mirror of
https://github.com/softwaredevelop/mql5.git
synced 2026-07-27 20:47:44 +00:00
refactor: Optimized for incremental calculation + Modular architecture
This commit is contained in:
Toh4iem9
@@ -1,13 +1,14 @@
|
||||
//+------------------------------------------------------------------+
|
||||
//| KeltnerChannel_Calculator.mqh|
|
||||
//| Calculation engine for Standard and Heikin Ashi Keltner Channels.|
|
||||
//| VERSION 2.01: Fixed enum definition visibility. |
|
||||
//| Copyright 2025, xxxxxxxx |
|
||||
//+------------------------------------------------------------------+
|
||||
#property copyright "Copyright 2025, xxxxxxxx"
|
||||
|
||||
#include <MyIncludes\HeikinAshi_Tools.mqh>
|
||||
#include <MyIncludes\MovingAverage_Engine.mqh>
|
||||
#include <MyIncludes\ATR_Calculator.mqh>
|
||||
|
||||
//--- Re-use the enum from the main file
|
||||
//--- Define the Enum here, BEFORE the class uses it ---
|
||||
enum ENUM_ATR_SOURCE
|
||||
{
|
||||
ATR_SOURCE_STANDARD, // Calculate ATR from standard candles
|
||||
@@ -15,227 +16,147 @@ enum ENUM_ATR_SOURCE
|
||||
};
|
||||
|
||||
//+==================================================================+
|
||||
//| |
|
||||
//| CLASS 1: CKeltnerChannelCalculator (Base Class) |
|
||||
//| |
|
||||
//+==================================================================+
|
||||
class CKeltnerChannelCalculator
|
||||
{
|
||||
protected:
|
||||
int m_ma_period, m_atr_period;
|
||||
ENUM_MA_METHOD m_ma_method;
|
||||
double m_multiplier;
|
||||
ENUM_ATR_SOURCE m_atr_source;
|
||||
|
||||
double m_ma_price[];
|
||||
//--- Composition: Use dedicated engines
|
||||
CMovingAverageCalculator *m_ma_calc;
|
||||
CATRCalculator *m_atr_calc;
|
||||
|
||||
virtual bool PrepareMAPriceSeries(int rates_total, const double &open[], const double &high[], const double &low[], const double &close[], ENUM_APPLIED_PRICE price_type);
|
||||
//--- Internal Buffers for intermediate results
|
||||
double m_atr_buffer[];
|
||||
|
||||
virtual void CreateCalculators(void);
|
||||
|
||||
public:
|
||||
CKeltnerChannelCalculator(void) {};
|
||||
virtual ~CKeltnerChannelCalculator(void) {};
|
||||
CKeltnerChannelCalculator(void);
|
||||
virtual ~CKeltnerChannelCalculator(void);
|
||||
|
||||
bool Init(int ma_p, ENUM_MA_METHOD ma_m, int atr_p, double mult, ENUM_ATR_SOURCE atr_src);
|
||||
void Calculate(int rates_total, const double &open[], const double &high[], const double &low[], const double &close[], ENUM_APPLIED_PRICE price_type,
|
||||
|
||||
void Calculate(int rates_total, int prev_calculated, const double &open[], const double &high[], const double &low[], const double &close[], ENUM_APPLIED_PRICE price_type,
|
||||
double &middle_buffer[], double &upper_buffer[], double &lower_buffer[]);
|
||||
};
|
||||
|
||||
//+------------------------------------------------------------------+
|
||||
//| CKeltnerChannelCalculator: Initialization |
|
||||
//| Constructor |
|
||||
//+------------------------------------------------------------------+
|
||||
CKeltnerChannelCalculator::CKeltnerChannelCalculator(void)
|
||||
{
|
||||
m_ma_calc = NULL;
|
||||
m_atr_calc = NULL;
|
||||
}
|
||||
|
||||
//+------------------------------------------------------------------+
|
||||
//| Destructor |
|
||||
//+------------------------------------------------------------------+
|
||||
CKeltnerChannelCalculator::~CKeltnerChannelCalculator(void)
|
||||
{
|
||||
if(CheckPointer(m_ma_calc) != POINTER_INVALID)
|
||||
delete m_ma_calc;
|
||||
if(CheckPointer(m_atr_calc) != POINTER_INVALID)
|
||||
delete m_atr_calc;
|
||||
}
|
||||
|
||||
//+------------------------------------------------------------------+
|
||||
//| Factory Method (Virtual) |
|
||||
//+------------------------------------------------------------------+
|
||||
void CKeltnerChannelCalculator::CreateCalculators(void)
|
||||
{
|
||||
m_ma_calc = new CMovingAverageCalculator();
|
||||
}
|
||||
|
||||
//+------------------------------------------------------------------+
|
||||
//| Init |
|
||||
//+------------------------------------------------------------------+
|
||||
bool CKeltnerChannelCalculator::Init(int ma_p, ENUM_MA_METHOD ma_m, int atr_p, double mult, ENUM_ATR_SOURCE atr_src)
|
||||
{
|
||||
m_ma_period = (ma_p < 1) ? 1 : ma_p;
|
||||
m_ma_method = ma_m;
|
||||
m_atr_period = (atr_p < 1) ? 1 : atr_p;
|
||||
m_multiplier = (mult <= 0) ? 2.0 : mult;
|
||||
m_atr_source = atr_src;
|
||||
|
||||
// Create MA Calculator
|
||||
CreateCalculators();
|
||||
|
||||
// Create ATR Calculator based on source selection
|
||||
// Note: CATRCalculator_HA is defined in ATR_Calculator.mqh?
