From 096975ac283da87d55b92a298c492a714d9585fe Mon Sep 17 00:00:00 2001 From: Toh4iem9 Date: Thu, 1 Oct 2026 13:46:13 +0200 Subject: [PATCH] refactor: Isolated Member Caches, pow() Elimination & FMA Math --- .../Laguerre_Adaptive_Filter_Calculator.mqh | 193 ++++++++++++------ 1 file changed, 131 insertions(+), 62 deletions(-) diff --git a/Include/MyIncludes/Laguerre_Adaptive_Filter_Calculator.mqh b/Include/MyIncludes/Laguerre_Adaptive_Filter_Calculator.mqh index 41c86941..fed84947 100644 --- a/Include/MyIncludes/Laguerre_Adaptive_Filter_Calculator.mqh +++ b/Include/MyIncludes/Laguerre_Adaptive_Filter_Calculator.mqh @@ -2,8 +2,8 @@ //| Laguerre_Adaptive_Filter_Calculator.mqh | //| Copyright 2026, xxxxxxxx| //+------------------------------------------------------------------+ -#property copyright "Copyright 2026, xxxxxxxx" -#property version "1.20" // Integrated Standard Deviation (StDev) adaptive mode and DRY Normalize helper +#property copyright "Copyright 2026, xxxxxxxx" +#property version "1.30" // Enterprise Refactor: Isolated Member Caches, pow() Elimination & FMA Math #property description "Stateful calculator implementing adaptive Laguerre Filtering via ER, ATR, or StDev." #ifndef LAGUERRE_ADAPTIVE_FILTER_CALCULATOR_MQH @@ -13,12 +13,15 @@ #include #include +#ifndef ENUM_ADAPTIVE_METHOD_DEFINED +#define ENUM_ADAPTIVE_METHOD_DEFINED enum ENUM_ADAPTIVE_METHOD { METHOD_EFFICIENCY_RATIO, // Kaufman's Efficiency Ratio (ER) METHOD_ATR, // Average True Range (ATR Volatility) METHOD_STAND_DEV // Standard Deviation (StDev Volatility) }; +#endif //+==================================================================+ //| CLASS: CLaguerreAdaptiveFilterCalculator | @@ -30,22 +33,24 @@ private: int m_adaptive_period; double m_gamma_min; double m_gamma_max; + double m_gamma_range; // Precalculated (gamma_max - gamma_min) bool m_is_ha; CEfficiencyRatioCalculator *m_er_calc; CATRCalculator *m_atr_calc; + CHeikinAshi_Calculator m_ha_engine; - //--- Persistent State Registers + //--- Persistent State Registers (Strict Instance Isolation - Zero Static Sharing!) double m_price[]; double m_L0[], m_L1[], m_L2[], m_L3[]; double m_adaptive_metric[]; double m_temp_atr[]; double m_temp_stdev[]; + double m_ha_open[], m_ha_high[], m_ha_low[], m_ha_close[]; 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[]); - //--- DRY Helper: Sliding Min-Max Normalization to map raw volatility to [0.0, 1.0] void NormalizeMetric(int rates_total, int prev_calculated, const double &src_array[]); public: @@ -61,11 +66,28 @@ public: //+------------------------------------------------------------------+ //| Constructor | //+------------------------------------------------------------------+ -CLaguerreAdaptiveFilterCalculator::CLaguerreAdaptiveFilterCalculator(void) - : m_er_calc(NULL), - m_atr_calc(NULL), - m_is_ha(false) +CLaguerreAdaptiveFilterCalculator::CLaguerreAdaptiveFilterCalculator(void) : + m_method(METHOD_EFFICIENCY_RATIO), + m_adaptive_period(10), + m_gamma_min(0.1), + m_gamma_max(0.9), + m_gamma_range(0.8), + m_is_ha(false), + m_er_calc(NULL), + m_atr_calc(NULL) { + ArraySetAsSeries(m_price, false); + ArraySetAsSeries(m_L0, false); + ArraySetAsSeries(m_L1, false); + ArraySetAsSeries(m_L2, false); + ArraySetAsSeries(m_L3, false); + ArraySetAsSeries(m_adaptive_metric, false); + ArraySetAsSeries(m_temp_atr, false); + ArraySetAsSeries(m_temp_stdev, false); + ArraySetAsSeries(m_ha_open, false); + ArraySetAsSeries(m_ha_high, false); + ArraySetAsSeries(m_ha_low, false); + ArraySetAsSeries(m_ha_close, false); } //+------------------------------------------------------------------+ @@ -74,9 +96,15 @@ CLaguerreAdaptiveFilterCalculator::CLaguerreAdaptiveFilterCalculator(void) CLaguerreAdaptiveFilterCalculator::~CLaguerreAdaptiveFilterCalculator(void) { if(CheckPointer(m_er_calc) != POINTER_INVALID) + { delete m_er_calc; + m_er_calc = NULL; + } if(CheckPointer(m_atr_calc) != POINTER_INVALID) + { delete m_atr_calc; + m_atr_calc = NULL; + } } //+------------------------------------------------------------------+ @@ -88,6 +116,15 @@ bool CLaguerreAdaptiveFilterCalculator::Init(ENUM_ADAPTIVE_METHOD method, int ad m_adaptive_period = (adaptive_period < 2) ? 2 : adaptive_period; m_gamma_min = fmax(0.0, fmin(1.0, gamma_min)); m_gamma_max = fmax(0.0, fmin(1.0, gamma_max)); + + if(m_gamma_min > m_gamma_max) + { + double tmp = m_gamma_min; + m_gamma_min = m_gamma_max; + m_gamma_max = tmp; + } + + m_gamma_range = m_gamma_max - m_gamma_min; // Precalculated differential constant m_is_ha = is_ha; if(CheckPointer(m_er_calc) != POINTER_INVALID) @@ -133,30 +170,35 @@ void CLaguerreAdaptiveFilterCalculator::Calculate(int rates_total, int prev_calc if(rates_total < required_bars) return; -//--- Resize state buffers & coerce strict chronological indexing +// Safe allocation of internal state arrays if(ArraySize(m_price) != rates_total) { ArrayResize(m_price, rates_total); - ArrayResize(m_L0, rates_total); - ArrayResize(m_L1, rates_total); - ArrayResize(m_L2, rates_total); - ArrayResize(m_L3, rates_total); - ArrayResize(m_adaptive_metric, rates_total); - ArraySetAsSeries(m_price, false); + ArrayResize(m_L0, rates_total); ArraySetAsSeries(m_L0, false); + ArrayResize(m_L1, rates_total); ArraySetAsSeries(m_L1, false); + ArrayResize(m_L2, rates_total); ArraySetAsSeries(m_L2, false); + ArrayResize(m_L3, rates_total); ArraySetAsSeries(m_L3, false); + ArrayResize(m_adaptive_metric, rates_total); ArraySetAsSeries(m_adaptive_metric, false); } -//--- Prepare prices first (Needed for ER, StDev and final filter calculation) +// Safe allocation of output buffer + if(ArraySize(filter_buffer) != rates_total) + { + ArrayResize(filter_buffer, rates_total); + ArraySetAsSeries(filter_buffer, false); + } + int start_index = (prev_calculated > 0) ? prev_calculated - 1 : 0; if(!PreparePriceSeries(rates_total, start_index, price_type, open, high, low, close)) return; -//--- 1. Calculate Adaptive Metric [0.0 to 1.0] +// 1. Calculate Adaptive Metric [0.0 to 1.0] if(m_method == METHOD_EFFICIENCY_RATIO) { m_er_calc.Calculate(rates_total, prev_calculated, price_type, open, high, low, close, m_adaptive_metric); @@ -173,7 +215,7 @@ void CLaguerreAdaptiveFilterCalculator::Calculate(int rates_total, int prev_calc m_atr_calc.Calculate(rates_total, prev_calculated, open, high, low, close, m_temp_atr); NormalizeMetric(rates_total, prev_calculated, m_temp_atr); } - else // METHOD_STAND_DEV + else // METHOD_STAND_DEV (MathPow-Free Accelerated StDev) { if(ArraySize(m_temp_stdev) != rates_total) { @@ -190,50 +232,77 @@ void CLaguerreAdaptiveFilterCalculator::Calculate(int rates_total, int prev_calc m_temp_stdev[i] = 0.0; } - // Compute raw standard deviations + double inv_p = 1.0 / (double)m_adaptive_period; + for(int i = loop_start; i < rates_total; i++) { double sum = 0.0; for(int j = 0; j < m_adaptive_period; j++) sum += m_price[i - j]; - double mean = sum / m_adaptive_period; + double mean = sum * inv_p; + // Fast scalar multiplication instead of slow pow(..., 2) double sum_sq = 0.0; for(int j = 0; j < m_adaptive_period; j++) - sum_sq += pow(m_price[i - j] - mean, 2); + { + double diff = m_price[i - j] - mean; + sum_sq += diff * diff; + } - m_temp_stdev[i] = sqrt(sum_sq / m_adaptive_period); + m_temp_stdev[i] = MathSqrt(sum_sq * inv_p); } NormalizeMetric(rates_total, prev_calculated, m_temp_stdev); } -//--- 2. Calculate Stateful Adaptive Laguerre - if(start_index == 0) +// 2. Calculate Stateful Adaptive Laguerre + int i = start_index; + + if(i == 0) { - m_L0[0] = m_price[0]; - m_L1[0] = m_price[0]; - m_L2[0] = m_price[0]; - m_L3[0] = m_price[0]; - filter_buffer[0] = m_price[0]; - start_index = 1; + double p0 = m_price[0]; + m_L0[0] = p0; + m_L1[0] = p0; + m_L2[0] = p0; + m_L3[0] = p0; + filter_buffer[0] = p0; + i = 1; } - for(int i = start_index; i < rates_total; i++) + const double inv_six = 1.0 / 6.0; + + for(; i < rates_total; i++) { double metric = m_adaptive_metric[i]; - metric = fmax(0.0, fmin(1.0, metric)); // Safe clamp + if(metric < 0.0) + metric = 0.0; + else + if(metric > 1.0) + metric = 1.0; // Scale dynamic Gamma: higher volatility/efficiency -> lower Gamma (faster tracking) - double gamma = m_gamma_max - metric * (m_gamma_max - m_gamma_min); - gamma = fmax(0.0, fmin(1.0, gamma)); + double gamma = m_gamma_max - metric * m_gamma_range; + if(gamma < 0.0) + gamma = 0.0; + else + if(gamma > 1.0) + gamma = 1.0; - m_L0[i] = (1.0 - gamma) * m_price[i] + gamma * m_L0[i - 1]; - m_L1[i] = -gamma * m_L0[i] + m_L0[i - 1] + gamma * m_L1[i - 1]; - m_L2[i] = -gamma * m_L1[i] + m_L1[i - 1] + gamma * m_L2[i - 1]; - m_L3[i] = -gamma * m_L2[i] + m_L2[i - 1] + gamma * m_L3[i - 1]; + double one_minus_gamma = 1.0 - gamma; + double neg_gamma = -gamma; - filter_buffer[i] = (m_L0[i] + 2.0 * m_L1[i] + 2.0 * m_L2[i] + m_L3[i]) / 6.0; + double L0_prev = m_L0[i - 1]; + double L1_prev = m_L1[i - 1]; + double L2_prev = m_L2[i - 1]; + double L3_prev = m_L3[i - 1]; + + m_L0[i] = one_minus_gamma * m_price[i] + gamma * L0_prev; + m_L1[i] = neg_gamma * m_L0[i] + L0_prev + gamma * L1_prev; + m_L2[i] = neg_gamma * m_L1[i] + L1_prev + gamma * L2_prev; + m_L3[i] = neg_gamma * m_L2[i] + L2_prev + gamma * L3_prev; + + // Pipelined reciprocal multiplication + filter_buffer[i] = (m_L0[i] + 2.0 * (m_L1[i] + m_L2[i]) + m_L3[i]) * inv_six; } } @@ -242,9 +311,9 @@ void CLaguerreAdaptiveFilterCalculator::Calculate(int rates_total, int prev_calc //+------------------------------------------------------------------+ void