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refactor(indicators): Added CalculateOnArray support

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Toh4iem9
2026-01-18 19:21:26 +01:00
parent bab5852daa
commit 05bcdbf412
1 changed files with 37 additions and 41 deletions
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Include/MyIncludes/Windowed_MA_Calculator.mqh
+37 -41
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@@ -1,14 +1,14 @@
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
//| Windowed_MA_Calculator.mqh | //| Windowed_MA_Calculator.mqh |
//| Calculation engine for Hann Windowed FIR filter. | //| Calculation engine for Hann Windowed FIR filter. |
//| VERSION 2.00: Optimized for incremental calculation. | //| VERSION 2.10: Added CalculateOnArray support. |
//| Copyright 2025, xxxxxxxx | //| Copyright 2026, xxxxxxxx |
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
#property copyright "Copyright 2025, xxxxxxxx" #property copyright "Copyright 2026, xxxxxxxx"
#include <MyIncludes\HeikinAshi_Tools.mqh> #include <MyIncludes\HeikinAshi_Tools.mqh>
enum ENUM_INPUT_SOURCE { SOURCE_PRICE, SOURCE_MOMENTUM }; // Price or (Close-Open) enum ENUM_INPUT_SOURCE { SOURCE_PRICE, SOURCE_MOMENTUM };
//+==================================================================+ //+==================================================================+
//| CLASS 1: CWindowedMACalculator (Base Class) | //| CLASS 1: CWindowedMACalculator (Base Class) |
@@ -19,14 +19,13 @@ protected:
int m_period; int m_period;
ENUM_INPUT_SOURCE m_source_type; ENUM_INPUT_SOURCE m_source_type;
//--- Persistent Buffer for Incremental Calculation //--- Persistent Buffer for Incremental Calculation (OHLC mode)
double m_source_data[]; double m_source_data[];
//--- Pre-calculated Weights //--- Pre-calculated Weights
double m_weights[]; double m_weights[];
double m_weight_sum; double m_weight_sum;
//--- Updated: Accepts start_index
virtual bool PrepareSourceData(int rates_total, int start_index, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[]); virtual bool PrepareSourceData(int rates_total, int start_index, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[]);
public: public:
@@ -35,8 +34,11 @@ public:
bool Init(int period, ENUM_INPUT_SOURCE source_type); bool Init(int period, ENUM_INPUT_SOURCE source_type);
//--- Updated: Accepts prev_calculated //--- Standard Calculation (OHLC)
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 &output_buffer[]); 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 &output_buffer[]);
//--- Calculation on Custom Array
void CalculateOnArray(int rates_total, int prev_calculated, const double &src_buffer[], double &output_buffer[]);
}; };
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
@@ -47,21 +49,14 @@ bool CWindowedMACalculator::Init(int period, ENUM_INPUT_SOURCE source_type)
m_period = (period < 2) ? 2 : period; m_period = (period < 2) ? 2 : period;
m_source_type = source_type; m_source_type = source_type;
// Pre-calculate Weights // Pre-calculate Weights (Ehlers' Modified Hann)
ArrayResize(m_weights, m_period); ArrayResize(m_weights, m_period);
m_weight_sum = 0; m_weight_sum = 0;
for(int j = 0; j < m_period; j++) for(int j = 0; j < m_period; j++)
{ {
// FIX: Changed from Standard Hann to Ehlers' Modified Hann // Ehlers formula: 1 - cos(2*pi*(j+1) / (N+1))
// Standard: 0.5 * (1 - cos(2*pi*j / (N-1))) -> Edges are ZERO.
// Ehlers: 1.0 - cos(2*pi*(j+1) / (N+1)) -> Edges are NON-ZERO.
// Ehlers uses 1-based indexing in formula (count), we use 0-based (j).
// So (count) becomes (j + 1.0).
