new files added

2026-08-13 04:18:04 +00:00 · 2026-02-14 15:36:18 +01:00
parent dc792148ea
commit 023f95e88b
1 changed files with 163 additions and 0 deletions
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+//+------------------------------------------------------------------+
+//|                                            FDI_Calculator.mqh    |
+//|      Engine for Fractal Dimension Index (Carlos Sevcik Method).  |
+//|      Measures curve complexity (1.0 = Line, 2.0 = Plane).        |
+//|                                        Copyright 2026, xxxxxxxx  |
+//+------------------------------------------------------------------+
+#property copyright "Copyright 2026, xxxxxxxx"
+
+//+------------------------------------------------------------------+
+//|                                                                  |
+//+------------------------------------------------------------------+
+class CFDICalculator
+  {
+protected:
+   int               m_period;
+   double            m_price[]; // Buffer for source prices
+
+   // Pre-calculated constant for the formula denominator
+   double            m_log_denominator;
+
+   virtual bool      PreparePriceSeries(int rates_total, int start_index, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[]);
+
+public:
+                     CFDICalculator(void) {};
+   virtual          ~CFDICalculator(void) {};
+
+   bool              Init(int period);
+
+   void              Calculate(int rates_total, int prev_calculated, ENUM_APPLIED_PRICE price_type,
+                               const double &open[], const double &high[], const double &low[], const double &close[],
+                               double &out_fdi[]);
+  };
+
+//+------------------------------------------------------------------+
+//| Init                                                             |
+//+------------------------------------------------------------------+
+bool CFDICalculator::Init(int period)
+  {
+   m_period = (period < 10) ? 10 : period;
+
+// Formula Denominator: Log( 2 * (N-1) )
+// Note: Sevcik formula uses Natural Log (ln) or Log10? Standard implementation uses Log.
+// As long as numerator uses same base, it matches. MQL MathLog is Natural Log (ln).
+   m_log_denominator = MathLog(2.0 * (m_period - 1));
+
+   return true;
+  }
+
+//+------------------------------------------------------------------+
+//| Main Calculation (Sevcik Method)                                 |
+//+------------------------------------------------------------------+
+void CFDICalculator::Calculate(int rates_total, int prev_calculated, ENUM_APPLIED_PRICE price_type,
+                               const double &open[], const double &high[], const double &low[], const double &close[],
+                               double &out_fdi[])
+  {
+   if(rates_total < m_period)
+      return;
+
+   int start_index = (prev_calculated > m_period) ? prev_calculated - 1 : m_period;
+
+   if(ArraySize(m_price) != rates_total)
+      ArrayResize(m_price, rates_total);
+   if(!PreparePriceSeries(rates_total, (prev_calculated>0?prev_calculated-1:0), price_type, open, high, low, close))
+      return;
+
+// Main Loop
+   for(int i = start_index; i < rates_total; i++)
+     {
+      // 1. Find Highest and Lowest in the window [i - Period + 1 ... i]
+      double highest = -DBL_MAX;
+      double lowest  = DBL_MAX;
+
+      // Optimization: We could use ArrayMaximum if we managed a specific array subset,
+      // but loop is fast enough for typical periods (30-100).
+      for(int k=0; k<m_period; k++)
+        {
+         double p = m_price[i-k];
+         if(p > highest)
+            highest = p;
+         if(p < lowest)
+            lowest  = p;
+        }
+
+      double price_range = highest - lowest;
+
+      // 2. Calculate Path Length (L)
+      // L = Sum of Sqrt( dx^2 + dy^2 )
+      // dx = 1 / (N-1)  (Normalized Time step)
+      // dy = (Price[k] - Price[k-1]) / Range  (Normalized Price diff)
+
+      double path_length = 0;
+      double diff_x = 1.0 / (double)(m_period - 1); // Constant time step
+      double diff_x_sq = diff_x * diff_x;
+
+      if(price_range > 1.0e-9)
+        {
+         for(int k=1; k<m_period; k++) // Loop through N points implies N-1 segments
+           {
+            double diff_price = m_price[i - m_period + 1 + k] - m_price[i - m_period + 1 + k - 1]; // Forward diff in window
+            double diff_y = diff_price / price_range;
+
+            // Pythagorean theorem
+            path_length += MathSqrt(diff_x_sq + (diff_y * diff_y));
+           }
+        }
+      else
+        {
+         // Flat line = straight line
+         path_length = 1.0;
+        }
+
+      // 3. Compute FDI
+      // FDI = 1 + [ Log(L) + Log(2) ] / Log( 2*(N-1) )
+      if(path_length > 0)
+        {
+         double fdi = 1.0 + (MathLog(path_length) + MathLog(2.0)) / m_log_denominator;
+         out_fdi[i] = fdi;
+        }
+      else
+        {
+         out_fdi[i] = 1.0;
+        }
+     }
+  }
+
+//+------------------------------------------------------------------+
+//| Prepare Price                                                    |
+//+------------------------------------------------------------------+
+bool CFDICalculator::PreparePriceSeries(int rates_total, int start_index, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[])
+  {
+   for(int i = start_index; i < rates_total; i++)
+     {
+      switch(price_type)
+        {
+         case PRICE_CLOSE:
+            m_price[i] = close[i];
+            break;
+         case PRICE_OPEN:
+            m_price[i] = open[i];
+            break;
+         case PRICE_HIGH:
+            m_price[i] = high[i];
+            break;
+         case PRICE_LOW:
+            m_price[i] = low[i];
+            break;
+         case PRICE_MEDIAN:
+            m_price[i] = (high[i]+low[i])/2.0;
+            break;
+         case PRICE_TYPICAL:
+            m_price[i] = (high[i]+low[i]+close[i])/3.0;
+            break;
+         case PRICE_WEIGHTED:
+            m_price[i] = (high[i]+low[i]+2*close[i])/4.0;
+            break;
+         default:
+            m_price[i] = close[i];
+            break;
+        }
+     }
+   return true;
+  }
+//+------------------------------------------------------------------+