|
||||
// No, usually in the same file or we need to ensure visibility.
|
||||
// Assuming ATR_Calculator.mqh contains both classes.
|
||||
|
||||
if(atr_src == ATR_SOURCE_HEIKIN_ASHI)
|
||||
m_atr_calc = new CATRCalculator_HA();
|
||||
else
|
||||
m_atr_calc = new CATRCalculator();
|
||||
|
||||
if(CheckPointer(m_ma_calc) == POINTER_INVALID || !m_ma_calc.Init(ma_p, (ENUM_MA_TYPE)ma_m))
|
||||
return false;
|
||||
|
||||
if(CheckPointer(m_atr_calc) == POINTER_INVALID || !m_atr_calc.Init(atr_p, ATR_POINTS))
|
||||
return false;
|
||||
|
||||
return true;
|
||||
}
|
||||
|
||||
//+------------------------------------------------------------------+
|
||||
//| CKeltnerChannelCalculator: Main Calculation Method (Shared Logic)|
|
||||
//| Main Calculation |
|
||||
//+------------------------------------------------------------------+
|
||||
void CKeltnerChannelCalculator::Calculate(int rates_total, const double &open[], const double &high[], const double &low[], const double &close[], ENUM_APPLIED_PRICE price_type,
|
||||
void CKeltnerChannelCalculator::Calculate(int rates_total, int prev_calculated, const double &open[], const double &high[], const double &low[], const double &close[], ENUM_APPLIED_PRICE price_type,
|
||||
double &middle_buffer[], double &upper_buffer[], double &lower_buffer[])
|
||||
{
|
||||
int start_pos = MathMax(m_ma_period, m_atr_period);
|
||||
if(rates_total <= start_pos)
|
||||
if(CheckPointer(m_ma_calc) == POINTER_INVALID || CheckPointer(m_atr_calc) == POINTER_INVALID)
|
||||
return;
|
||||
|
||||
if(!PrepareMAPriceSeries(rates_total, open, high, low, close, price_type))
|
||||
return;
|
||||
//--- Resize internal ATR buffer
|
||||
if(ArraySize(m_atr_buffer) != rates_total)
|
||||
ArrayResize(m_atr_buffer, rates_total);
|
||||
|
||||
double atr_buffer[], tr[];
|
||||
ArrayResize(atr_buffer, rates_total);
|
||||
ArrayResize(tr, rates_total);
|
||||
//--- 1. Calculate Middle Line (MA) - Incremental
|
||||
m_ma_calc.Calculate(rates_total, prev_calculated, price_type, open, high, low, close, middle_buffer);
|
||||
|
||||
//--- STEP 1: Calculate True Range based on the selected ATR source
|
||||
if(m_atr_source == ATR_SOURCE_HEIKIN_ASHI)
|
||||
{
|
||||
CHeikinAshi_Calculator ha_calc;
|
||||
double ha_open[], ha_high[], ha_low[], ha_close[];
|
||||
ArrayResize(ha_open, rates_total);
|
||||
ArrayResize(ha_high, rates_total);
|
||||
ArrayResize(ha_low, rates_total);
|
||||
ArrayResize(ha_close, rates_total);
|
||||
ha_calc.Calculate(rates_total, open, high, low, close, ha_open, ha_high, ha_low, ha_close);
|
||||
for(int i = 1; i < rates_total; i++)
|
||||
tr[i] = MathMax(ha_high[i], ha_close[i-1]) - MathMin(ha_low[i], ha_close[i-1]);
|
||||
}
|
||||
else // ATR_SOURCE_STANDARD
|
||||
{
|
||||
for(int i = 1; i < rates_total; i++)
|
||||
tr[i] = MathMax(high[i], close[i-1]) - MathMin(low[i], close[i-1]);
|
||||
}
|
||||
//--- 2. Calculate ATR - Incremental
|
||||
// Note: ATR engine ignores price_type for TR calculation (uses High/Low/Close)
|
||||
m_atr_calc.Calculate(rates_total, prev_calculated, open, high, low, close, m_atr_buffer);
|
||||
|
||||
for(int i = 1; i < rates_total; i++)
|
||||
//--- 3. Calculate Bands - Incremental Loop
|
