--
-- "WVF_extended.lua"
--

-- Developed further from original indicator here:
-- Id: 4548 http://fxcodebase.com/code/viewtopic.php?f=17&t=6362

--
-- The indicator formula developed by Larry Williams mimics the VIX calculation which measures downside volatility
-- This code extends the idea to include the inverse upside volatility
-- The calculation can include muliplication or division of tick volume to enhance volatile periods
-- A non-linear power factor can be used to enhance peaks - leave as default "Power Factor" = 1 to disable
-- The application can be more suited to markets which may have volatility in both directions such as currency pairs, or commodities 
-- Options are provided to view volatility difference (upside-downside), normalised(upside-downside), or average volatility (upside+downside)/2
-- A short term optional RSI is also included
--


-- code version, revision and author - update if you publish changes
local NAME = "WVF Extended"
local DESCRIPTION = "William VIX Fix indicator with extended modes"
local VERSION = 1
local REVISION = 1
local DATE = "12/04/2025"
local REV_AUTHOR = "Steve_W"    -- for this revision
local CHANGES = "add upside-downside normalised, volume, and power functions"
local VERSION_TXT = "v" .. VERSION .. "." .. REVISION .. " " .. DATE 

-- revision history - update+add to history if you publish changes, improvements or bug fixes
-- 06/04/2025 v1.0 Steve_W - first release
-- 12/04/2025 v1.1 Steve_W - add upside-downside normalised, volume, and power functions


-- global list constants
local USE_VOLUME = {"No", "Multiply", "Divide"}
local DISPLAY_MODE = {"Downside", "Upside", "Upside-Downside", "Upside-Downside Normalised", "Average Upside & Downside"}
local LINE_BAR = {"Line", "Bar"}

-- global constants
local LABEL_COLOUR = core.rgb(192, 255, 0)
local GREY_COLOUR = core.rgb(128, 128, 128)
local BLUE_COLOUR = core.rgb(0, 128, 255)


function Init()
    local param = indicator.parameters
    
    indicator:name(NAME)
    indicator:description(DESCRIPTION)
    indicator:requiredSource(core.Bar)
    indicator:type(core.Oscillator)
    
    param:addGroup("Calculation")
    param:addInteger("period", "Lookback Period", "", 22, 0, 1000)
    param:addDouble("power_factor", "Power Factor", "raises calculation by this power making it non-linear - for example 3=cubic", 1, 0, 10)
    Add_list("use_volume", "Use Tick Volume", "", "No", USE_VOLUME)
    param:addBoolean("add_rsi", "Add RSI to Calculation", "volatility output is passed through a RSI", false)
    param:addInteger("rsi_length", "RSI Length", "", 3, 2, 1000)
    Add_list("display_mode", "Display Mode", "", "Downside", DISPLAY_MODE)
    
    param:addGroup("Style")
    Add_list("line_bar", "Line or Bar", "", "Line", LINE_BAR)
    param:addInteger("line_width", "Line width", "", 2, 1, 5)
    param:addInteger("line_style", "Line style", "", core.LINE_SOLID)
    param:setFlag("line_style", core.FLAG_LINE_STYLE)
    param:addColor("indicator_colour", "Indicator Colour", "", BLUE_COLOUR)
    param:addInteger("upper_rsi_level", "Upper RSI Level", "", 70, 50, 100)
    param:addInteger("lower_rsi_level", "Lower RSI Level", "", 30, 0, 50)   
    param:addColor("level_colour", "Level Colour", "", GREY_COLOUR)
    
    param:addGroup("About")
    param:addString("version", "Version", "Code for this revision by " .. REV_AUTHOR .. ": " .. CHANGES, VERSION_TXT)
end


-- global variables
local source = {}
local wvf = {}
local wvf_internal = {} 
local rsi_internal = {}
local first


-- initialisation
function Prepare(name_only)
    local param = instance.parameters
    
    source = instance.source
    first = source:first() + math.max(param.period, param.rsi_length)

    local name = ""
    if param.add_rsi == true then name = "RSI(" end
    name = name .. profile:id() .. "(" .. source:name() .. ", " .. param.display_mode .. ", " .. param.period ..
                                    ", " .. param.power_factor .. ", Volume=" .. param.use_volume .. ")"
    if param.add_rsi == true then name = name .. ", " .. param.rsi_length .. ")" end
    instance:name(name)
    if name_only then return end
    
    instance:setLabelColor(LABEL_COLOUR)
    
    wvf_internal = instance:addInternalStream(first, 0)
    if param.add_rsi == true then rsi_internal = core.indicators:create("RSI", wvf_internal, param.rsi_length) end
    
    if param.line_bar == "Line" or param.add_rsi == true then   -- RSI must be line
        wvf = instance:addStream("wvf", core.Line, name, "WVF", param.indicator_colour, first)
        wvf:setWidth(instance.parameters.line_width)
        wvf:setStyle(instance.parameters.line_style)
    elseif param.line_bar == "Bar" then
        wvf = instance:addStream("wvf", core.Bar, name, "WVF", param.indicator_colour, first)
    end
    wvf:setPrecision(2)
    if param.add_rsi == true then
        wvf:addLevel(param.upper_rsi_level, core.LINE_SOLID, param.line_width, param.level_colour)
        wvf:addLevel(param.lower_rsi_level, core.LINE_SOLID, param.line_width, param.level_colour)  
    else
        wvf:addLevel(0, core.LINE_SOLID, param.line_width, param.level_colour)
    end
end


-- calculation
function Update(period, mode)
    local param = instance.parameters
    if period < first  then return end
    
    local downside_volatility = ((mathex.max(source.close, period - param.period, period) - source.low[period]) -- Larry Williams original formula
                            / mathex.max(source.close, period - param.period, period)) * 100
    local upside_volatility = -((mathex.min(source.close, period - param.period, period) - source.high[period]) -- inverted formula to extend the idea
                            / mathex.min(source.close, period - param.period, period)) * 100
    
    upside_volatility = math.pow(upside_volatility, param.power_factor)
    downside_volatility = math.pow(downside_volatility, param.power_factor)
    
    if param.display_mode == "Upside" then wvf_internal[period] = upside_volatility
    elseif param.display_mode == "Downside" then wvf_internal[period] = downside_volatility
    elseif param.display_mode == "Upside-Downside" then wvf_internal[period] = upside_volatility - downside_volatility
    elseif param.display_mode == "Upside-Downside Normalised" then wvf_internal[period] = (upside_volatility - downside_volatility) / (upside_volatility + downside_volatility)
    elseif param.display_mode == "Average Upside & Downside" then wvf_internal[period] = (upside_volatility + downside_volatility) / 2
    end
 
    if param.use_volume == "Multiply" then
        wvf_internal[period] = wvf_internal[period] * source.volume[period]
    elseif param.use_volume == "Divide" then
        if source.volume[period] > 0 then
            wvf_internal[period] = wvf_internal[period] / source.volume[period]
        end
    end
    
    if param.add_rsi == true then
        rsi_internal:update(mode)
        wvf[period] = rsi_internal.DATA[period]
    else
        wvf[period] = wvf_internal[period]
    end
end


-- add a string list parameter
function Add_list(param, param_txt, param_explain, param_default, param_list)
    indicator.parameters:addString(param, param_txt, param_explain, param_default)
    for i = 1, #param_list, 1 do
        indicator.parameters:addStringAlternative(param, param_list[i], "", param_list[i])
    end
end