//+------------------------------------------------------------------+
//----+ Introducing of function JurXSeries
//----+ Introducing of function JurXSeriesResize
//----+ Introducing of function JurXSeriesAlert 
//----+ Introducing of function JurX_ErrDescr  
#include <JurXSeries.mqh> 
//+------------------------------------------------------------------+ 
//----+ Introducing of function PriceSeries
//----+ Introducing of function PriceSeriesAlert 
#include <PriceSeries.mqh>
//+------------------------------------------------------------------+
//| JJurX indicator initialization function                          | 
//+------------------------------------------------------------------+ 
int init() 
{  
//---- defining of the charting style
SetIndexStyle (0,DRAW_LINE); 
//---- 1 indicator buffer is used to calculate
SetIndexBuffer(0,Ind_Buffer);
//---- horizontal shift of the indicator line 
SetIndexShift (0, Shift); 
//---- setting indicator values that will not be visible in the chart
SetIndexEmptyValue(0,0); 
//---- name for data windows and label for subwindows 
IndicatorShortName ("JJurX( JurX_Length="+JurX_Length+", Shift="+Shift+")"); 
SetIndexLabel (0, "JJurX"); 
//---- Setting the indicator imaging precision format
IndicatorDigits(Digits);
//----+ Resizing buffer variables of function JurXSeries, 
//      nJurXnumber=2
//(To calls for function JurXSeries)
if (JurXSeriesResize(2)!=2)return(-1);
//----+ Resizing buffer variables of function JJMASeries,
//      nJMAnumber=1
//(One call for function JJMASeries)
if (JJMASeriesResize(1)!=1)return(-1);
//---- setting alerts for nonaccepted values of external variables  
JurXSeriesAlert(0,"JurX_Length",JurX_Length); 
JJMASeriesAlert(0,"JJMA_Length",JJMA_Length); 
JJMASeriesAlert(1,"JJMA_Phase",JJMA_Phase); 
PriceSeriesAlert(Input_Price_Customs);
//---- complete initialization
return(0); 
} 
//+-----------------------------------------------------------------------------+
//| JJurX iteration function                                                    | 
//+-----------------------------------------------------------------------------+
int start() 
{ 
//---- Bar quantity control over sufficiency for further calculations
if (Bars-1<JurX_Length+32)return(0);
//----+ Introducing of integer variables and obtaining of bars already computed
int reset,MaxBar,counted_bars=IndicatorCounted();
//---- checking for possible errors
if (counted_bars<0)return(-1);
//---- the last counted bar should be recalculated 
//(without this recalculation for counted_bars, function JurXSeries will not 
// operate correctly!!!)
if (counted_bars>0) counted_bars--;
//---- determining of the oldest bar number, starting from which new bars
//     will be recalculated
int limit=Bars-counted_bars-1; 
determining of the oldest bar number, starting from which all bars
//     will be recalculated
MaxBar=Bars-1; 
 
//----+ INDICATOR COMPUTING BASIC LOOP 
for(int bar=limit;bar>=0;bar--)
 {
  //----+ Call for function PriceSeries to get the entry
  //      price Series
  Price=PriceSeries(Input_Price_Customs,bar);
  //----+ One call for function JurXSeries numbered as 0. 
  //Parameter nJJurX.Length does not change on each bar (nJurXdin=0)
  JurX=JurXSeries(0,0,MaxBar,limit,JurX_Length,Price,bar,reset); 
  //----+ checking for errors in the preceding operation
  if(reset!=0)return(-1); 
  //----+ detection of error in calculations of parameter JurX
  //----+ the second call for function JurXSeries numbered as 1. 
  //Parameter nJJurX.Length does not change on each bar (nJurXdin=0)
  Error=JurXSeries(1,0,MaxBar,limit,JurX_Length,100,bar,reset); 
  //----+ checking for errors in the preceding operation
  if(reset!=0)return(-1);
  if(Error==0)Error=100;
  JurX*=100/Error;
  //----+ Call for function JJMASeries numbered as 0. 
  //      Parameters nJMA.Phase and nJMA.Length do not change on each bar 
  //      (nJMA.din=0)
  JJurX=JJMASeries(0,0,MaxBar,limit,JJMA_Phase,JJMA_Length,JurX,bar,reset);
  //----+ checking for errors in the preceding operation
  if(reset!=0)return(-1);
  Ind_Buffer[bar]=JJurX;                 
 }
//---- complete calculation of indicator values
return(0); 
} 
//+-------------------------------------------------------------------------+

