#region Using declarations

using System;
using System.ComponentModel.DataAnnotations;
using System.Windows.Media;
using NinjaTrader.Gui;

#endregion

// This namespace holds indicators in this folder and is required. Do not change it.
namespace NinjaTrader.NinjaScript.Indicators
{
    public class HurstCoefficient : Indicator
    {
        #region Fields

        private FractalDimension fd;

        #endregion

        #region Properties

        [Range(1, int.MaxValue), NinjaScriptProperty]
        [Display(ResourceType = typeof(Custom.Resource), Name = "Period", GroupName = "NinjaScriptParameters", Order = 0)]
        public int Period { get; set; }

        [Range(1, int.MaxValue), NinjaScriptProperty]
        [Display(ResourceType = typeof(Custom.Resource), Name = "Smooth period", GroupName = "NinjaScriptParameters", Order = 1)]
        public int SmoothPeriod { get; set; }

        #endregion

        private Series<double> Hurst
        {
            get { return this.Values[0]; }
        }

        private Series<double> HurstSmooth
        {
            get { return this.Values[1]; }
        }

        protected override void OnBarUpdate ()
        {
            if (this.CurrentBar < this.Period) return;

            this.Hurst[0] = -(this.fd.SetValue(this.Input[0], this.CurrentBar) - 2.0);
            this.HurstSmooth[0] = this.EMA(this.Hurst, this.SmoothPeriod)[0];
        }

        protected override void OnStateChange ()
        {
            if (this.State == State.SetDefaults)
            {
                this.Description = Custom.Resource.NinjaScriptIndicatorDescriptionHurstCoefficient;
                this.Name = Custom.Resource.NinjaScriptIndicatorNameHurstCoefficient;
                this.BarsRequiredToPlot = 0;
                this.Calculate = Calculate.OnBarClose;
                this.DrawOnPricePanel = false;
                this.IsSuspendedWhileInactive = true;
                this.Period = 30;
                this.SmoothPeriod = 14;

                this.AddPlot(new Stroke(Brushes.Red, 1), PlotStyle.Dot, "Hurst");
                this.AddPlot(new Stroke(Brushes.DodgerBlue, 1), PlotStyle.Line, "HurstSmooth");
            }
            else if (this.State == State.DataLoaded)
            {
                this.fd = new FractalDimension(this.Period);
            }
        }
    }

    public class FractalDimension
    {
        #region Fields

        private int period;
        private int bars;
        private int lastBar = -1;
        private MINN min;
        private MAXX max;
        private double[] value;
        private double c1;
        private double c2;

        #endregion

        #region Constructors

        public FractalDimension (int period)
        {
            this.period = Math.Max(1, period);
            this.min = new MINN(this.period);
            this.max = new MAXX(this.period);
            this.value = this.min.value;
        }

        #endregion

        public double SetValue (double curVal, int barNum)
        {
            double min, delta = this.max.SetValue(curVal, barNum) - (min = this.min.SetValue(curVal, barNum));

            if (barNum != this.lastBar)
            {
                this.lastBar = barNum;
                if (this.bars < this.period)
                {
                    if (++this.bars > 1)
                    {
                        this.c1 = Math.Pow(1 / (this.bars - 1), 2);
                        this.c2 = Math.Log(2 * (this.bars - 1));
                    }
                }
            }

            if (this.bars < 2 || (delta <= double.Epsilon && -delta <= double.Epsilon))
                return 1;

            double length = 0, yPrev = (curVal - min) / delta;
            for (int i = 1; i < this.bars; ++i)
            {
                double y = (this.value[(barNum - i) % this.period] - min) / delta;
                length += Math.Sqrt(Math.Pow(y - yPrev, 2) + this.c1);
                yPrev = y;
            }

            return 1.0 + (Math.Log(length) + Math.Log(2.0)) / this.c2;
        }
    }

    public class MINN
    {
        #region Fields

        private int period;
        private int lowBar;
        private int lastBar = -1;
        private double low = double.MaxValue;

        #endregion

        #region Constructors

        public MINN (int period)
        {
            this.period = Math.Max(period, 1);
            this.value = new double[this.period];
        }

        #endregion

        #region Properties

        public double[] value { get; private set; }

        #endregion

        public double SetValue (double curVal, int barNum)
        {
            if (barNum == this.lastBar)
                // Intrabar (tick) update
                return Math.Min(this.value[barNum % this.period] = curVal, this.low);

            if (this.lastBar < 0)
            {
                // First call, initialization
                this.lastBar = barNum;
                return this.value[barNum % this.period] = curVal;
            }

            // New bar (either first tick of new bar, or COBC = false)
            if (this.value[this.lastBar % this.period] <= this.low)
            {
                this.low = this.value[this.lastBar % this.period];
                this.lowBar = this.lastBar;
            }

            if (barNum - this.lowBar >= this.period)
            {
                this.low = double.MaxValue;
                int i = barNum - (this.lastBar - this.lowBar);
                for (int index = i % this.period; i < barNum; index = ++i % this.period)
                {
                    if (this.value[index] <= this.low)
                    {
                        this.low = this.value[index];
                        this.lowBar = i;
                    }
                }
            }

            this.lastBar = barNum;

            return Math.Min(this.value[barNum % this.period] = curVal, this.low);
        }
    }

    public class MAXX
    {
        #region Fields

        private double[] value;
        private int period;
        private int hiBar;
        private int lastBar = -1;
        private double hi = double.MinValue;

        #endregion

        #region Constructors

        public MAXX (int period)
        {
            this.period = Math.Max(period, 1);
            this.value = new double[this.period];
        }

        #endregion

        public double SetValue (double curVal, int barNum)
        {
            if (barNum == this.lastBar)
                // Intrabar (tick) update
                return Math.Max(this.value[barNum % this.period] = curVal, this.hi);

            if (this.lastBar < 0)
            {
                // First call, initialization
                this.lastBar = barNum;
                return this.value[barNum % this.period] = curVal;
            }

            // New bar (either first tick of new bar, or COBC = false)
            if (this.value[this.lastBar % this.period] >= this.hi)
            {
                this.hi = this.value[this.lastBar % this.period];
                this.hiBar = this.lastBar;
            }

            if (barNum - this.hiBar >= this.period)
            {
                this.hi = double.MinValue;
                int i = barNum - (this.lastBar - this.hiBar);
                for (int index = i % this.period; i < barNum; index = ++i % this.period)
                {
                    if (this.value[index] >= this.hi)
                    {
                        this.hi = this.value[index];
                        this.hiBar = i;
                    }
                }
            }

            this.lastBar = barNum;

            return Math.Max(this.value[barNum % this.period] = curVal, this.hi);
        }
    }
}