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refactor(indicators): Optimized for incremental calculation

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Toh4iem9
2025-12-28 19:01:50 +01:00
parent 1f5d451662
commit 062184b07d
1 changed files with 219 additions and 33 deletions
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Include/MyIncludes/CutlerRSI_Calculator.mqh
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//+------------------------------------------------------------------+
//| CutlerRSI_Calculator.mqh|
//| Wrapper for the CutlerRSI_Engine to produce RSI output. |
//| VERSION 2.00: Optimized for incremental calculation. |
//| Copyright 2025, xxxxxxxx |
//+------------------------------------------------------------------+
#property copyright "Copyright 2025, xxxxxxxx"
#include <MyIncludes\CutlerRSI_Engine.mqh>
#include <MyIncludes\HeikinAshi_Tools.mqh>
#include <MyIncludes\MovingAverage_Engine.mqh>
//--- Abstract base class for polymorphism
//+==================================================================+
//| CLASS 1: CCutlerRSICalculator (Base Class) |
//+==================================================================+
class CCutlerRSICalculator
{
public:
virtual bool Init(int rsi_p, int ma_p, ENUM_MA_METHOD ma_m)=0;
virtual void Calculate(int rates_total, const double &open[], const double &high[], const double &low[], const double &close[], ENUM_APPLIED_PRICE price_type, double &rsi_buffer[], double &signal_buffer[])=0;
};
//--- Standard version uses the standard engine
class CCutlerRSICalculator_Std : public CCutlerRSICalculator
{
protected:
CCutlerRSI_Engine *m_engine;
public:
CCutlerRSICalculator_Std(void) { m_engine = new CCutlerRSI_Engine(); }
~CCutlerRSICalculator_Std(void) { if(CheckPointer(m_engine)!=POINTER_INVALID) delete m_engine; }
int m_rsi_period;
virtual bool Init(int rsi_p, int ma_p, ENUM_MA_METHOD ma_m) override { return m_engine.Init(rsi_p, ma_p, ma_m); }
virtual void Calculate(int rates_total, const double &open[], const double &high[], const double &low[], const double &close[], ENUM_APPLIED_PRICE price_type, double &rsi_buffer[], double &signal_buffer[]) override
{
if(CheckPointer(m_engine)!=POINTER_INVALID)
m_engine.Calculate(rates_total, open, high, low, close, price_type, rsi_buffer, signal_buffer);
}
//--- Engine for Signal Line
CMovingAverageCalculator m_signal_engine;
//--- Persistent Buffers for Incremental Calculation
double m_price[];
double m_rsi_buffer[];
//--- Updated: Accepts start_index
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:
CCutlerRSICalculator(void) {};
virtual ~CCutlerRSICalculator(void) {};
//--- Init now takes ENUM_MA_TYPE
bool Init(int rsi_p, int ma_p, ENUM_MA_TYPE ma_m);
//--- Updated: Accepts prev_calculated
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 &rsi_out[], double &signal_out[]);
};
//--- HA version uses the HA engine
//+------------------------------------------------------------------+
//| Init |
//+------------------------------------------------------------------+
bool CCutlerRSICalculator::Init(int rsi_p, int ma_p, ENUM_MA_TYPE ma_m)
{
m_rsi_period = (rsi_p < 1) ? 1 : rsi_p;
// Initialize Signal Engine
if(!m_signal_engine.Init(ma_p, ma_m))
return false;
return true;
}
//+------------------------------------------------------------------+
//| Main Calculation (Optimized) |
//+------------------------------------------------------------------+
void CCutlerRSICalculator::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 &rsi_out[], double &signal_out[])
{
if(rates_total <= m_rsi_period)
return;
//--- 1. Determine Start Index
int start_index;
if(prev_calculated == 0)
start_index = 0;
else
start_index = prev_calculated - 1;
//--- 2. Resize Buffers
if(ArraySize(m_price) != rates_total)
{
ArrayResize(m_price, rates_total);
ArrayResize(m_rsi_buffer, rates_total);
}
//--- 3. Prepare Price (Optimized)
if(!PreparePriceSeries(rates_total, start_index, price_type, open, high, low, close))
return;
//--- 4. Calculate Cutler's RSI (Incremental)
// Cutler's RSI uses SMA of gains/losses.
// We can use a sliding window sum for O(1) calculation, but standard loop is safer for now.