In this example, it should be noted that function JurXSeries() averages both entry price and the constant! Having divided the averaging result by the constant value, we will obtain the smoothing error. To obtain a more precise results of the price series smoothing, it is necessary to divide the smoothing result by this error value. It was done, in our case. In two cases below, numerator and denominator are smoothed separately, so there is no need of the above procedure. Such error does not occur for other smoothing functions.

Below is an exemplary call for functions JJMASeries() and JurXSeries() (CCI analog with additional JMA smoothing):

/*
For the indicator to operate, it is necessary to place files 
JJMASeries.mqh
JurSeries.mqh 
PriceSeries.mqh 
to directory: MetaTrader\experts\include\
Heiken Ashi#.mq4
to directory: MetaTrader\indicators\
*/
//+------------------------------------------------------------------+   
//|                                                        JCCIX.mq4 |
//|                               Copyright © 2006, Nikolay Kositsin | 
//|                              Khabarovsk,   farria@mail.redcom.ru | 
//+------------------------------------------------------------------+    
#property copyright "Copyright © 2006, Nikolay Kositsin"
#property link "farria@mail.redcom.ru" 
//---- drawing the indicator in a separate window
#property indicator_separate_window
//---- amount of indicator buffers
#property indicator_buffers  1
//---- colors of indicator
#property indicator_color1  BlueViolet
//---- parameters of the indicator horizontal levels
#property indicator_level1  0.5
#property indicator_level2 -0.5
#property indicator_level3  0.0
#property indicator_levelcolor MediumBlue
#property indicator_levelstyle 4
//---- INDICATOR INPUTS 
extern int  JJMA.Length = 8;  // depth of JJMA smoothing of entry price
// depth of JurX smoothing of the obtained indicator 
extern int  JurX.Length = 8;
// parameter ranging between -100 and +100 influences 
// the smoothing transient quality
extern int  JJMA.Phase = 100;
 /* Choosing of prices underlying the indicator calculations  
(0-CLOSE, 1-OPEN, 2-HIGH, 3-LOW, 4-MEDIAN, 5-TYPICAL, 6-WEIGHTED,
7-Heiken Ashi Close, 8-SIMPL, 9-TRENDFOLLOW, 10-0.5*TRENDFOLLOW, 
11-Heiken Ashi Low, 12-Heiken Ashi High,  13-Heiken Ashi Open, 
14-Heiken Ashi Close.) */
extern int Input_Price_Customs = 0;
//---- indicator buffers
double Ind_Buffer1[];
//---- integer constans 
int    w;
//+------------------------------------------------------------------+
//----+ Introducing of function JJMASeries 
//----+ Introducing of function JJMASeriesResize 
//----+ Introducing of function JJMASeriesAlert  
//----+ Introducing of function JMA_ErrDescr  
#include <JJMASeries.mqh> 
//+------------------------------------------------------------------+ 
//----+ Introducing of function JurXSeries
//----+ Introducing of function JurXSeriesResize
//----+ Introducing of function JurXSeriesAlert 
//----+ Introducing of function JurX_ErrDescr  
#include <JurXSeries.mqh> 
//+------------------------------------------------------------------+  
//----+ Introducing of function PriceSeries
//----+ Introducing of function PriceSeriesAlert 
#include <PriceSeries.mqh>
//+------------------------------------------------------------------+ 
//| JCCIX initialization function                                    |
//+------------------------------------------------------------------+
int init()
 {
//---- indicator drawing styles
   SetIndexStyle(0,DRAW_LINE);
//---- 1 indicator buffer is used for calculations. 
   SetIndexBuffer(0,Ind_Buffer1);
//---- setting of the indicator values that will not be visible in the chart
   SetIndexEmptyValue(0,0); 
//---- names for data windows and labels for subwindows
   SetIndexLabel(0,"JCCIX");
   IndicatorShortName("JCCIX(JJMA.Length="+JJMA.Length+", JurX.Length"+
                      JurX.Length+")");
//---- Setting imaging precision format (count of characters after decimal point) 
//to visualize the indicator values  
   IndicatorDigits(2);
//----+ Resizing buffer variables of function JurXSeries, 
//      nJurXnumber=2
//(Two calls for function JurXSeries)
   if (JurXSeriesResize(2)!=2)return(-1);
//----+ Resizing buffer variables of function JJMASeries, 
//      nJMAnumber=1
//(One call for function JJMASeries)
   if (JJMASeriesResize(1)!=1)return(-1);
//---- setting alerts for nonaccepted values of external variables
   JurXSeriesAlert (0,"JurX.Length",JurX.Length);
   JJMASeriesAlert (0,"JJMA.Length",JJMA.Length);
   JJMASeriesAlert (1,"JJMA.Phase",JJMA.Phase);
   PriceSeriesAlert(Input_Price_Customs);
//---- setting the bar number, starting from which the indicator will be 
//     drawn  
   SetIndexDrawBegin(0,JurX.Length+31);
//---- coefficients initialization to compute the indicator 
   if (JurX.Length>5) w=JurX.Length-1; else w=5;
//---- initialization complete
   return(0);
  }
//+------------------------------------------------------------------------+
//|  JCommodity Channel IndexX                                             |
//+------------------------------------------------------------------------+
int start()
  {
//---- Introducing of floating point variables    
double price,Jprice,JCCIX,UPCCI,DNCCI,JUPCCIX,JDNCCIX; 
//----+ Introducing of integer variables and getting bars already computed
int reset,MaxBar,MaxBarJ,limit,counted_bars=IndicatorCounted();
//---- check for possible errors
if (counted_bars<0)return(-1);
//---- the last counted bar must be recalculated 
//---- (without this recalculation for counted_bars, functions JJMASeries 
//and JurXSeries will not work correctly!!!)
if (counted_bars>0) counted_bars--;
//---- determining of the oldest bar number, starting from which new bars
//     will be recalculated
limit=Bars-counted_bars-1; 
//---- determining of the oldest bar number, starting from which all bars
//     will be recalculated
MaxBar=Bars-1; MaxBarJ=MaxBar-30;
//---- correction of the start calculated bar in the loop
if(limit>=MaxBar)limit=MaxBar;
 
