Weis Wave Duration Pro (Indicator)

1. Summary (Introduction)

The Weis Wave Duration Pro is an institutional-grade, high-performance separate window oscillator based on Richard Wyckoff's third law—The Law of Effort versus Result—and David Weis's wave mechanics.

While standard indicators dissect price charts into artificial, equal-time intervals (such as 15-minute or 1-hour chunks), price action naturally unfolds in waves of varying duration. As David Weis emphasized, true market analysis requires the study of three critical dimensions:

Wave Length (Price progress)
Wave Volume (Transactional force)
Wave Duration (Time spent in bars)

WeisWave_Duration_Pro tracks the Duration (bar count) of each completed wave using a highly optimized, stateful non-repainting calculation engine. It plots cumulative wave duration as a clean, dynamically colored separate-window histogram, enabling traders to identify institutional absorption, momentum velocity, and trend exhaustion.

2. Mathematical Foundations and Wave Mechanics

The dynamic wave structure is determined by an ATR-based state machine. For each bar t, the indicator increments or resets the active wave duration.

A. Linear Wave Duration Formula

Within an active wave of direction D_t, the duration is incremented linearly by exactly 1 for each bar:

\text{Duration}_t = \text{Duration}_{t-1} + 1 \quad \text{for } D_t = D_{t-1}

When a reversal is triggered, the duration resets to 1 for the new opposite wave:

\text{Duration}_t = 1 \quad \text{for } D_t \ne D_{t-1}

Up Wave Duration (DodgerBlue Histogram > 0): Plotted as a positive value (+\text{Duration}_t).
Down Wave Duration (Crimson Histogram < 0): Plotted as a negative value (-\text{Duration}_t).

Because the increment is strictly linear (1, 2, 3, \dots, N), the top boundary of each wave histogram forms a perfectly straight, linear diagonal slope (45-degree angle). This creates clean, regular geometric right triangles on the chart, which serves as the baseline of market time.

B. ATR-Based Reversal Threshold

The swing direction D_t \in \{1, -1\} is tracked dynamically using a multiplier M (InpMultiplier) of the Average True Range (ATR):

\text{Threshold}_t = M \times \text{ATR}_t

Up Swing to Down Swing Reversal: C_t < \max(H_{\text{wave}}) - \text{Threshold}_t
Down Swing to Up Swing Reversal: C_t > \min(L_{\text{wave}}) + \text{Threshold}_t

3. MQL5 UI & Architecture

Decoupled Math Engine (WeisWave_Duration_Calculator.mqh): All wave duration accumulation and state-tracking are encapsulated inside the highly optimized CWeisWaveDurationCalculator include class.
Strict O(1) Real-Time Tick Optimization: The calculator uses the platform's prev_calculated parameter to process only the newest incoming bar on every tick. Instead of running historical loops over thousands of bars, the calculator recomputes only the current live bar (index rates_total - 1), keeping CPU overhead at absolute zero.
100% Non-Repainting and EA-Compatible: Standard Zigzag-based indicators repaint the history as new price extremes are made, making them useless for backtesting. WeisWave_Duration_Pro locks all wave duration states into historical arrays once a bar closes, ensuring that past waves are permanently frozen and 100% reliable for automated Expert Advisors (EAs).
High-Performance MT5 Price Copying: To guarantee compatibility across all MT5 terminals and Strategy Tester builds, the indicator uses native 1-bar price copying routines (CopyHigh, CopyLow, CopyClose), completely avoiding outdated MQL4-style functions.

4. Parameters

ATR Period (InpATRPeriod): The lookback period used to calculate the dynamic Average True Range (Default: 14 bars).
Multiplier (InpMultiplier): The number of ATRs required to trigger a wave reversal (Default: 2.5). Lower values (e.g. 2.0 on M3) capture micro-swings; higher values (e.g. 3.0 on H1) filter out intraday consolidations.

5. Advanced Wyckoffian & VSA Trading Strategies

Comparing the geometric shapes of WeisWave_Pro (Volume) and WeisWave_Duration_Pro (Time) allows traders to apply Wyckoff's Law of Effort versus Result with high precision:

A. The "Sharp" Triangle (Climax / High-Velocity Momentum)

Setup: A wave shows a very short horizontal duration on WeisWave_Duration_Pro but exhibits a very tall, steep vertical climb on WeisWave_Pro (Volume) and price length.
Interpretation: Huge transactional volume is flowing in over a very short period of time. This is a high-velocity momentum thrust (e.g. breakout) or a sudden, violent Buying/Selling Climax.
Action: Prepare to trail your stop closely (if in trend) or look for immediate reversal confirmations at major support/resistance levels.

B. The "Fat / Extended" Triangle (Institutional Absorption / SOT)

Setup: A wave has a very long horizontal duration on WeisWave_Duration_Pro (stretching over 30-50 bars), but the price length shows a Shortening of the Thrust (SOT) and the cumulative volume is flat or lagging.
Interpretation: Time is passing and effort is being exerted, but the price cannot make upward or downward progress. This represents Institutional Absorption (the "Composite Man" is using passive limit orders to absorb all market orders, putting a lid on the price).
Action: This indicates a massive coiling of market energy. Prepare for a violent breakout in the opposite direction once the absorption phase is complete.

C. Testing Springs and Upthrusts

Spring Test: During a bearish breakout below support, if the downward wave duration is short and the volume is low, it is a valid "Spring" (No Supply) [1]. Go Long once the price closes back inside the range.
Upthrust Test: During a bullish breakout above resistance, if the upward wave duration is short and the volume is low, it is a valid "Upthrust" (No Demand) [1]. Go Short once the price closes back inside the range.

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