// Optimization: Only calculate for new bars.
int loop_start = MathMax(m_rsi_period, start_index);
// If full recalc, we need to handle the first value specially or just loop
if(prev_calculated == 0)
{
// Initialize first few values to 0 or EMPTY
for(int i=0; i<m_rsi_period; i++)
m_rsi_buffer[i] = 0;
}
for(int i = loop_start; i < rates_total; i++)
{
double sum_pos = 0;
double sum_neg = 0;
// Sum over the lookback period
for(int j = 0; j < m_rsi_period; j++)
{
// We need price changes: price[k] - price[k-1]
// The window ends at i. So we look at changes from i down to i-period+1.
// The change at index k is price[k] - price[k-1].
int k = i - j;
if(k < 1)
continue; // Safety check
double diff = m_price[k] - m_price[k-1];
if(diff > 0)
sum_pos += diff;
else
sum_neg += -diff;
}
if(sum_pos + sum_neg > 0)
{
// RS = AvgGain / AvgLoss = (SumPos/N) / (SumNeg/N) = SumPos / SumNeg
// RSI = 100 - 100 / (1 + RS)
double rs = sum_pos / sum_neg;
m_rsi_buffer[i] = 100.0 - (100.0 / (1.0 + rs));
}
else
{
m_rsi_buffer[i] = 50.0; // Or 100/0 depending on definition, 50 is neutral
}
}
//--- 5. Calculate Signal Line (Using Engine)
// RSI is valid from index: m_rsi_period
int rsi_offset = m_rsi_period;
m_signal_engine.CalculateOnArray(rates_total, prev_calculated, m_rsi_buffer, signal_out, rsi_offset);
//--- 6. Copy RSI to Output
ArrayCopy(rsi_out, m_rsi_buffer, 0, 0, rates_total);
}
//+------------------------------------------------------------------+
//| Prepare Price (Standard - Optimized) |
//+------------------------------------------------------------------+
bool CCutlerRSICalculator::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;
}
//+==================================================================+
//| CLASS 2: CCutlerRSICalculator_HA (Heikin Ashi) |
//+==================================================================+
class CCutlerRSICalculator_HA : public CCutlerRSICalculator
{
private:
CHeikinAshi_Calculator m_ha_calculator;
double m_ha_open[], m_ha_high[], m_ha_low[], m_ha_close[];
protected:
CCutlerRSI_Engine *m_engine;
public:
CCutlerRSICalculator_HA(void) { m_engine = new CCutlerRSI_Engine_HA(); }
~CCutlerRSICalculator_HA(void) { if(CheckPointer(m_engine)!=POINTER_INVALID) delete m_engine; }
virtual bool Init(int rsi_p, int ma_p, ENUM_MA_METHOD ma_m) override { return m_engine.Init(rsi_p, ma_p, ma_m); }
virtual void Calculate(int rates_total, const double &open[], const double &high[], const double &low[], const double &close[], ENUM_APPLIED_PRICE price_type, double &rsi_buffer[], double &signal_buffer[]) override
{
if(CheckPointer(m_engine)!=POINTER_INVALID)
m_engine.Calculate(rates_total, open, high, low, close, price_type, rsi_buffer, signal_buffer);
}
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[]) override;
};
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
bool CCutlerRSICalculator_HA::PreparePriceSeries(int rates_total, int start_index, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[])
{
if(ArraySize(m_ha_open) != rates_total)
{
ArrayResize(m_ha_open, rates_total);
ArrayResize(m_ha_high, rates_total);
ArrayResize(m_ha_low, rates_total);
ArrayResize(m_ha_close, rates_total);
}
m_ha_calculator.Calculate(rates_total, start_index, open, high, low, close, m_ha_open, m_ha_high, m_ha_low, m_ha_close);
for(int i = start_index; i < rates_total; i++)
{
switch(price_type)
{
case PRICE_CLOSE:
m_price[i] = m_ha_close[i];
break;
case PRICE_OPEN:
m_price[i] = m_ha_open[i];
break;
case PRICE_HIGH:
m_price[i] = m_ha_high[i];
break;
case PRICE_LOW:
m_price[i] = m_ha_low[i];
break;
case PRICE_MEDIAN:
m_price[i] = (m_ha_high[i]+m_ha_low[i])/2.0;
break;
case PRICE_TYPICAL:
m_price[i] = (m_ha_high[i]+m_ha_low[i]+m_ha_close[i])/3.0;
break;
case PRICE_WEIGHTED:
m_price[i] = (m_ha_high[i]+m_ha_low[i]+2*m_ha_close[i])/4.0;
break;
default:
m_price[i] = m_ha_close[i];
break;
}
}
return true;
}
//+------------------------------------------------------------------+