for(int bar=limit; bar>=0; bar--)
 { 
   //----+ Call for function PriceSeries to get entry 
   //      price Series
   price=PriceSeries(Input_Price_Customs, bar);
   //+----------------------------------------------------------------
   //----+ One call for function JJMASeries numbered as 0 
   //----+ Parameters nJMA.Phase and nJMA.Length do not change within  
   //      each bar (nJMA.din=0)
   //+---------------------------------------------------------------+   
   Jprice=JJMASeries(0,0,MaxBar,limit,JJMA.Phase,JJMA.Length,price,
                     bar,reset);
   //----+ check for errors in the preceding operation
   if(reset!=0)return(-1);
   //+---------------------------------------------------------------+    
   UPCCI=price-Jprice;         
   DNCCI=MathAbs(UPCCI);
   //----+ Two calls for function JurXSeries numbered as 0 and 1. 
           Parameter nJJurXLength does not 
   //change within each bar (nJurXdin=0)
   //----+ check for errors in the preceding operation
   JUPCCIX=JurXSeries(0,0,MaxBarJ,limit,JurX.Length,UPCCI,bar,reset); 
   if(reset!=0)return(-1); 
   JDNCCIX=JurXSeries(1,0,MaxBarJ,limit,JurX.Length,DNCCI,bar,reset); 
   if(reset!=0)return(-1); 
   //----+
   if (bar>MaxBarJ-w)JCCIX=0;
   else 
     if (JDNCCIX!=0)
       {
        JCCIX=JUPCCIX/JDNCCIX;
        if(JCCIX>1)JCCIX=1;
        if(JCCIX<-1)JCCIX=-1;
       }
     else JCCIX=0;
   Ind_Buffer1[bar]=JCCIX; 
   //----+
 }
//----
   return(0);
  }
//+-------------------------------------------------------------------+

The following fact should be taken into consideration: After two smoothings with function JurXSeries(), one of values obtained will be checked for it is not equal to zero for it is a denominator!