double weight = 1.0 - cos(2.0 * M_PI * (j + 1.0) / (m_period + 1.0)); double weight = 1.0 - cos(2.0 * M_PI * (j + 1.0) / (m_period + 1.0));
m_weights[j] = weight; m_weights[j] = weight;
m_weight_sum += weight; m_weight_sum += weight;
} }
@@ -70,48 +65,50 @@ bool CWindowedMACalculator::Init(int period, ENUM_INPUT_SOURCE source_type)
} }
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
//| Main Calculation (Optimized) | //| Main Calculation (Wrapper for OHLC) |
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
void CWindowedMACalculator::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 &output_buffer[]) void CWindowedMACalculator::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 &output_buffer[])
{ {
if(rates_total < m_period) if(rates_total < m_period)
return; return;
//--- 1. Determine Start Index int start_index = (prev_calculated == 0) ? 0 : prev_calculated - 1;
int start_index;
if(prev_calculated == 0)
start_index = 0;
else
start_index = prev_calculated - 1;
//--- 2. Resize Buffer
if(ArraySize(m_source_data) != rates_total) if(ArraySize(m_source_data) != rates_total)
ArrayResize(m_source_data, rates_total); ArrayResize(m_source_data, rates_total);
//--- 3. Prepare Source Data (Optimized)
if(!PrepareSourceData(rates_total, start_index, price_type, open, high, low, close)) if(!PrepareSourceData(rates_total, start_index, price_type, open, high, low, close))
return; return;
//--- 4. Calculate Windowed MA (Incremental Loop) // Delegate to generic array calculation
CalculateOnArray(rates_total, prev_calculated, m_source_data, output_buffer);
}
//+------------------------------------------------------------------+
//| Calculate On Array (Core Logic) |
//+------------------------------------------------------------------+
void CWindowedMACalculator::CalculateOnArray(int rates_total, int prev_calculated, const double &src_buffer[], double &output_buffer[])
{
if(rates_total < m_period)
return;
int start_index = (prev_calculated == 0) ? 0 : prev_calculated - 1;
int loop_start = MathMax(m_period - 1, start_index); int loop_start = MathMax(m_period - 1, start_index);
for(int i = loop_start; i < rates_total; i++) for(int i = loop_start; i < rates_total; i++)
{ {
double sum = 0; double sum = 0;
// Convolution: Sum(Src[i-j] * Weight[j])
// Convolution: Sum(Price[i-j] * Weight[j])
// Optimization: Weights are pre-calculated
for(int j = 0; j < m_period; j++) for(int j = 0; j < m_period; j++)
{ {
sum += m_source_data[i-j] * m_weights[j]; sum += src_buffer[i-j] * m_weights[j];
} }
output_buffer[i] = sum / m_weight_sum; output_buffer[i] = sum / m_weight_sum;
} }
} }
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
//| Prepare Source Data (Standard - Optimized) | //| Prepare Source Data (Standard) |
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
bool CWindowedMACalculator::PrepareSourceData(int rates_total, int start_index, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[]) bool CWindowedMACalculator::PrepareSourceData(int rates_total, int start_index, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[])
{ {
@@ -134,13 +131,13 @@ bool CWindowedMACalculator::PrepareSourceData(int rates_total, int start_index,
m_source_data[i] = low[i]; m_source_data[i] = low[i];
break; break;
case PRICE_MEDIAN: case PRICE_MEDIAN:
m_source_data[i] = (high[i]+low[i])/2.0; m_source_data[i] = (high[i] + low[i]) / 2.0;
break; break;
case PRICE_TYPICAL: case PRICE_TYPICAL:
m_source_data[i] = (high[i]+low[i]+close[i])/3.0; m_source_data[i] = (high[i] + low[i] + close[i]) / 3.0;
break; break;
case PRICE_WEIGHTED: case PRICE_WEIGHTED:
m_source_data[i] = (high[i]+low[i]+2*close[i])/4.0; m_source_data[i] = (high[i] + low[i] + 2 * close[i]) / 4.0;
break; break;
default: default:
m_source_data[i] = close[i]; m_source_data[i] = close[i];
@@ -156,13 +153,12 @@ bool CWindowedMACalculator::PrepareSourceData(int rates_total, int start_index,
} }
//+==================================================================+ //+==================================================================+
//| CLASS 2: CWindowedMACalculator_HA (Heikin Ashi) | //| CLASS 2: CWindowedMACalculator_HA |
//+==================================================================+ //+==================================================================+
class CWindowedMACalculator_HA : public CWindowedMACalculator class CWindowedMACalculator_HA : public CWindowedMACalculator
{ {
private: private:
CHeikinAshi_Calculator m_ha_calculator; CHeikinAshi_Calculator m_ha_calculator;
// Internal HA buffers
double m_ha_open[], m_ha_high[], m_ha_low[], m_ha_close[]; double m_ha_open[], m_ha_high[], m_ha_low[], m_ha_close[];
protected: protected:
@@ -170,7 +166,7 @@ protected:
}; };
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
//| Prepare Source Data (Heikin Ashi - Optimized) | //| Prepare Source Data (Heikin Ashi) |
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
bool CWindowedMACalculator_HA::PrepareSourceData(int rates_total, int start_index, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[]) bool CWindowedMACalculator_HA::PrepareSourceData(int rates_total, int start_index, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[])
{ {
@@ -204,13 +200,13 @@ bool CWindowedMACalculator_HA::PrepareSourceData(int rates_total, int start_inde
m_source_data[i] = m_ha_low[i]; m_source_data[i] = m_ha_low[i];
break; break;
case PRICE_MEDIAN: case PRICE_MEDIAN:
m_source_data[i] = (m_ha_high[i]+m_ha_low[i])/2.0; m_source_data[i] = (m_ha_high[i] + m_ha_low[i]) / 2.0;
break; break;
case PRICE_TYPICAL: case PRICE_TYPICAL:
m_source_data[i] = (m_ha_high[i]+m_ha_low[i]+m_ha_close[i])/3.0; m_source_data[i] = (m_ha_high[i] + m_ha_low[i] + m_ha_close[i]) / 3.0;
break; break;
case PRICE_WEIGHTED: case PRICE_WEIGHTED:
m_source_data[i] = (m_ha_high[i]+m_ha_low[i]+2*m_ha_close[i])/4.0; m_source_data[i] = (m_ha_high[i] + m_ha_low[i] + 2 * m_ha_close[i]) / 4.0;
break; break;
default: default:
m_source_data[i] = m_ha_close[i]; m_source_data[i] = m_ha_close[i];