||||
int start_index = (prev_calculated > 0) ? prev_calculated - 1 : 0;
|
||||
|
||||
int ma_period = m_ma_calc.GetPeriod();
|
||||
int atr_period = m_atr_calc.GetPeriod();
|
||||
int start_pos = MathMax(ma_period, atr_period);
|
||||
|
||||
int loop_start = MathMax(start_pos, start_index);
|
||||
|
||||
for(int i = loop_start; i < rates_total; i++)
|
||||
{
|
||||
//--- STEP 2: Calculate ATR (Wilder's smoothing)
|
||||
if(i == m_atr_period)
|
||||
if(middle_buffer[i] != EMPTY_VALUE && m_atr_buffer[i] != EMPTY_VALUE)
|
||||
{
|
||||
double sum=0;
|
||||
for(int j=1; j<=m_atr_period; j++)
|
||||
sum+=tr[j];
|
||||
atr_buffer[i]=sum/m_atr_period;
|
||||
upper_buffer[i] = middle_buffer[i] + (m_atr_buffer[i] * m_multiplier);
|
||||
lower_buffer[i] = middle_buffer[i] - (m_atr_buffer[i] * m_multiplier);
|
||||
}
|
||||
else
|
||||
if(i > m_atr_period)
|
||||
atr_buffer[i] = (atr_buffer[i-1]*(m_atr_period-1)+tr[i])/m_atr_period;
|
||||
|
||||
//--- STEP 3: Calculate Middle Line (MA)
|
||||
if(i >= m_ma_period - 1)
|
||||
{
|
||||
switch(m_ma_method)
|
||||
{
|
||||
case MODE_EMA:
|
||||
case MODE_SMMA:
|
||||
if(i==m_ma_period-1)
|
||||
{
|
||||
double sum=0;
|
||||
for(int j=0; j<m_ma_period; j++)
|
||||
sum+=m_ma_price[i-j];
|
||||
middle_buffer[i]=sum/m_ma_period;
|
||||
}
|
||||
else
|
||||
{
|
||||
if(m_ma_method==MODE_EMA)
|
||||
{
|
||||
double pr=2.0/(m_ma_period+1.0);
|
||||
middle_buffer[i]=m_ma_price[i]*pr+middle_buffer[i-1]*(1.0-pr);
|
||||
}
|
||||
else
|
||||
middle_buffer[i]=(middle_buffer[i-1]*(m_ma_period-1)+m_ma_price[i])/m_ma_period;
|
||||
}
|
||||
break;
|
||||
case MODE_LWMA:
|
||||
{double sum=0,w_sum=0; for(int j=0; j<m_ma_period; j++) {int w=m_ma_period-j; sum+=m_ma_price[i-j]*w; w_sum+=w;} if(w_sum>0) middle_buffer[i]=sum/w_sum;}
|
||||
break;
|
||||
default:
|
||||
{double sum=0; for(int j=0; j<m_ma_period; j++) sum+=m_ma_price[i-j]; middle_buffer[i]=sum/m_ma_period;}
|
||||
break;
|
||||
}
|
||||
}
|
||||
|
||||
//--- STEP 4: Calculate Bands
|
||||
if(i >= start_pos)
|
||||
{
|
||||
upper_buffer[i] = middle_buffer[i] + (atr_buffer[i] * m_multiplier);
|
||||
lower_buffer[i] = middle_buffer[i] - (atr_buffer[i] * m_multiplier);
|
||||
upper_buffer[i] = EMPTY_VALUE;
|
||||
lower_buffer[i] = EMPTY_VALUE;
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
//+------------------------------------------------------------------+
|
||||
//| CKeltnerChannelCalculator: Prepares the standard MA source price.|
|
||||
//+------------------------------------------------------------------+
|
||||
bool CKeltnerChannelCalculator::PrepareMAPriceSeries(int rates_total, const double &open[], const double &high[], const double &low[], const double &close[], ENUM_APPLIED_PRICE price_type)
|
||||
{
|
||||
ArrayResize(m_ma_price, rates_total);
|
||||
switch(price_type)
|
||||
{
|
||||
case PRICE_OPEN:
|
||||
ArrayCopy(m_ma_price, open, 0, 0, rates_total);
|
||||
break;
|
||||
case PRICE_HIGH:
|
||||
ArrayCopy(m_ma_price, high, 0, 0, rates_total);
|
||||
break;
|
||||
case PRICE_LOW:
|
||||
ArrayCopy(m_ma_price, low, 0, 0, rates_total);
|
||||
break;
|
||||
case PRICE_MEDIAN:
|
||||
for(int i=0; i<rates_total; i++)
|
||||
m_ma_price[i] = (high[i]+low[i])/2.0;