CLaguerreAdaptiveFilterCalculator::NormalizeMetric(int rates_total, int prev_calculated, const double &src_array[]) { - int start_sync = (prev_calculated > 0) ? prev_calculated - 1 : 0; + int start_sync = (prev_calculated > 0) ? prev_calculated - 1 : 0; int min_lookback = m_adaptive_period; - int loop_start = MathMax(min_lookback * 2, start_sync); + int loop_start = MathMax(min_lookback * 2, start_sync); if(loop_start == min_lookback * 2) { @@ -264,6 +333,7 @@ void CLaguerreAdaptiveFilterCalculator::NormalizeMetric(int rates_total, int pre if(val > max_val) max_val = val; } + double diff = max_val - min_val; if(diff > 1.0e-9) m_adaptive_metric[i] = (src_array[i] - min_val) / diff; @@ -273,53 +343,52 @@ void CLaguerreAdaptiveFilterCalculator::NormalizeMetric(int rates_total, int pre } //+------------------------------------------------------------------+ -//| Prepare Price Series | +//| Prepare Price Series (Instance Isolated Caches - Zero Static!) | //+------------------------------------------------------------------+ bool CLaguerreAdaptiveFilterCalculator::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(m_is_ha) { - static CHeikinAshi_Calculator ha_calc; - static double ha_open[], ha_high[], ha_low[], ha_close[]; - if(ArraySize(ha_open) != rates_total) + if(ArraySize(m_ha_open) != rates_total) { - ArrayResize(ha_open, rates_total); - ArrayResize(ha_high, rates_total); - ArrayResize(ha_low, rates_total); - ArrayResize(ha_close, rates_total); - ArraySetAsSeries(ha_open, false); - ArraySetAsSeries(ha_high, false); - ArraySetAsSeries(ha_low, false); - ArraySetAsSeries(ha_close, false); + ArrayResize(m_ha_open, rates_total); + ArraySetAsSeries(m_ha_open, false); + ArrayResize(m_ha_high, rates_total); + ArraySetAsSeries(m_ha_high, false); + ArrayResize(m_ha_low, rates_total); + ArraySetAsSeries(m_ha_low, false); + ArrayResize(m_ha_close, rates_total); + ArraySetAsSeries(m_ha_close, false); } - ha_calc.Calculate(rates_total, start_index, open, high, low, close, ha_open, ha_high, ha_low, ha_close); + m_ha_engine.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_OPEN: - m_price[i] = ha_open[i]; + m_price[i] = m_ha_open[i]; break; case PRICE_HIGH: - m_price[i] = ha_high[i]; + m_price[i] = m_ha_high[i]; break; case PRICE_LOW: - m_price[i] = ha_low[i]; + m_price[i] = m_ha_low[i]; break; case PRICE_MEDIAN: - m_price[i] = (ha_high[i] + ha_low[i]) * 0.5; + m_price[i] = (m_ha_high[i] + m_ha_low[i]) * 0.5; break; case PRICE_TYPICAL: - m_price[i] = (ha_high[i] + ha_low[i] + ha_close[i]) / 3.0; + m_price[i] = (m_ha_high[i] + m_ha_low[i] + m_ha_close[i]) / 3.0; break; case PRICE_WEIGHTED: - m_price[i] = (ha_high[i] + ha_low[i] + ha_close[i] * 2.0) * 0.25; + m_price[i] = (m_ha_high[i] + m_ha_low[i] + 2.0 * m_ha_close[i]) * 0.25; break; default: - m_price[i] = ha_close[i]; + m_price[i] = m_ha_close[i]; break; } } @@ -346,7 +415,7 @@ bool CLaguerreAdaptiveFilterCalculator::PreparePriceSeries(int rates_total, int m_price[i] = (high[i] + low[i] + close[i]) / 3.0; break; case PRICE_WEIGHTED: - m_price[i] = (high[i] + low[i] + close[i] * 2.0) * 0.25; + m_price[i] = (high[i] + low[i] + 2.0 * close[i]) * 0.25; break; default: m_price[i] = close[i];