Below is an exemplary call for functions JJMASeries() and JurXSeries (RSI analog with additional JMA smoothing):

/*
For the indicator to operate, it is necessary to place files  
JurXSeries.mqh
JJMASeries.mqh  
PriceSeries.mqh 
to directory: MetaTrader\experts\include\
Heiken Ashi#.mq4
to directory: MetaTrader\indicators\
*/
//+------------------------------------------------------------------+ 
//|                                                        JJRSX.mq4 |
//|    MQL4 JJRSX: Copyright © 2006,                Nikolay Kositsin | 
//|                              Khabarovsk,   farria@mail.redcom.ru | 
//+------------------------------------------------------------------+ 
#property copyright "Copyright © 2006, Nikolay Kositsin"
#property link "farria@mail.redcom.ru" 
//---- drawing of the indicator in a separate window
#property indicator_separate_window
//---- amount of indicator buffers
#property indicator_buffers  1
//---- colors of the indicator
#property indicator_color1  BlueViolet
//---- parameters of the indicator horizontal levels
#property indicator_level1  0.5
#property indicator_level2 -0.5
#property indicator_level3  0.0
#property indicator_levelcolor MediumBlue
#property indicator_levelstyle 4
//---- INDICATOR INPUTS 
extern int  Length = 8;  // depth of JurX smoothing of the indicator
// depth of JJMA smoothing of the obtained indicator
extern int  Smooth = 3;
// parameter ranging between -100 and +100, influences 
//the smoothing transient quality
extern int  Phase = 100;
/* Choosing of prices, at which the indicator is computed 
(0-CLOSE, 1-OPEN, 2-HIGH, 3-LOW, 4-MEDIAN, 5-TYPICAL, 6-WEIGHTED,
7-Heiken Ashi Close, 8-SIMPL, 9-TRENDFOLLOW, 10-0.5*TRENDFOLLOW,
11-Heiken Ashi Low, 12-Heiken Ashi High,  13-Heiken Ashi Open, 
14-Heiken Ashi Close.) */
extern int Input_Price_Customs = 0;
//---- indicator buffers
double Ind_Buffer[];
//---- integer variables 
int    w;  
//+------------------------------------------------------------------+  
//----+ Introducing of function JJMASeries 
//----+ Introducing of function JJMASeriesResize 
//----+ Introducing of function JJMASeriesAlert  
//----+ Introducing of function JMA_ErrDescr  
#include <JJMASeries.mqh> 
//+------------------------------------------------------------------+ 
//----+ Introducing of function JurXSeries
//----+ Introducing of function JurXSeriesResize
//----+ Introducing of function JurXSeriesAlert 
//----+ Introducing of function JurX_ErrDescr  
#include <JurXSeries.mqh> 
//+------------------------------------------------------------------+ 
//----+ Introducing of function PriceSeries
//----+ Introducing of function PriceSeriesAlert 
#include <PriceSeries.mqh>
//+---------------------------------------------------------------------+ 
//| JJRSX initialization function                                       |
//+---------------------------------------------------------------------+ 
int init()
  {
//---- indicator drawing styles
   SetIndexStyle(0,DRAW_LINE);
//---- 1 indicator buffer is used for counting. 
   SetIndexBuffer(0,Ind_Buffer);
//---- setting the indicator values that will not be visible in the chart
   SetIndexEmptyValue(0,0); 
//---- names for data windows and labels for subwindows
   SetIndexLabel(0,"JRSX");
   IndicatorShortName("JRSX(Length="+Length+", Input_Price_Customs="+
                      Input_Price_Customs+")");
//---- Setting imaging precision format (count of characters after decimal point) 
//to visualize the indicator values  
   IndicatorDigits(2);
//----+ Resizing buffer variables of function JurXSeries,
        nJurXnumber=2
//(Two calls for function JurXSeries)
   if (JurXSeriesResize(2)!=2)return(-1);
//----+ Resizing buffer variables of function JJMASeries,
        nJMAnumber=1
//(One call for function JJMASeries)
   if (JJMASeriesResize(1)!=1)return(-1);
//---- setting alerts for nonaccepted values of external variables
   JurXSeriesAlert (0,"Length",Length);
   JJMASeriesAlert (0,"Smooth",Smooth);
   JJMASeriesAlert (1,"Phase",Phase);
   PriceSeriesAlert(Input_Price_Customs);
//---- setting the bar number, starting from which there will be drawn the
       indicator  
   SetIndexDrawBegin(0,Length+31);
//---- correction of nonaccepted value ща parameter Length
   if(Length<1)Length=1; 
//---- coefficients initialization to compute the indicator 
   if (Length>5) w=Length-1; else w=5;
//---- initialization complete
return(0);
  }
//+-----------------------------------------------------------------------------+ 
//| JJRSX iteration function                                                    |
//+-----------------------------------------------------------------------------+ 
int start()
{
//---- Introducing floating point variables 
double dPrice,dPriceA,UPJRSX,DNJRSX,JRSX,JJRSX; 
//----+ Introducing of integer variables and obtaining of bars already computed
int bar,limit,reset,MaxBar,MaxBarJ,counted_bars=IndicatorCounted();
//---- check for possible errors
if (counted_bars<0)return(-1);
//---- the last counted bar must be recalculated
if (counted_bars>0) counted_bars--;
//---- determining of the oldest bar number, starting from which all bars
//     will be recalculated
MaxBar=Bars-2; MaxBarJ=MaxBarJ-w-1; 
//---- determining of the oldest bar number, starting from which new bars
//     will be recalculated
limit=Bars-counted_bars-1; 
//----+ 
if (limit>MaxBar){limit=MaxBar;Ind_Buffer[MaxBar]=0.0;}
 