|
||||
break;
|
||||
case PRICE_TYPICAL:
|
||||
for(int i=0; i<rates_total; i++)
|
||||
m_ma_price[i] = (high[i]+low[i]+close[i])/3.0;
|
||||
break;
|
||||
case PRICE_WEIGHTED:
|
||||
for(int i=0; i<rates_total; i++)
|
||||
m_ma_price[i] = (high[i]+low[i]+2*close[i])/4.0;
|
||||
break;
|
||||
default:
|
||||
ArrayCopy(m_ma_price, close, 0, 0, rates_total);
|
||||
break;
|
||||
}
|
||||
return true;
|
||||
}
|
||||
|
||||
//+==================================================================+
|
||||
//| |
|
||||
//| CLASS 2: CKeltnerChannelCalculator_HA |
|
||||
//| |
|
||||
//| CLASS 2: CKeltnerChannelCalculator_HA |
|
||||
//+==================================================================+
|
||||
class CKeltnerChannelCalculator_HA : public CKeltnerChannelCalculator
|
||||
{
|
||||
private:
|
||||
CHeikinAshi_Calculator m_ha_calculator;
|
||||
protected:
|
||||
virtual bool PrepareMAPriceSeries(int rates_total, const double &open[], const double &high[], const double &low[], const double &close[], ENUM_APPLIED_PRICE price_type) override;
|
||||
virtual void CreateCalculators(void) override;
|
||||
};
|
||||
|
||||
//+------------------------------------------------------------------+
|
||||
//| CKeltnerChannelCalculator_HA: Prepares the Heikin Ashi MA source.|
|
||||
//+------------------------------------------------------------------+
|
||||
bool CKeltnerChannelCalculator_HA::PrepareMAPriceSeries(int rates_total, const double &open[], const double &high[], const double &low[], const double &close[], ENUM_APPLIED_PRICE price_type)
|
||||
void CKeltnerChannelCalculator_HA::CreateCalculators(void)
|
||||
{
|
||||
double ha_open[], ha_high[], ha_low[], ha_close[];
|
||||
ArrayResize(ha_open, rates_total);
|
||||
ArrayResize(ha_high, rates_total);
|
||||
ArrayResize(ha_low, rates_total);
|
||||
ArrayResize(ha_close, rates_total);
|
||||
m_ha_calculator.Calculate(rates_total, open, high, low, close, ha_open, ha_high, ha_low, ha_close);
|
||||
|
||||
ArrayResize(m_ma_price, rates_total);
|
||||
switch(price_type)
|
||||
{
|
||||
case PRICE_OPEN:
|
||||
ArrayCopy(m_ma_price, ha_open, 0, 0, rates_total);
|
||||
break;
|
||||
case PRICE_HIGH:
|
||||
ArrayCopy(m_ma_price, ha_high, 0, 0, rates_total);
|
||||
break;
|
||||
case PRICE_LOW:
|
||||
ArrayCopy(m_ma_price, ha_low, 0, 0, rates_total);
|
||||
break;
|
||||
case PRICE_MEDIAN:
|
||||
for(int i=0; i<rates_total; i++)
|
||||
m_ma_price[i] = (ha_high[i]+ha_low[i])/2.0;
|
||||
break;
|
||||
case PRICE_TYPICAL:
|
||||
for(int i=0; i<rates_total; i++)
|
||||
m_ma_price[i] = (ha_high[i]+ha_low[i]+ha_close[i])/3.0;
|
||||
break;
|
||||
case PRICE_WEIGHTED:
|
||||
for(int i=0; i<rates_total; i++)
|
||||
m_ma_price[i] = (ha_high[i]+ha_low[i]+2*ha_close[i])/4.0;
|
||||
break;
|
||||
default:
|
||||
ArrayCopy(m_ma_price, ha_close, 0, 0, rates_total);
|
||||
break;
|
||||
}
|
||||
return true;
|
||||
// Override to create HA version of MA calculator
|
||||
m_ma_calc = new CMovingAverageCalculator_HA();
|
||||
}
|
||||
//+------------------------------------------------------------------+
|
||||
//+------------------------------------------------------------------+
|
||||
|
||||
Reference in New Issue
Block a user