for(bar=limit;bar>=0;bar--)
  {
   //----+ two calls for function PriceSeries to get the difference
   //      between entry prices dPrice
   dPrice = PriceSeries(Input_Price_Customs, bar)-
                        PriceSeries(Input_Price_Customs, bar+1);
   //----+  
   dPriceA=MathAbs(dPrice);
   //----+ Two calls for function JurXSeries numbered as 0 and 1. 
   //      Parameter nJJurXLength 
   //does not change on each bar (nJurXdin=0) 
   //check for errors in the preceding operation
   UPJRSX=JurXSeries(0,0,MaxBar,limit,Length,dPrice, bar,reset); 
   if(reset!=0)return(-1);
   DNJRSX=JurXSeries(1,0,MaxBar,limit,Length,dPriceA,bar,reset);
   if(reset!=0)return(-1); 
   //----+
   if (bar>MaxBar-w)JRSX=0;
   else if (DNJRSX!=0){JRSX=UPJRSX/DNJRSX;
   if(JRSX>1)JRSX=1;
   if(JRSX<-1)JRSX=-1;}else JRSX=0;
   //+---------------------------------------------------------------+ 
   //----+ One call for function JJMASeries numbered as 0 
   //----+ Parameters nJMA.Phase and nJMA.Length do not change 
   //      on each bar (nJMA.din=0)
   //+---------------------------------------------------------------+   
   JJRSX=JJMASeries(0,0,MaxBarJ,limit,Phase,Smooth,JRSX,bar,reset);
   //----+ check for errors in the preceding operation
   if(reset!=0)return(-1);
   //+---------------------------------------------------------------+  
   Ind_Buffer[bar]=JJRSX;  
}
//---- complete calculation of the indicator values
return(0);
}
//+------------------------------------------------------------------+

Functions T3Series()
Below is an exemplary call for function T3Series() (Three Bo