diff --git a/Include/MyIncludes/LScore_Calculator.mqh b/Include/MyIncludes/LScore_Calculator.mqh new file mode 100644 index 0000000..46c1281 --- /dev/null +++ b/Include/MyIncludes/LScore_Calculator.mqh @@ -0,0 +1,118 @@ +//+------------------------------------------------------------------+ +//| LScore_Calculator.mqh| +//| Copyright 2026, xxxxxxxx| +//+------------------------------------------------------------------+ +#property copyright "Copyright 2026, xxxxxxxx" +#property version "1.00" // Optimized L-Score calculator with dynamic Laguerre baseline +#property description "Engine for Statistical Laguerre Z-Score (L-Score) calculation." + +#ifndef LSCORE_CALCULATOR_MQH +#define LSCORE_CALCULATOR_MQH + +#include + +//+==================================================================+ +//| CLASS: CLScoreCalculator | +//+==================================================================+ +class CLScoreCalculator + { +protected: + int m_period; // Volatility lookback period (N) + double m_gamma; // Laguerre smoothing factor (0.0 to 1.0) + CLaguerreEngine *m_engine; // Embedded Laguerre Engine + + double m_filter[]; // Cached Laguerre Filter baseline + +public: + CLScoreCalculator(void); + virtual ~CLScoreCalculator(void); + + bool Init(double gamma, int period, bool is_ha); + 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_lscore[]); + }; + +//+------------------------------------------------------------------+ +//| Constructor | +//+------------------------------------------------------------------+ +CLScoreCalculator::CLScoreCalculator(void) : m_period(20), m_gamma(0.5), m_engine(NULL) + { + } + +//+------------------------------------------------------------------+ +//| Destructor | +//+------------------------------------------------------------------+ +CLScoreCalculator::~CLScoreCalculator(void) + { + if(CheckPointer(m_engine) != POINTER_INVALID) + delete m_engine; + } + +//+------------------------------------------------------------------+ +//| Init | +//+------------------------------------------------------------------+ +bool CLScoreCalculator::Init(double gamma, int period, bool is_ha) + { + m_period = (period < 2) ? 2 : period; + m_gamma = fmax(0.0, fmin(1.0, gamma)); + + if(is_ha) + m_engine = new CLaguerreEngine_HA(); + else + m_engine = new CLaguerreEngine(); + + if(CheckPointer(m_engine) == POINTER_INVALID || !m_engine.Init(m_gamma, SOURCE_PRICE)) + return false; + + return true; + } + +//+------------------------------------------------------------------+ +//| Calculate (Incremental & High Performance) | +//+------------------------------------------------------------------+ +void CLScoreCalculator::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_lscore[]) + { + if(rates_total < m_period) + return; + +//--- 1. Resize Internal Filter Cache + if(ArraySize(m_filter) != rates_total) + { + ArrayResize(m_filter, rates_total); + ArraySetAsSeries(m_filter, false); + } + +//--- 2. Calculate Stateful Laguerre Filter Baseline (Updates m_filter and internal prepared prices) + m_engine.CalculateFilter(rates_total, prev_calculated, price_type, open, high, low, close, m_filter); + +//--- 3. Calculate Volatility Distance in Sigma Units (L-Score) + int start_index = (prev_calculated > 0) ? prev_calculated - 1 : m_period - 1; + if(start_index < m_period - 1) + start_index = m_period - 1; + + for(int i = start_index; i < rates_total; i++) + { + double sum_sq = 0; + double current_mean = m_filter[i]; + + // Calculate standard deviation over the rolling window N relative to Laguerre Mean + for(int k = 0; k < m_period; k++) + { + double diff = m_engine.GetPrice(i - k) - current_mean; + sum_sq += diff * diff; + } + + double std_dev = MathSqrt(sum_sq / m_period); + + if(std_dev > 1.0e-9) // Anti-division-by-zero safety guard + out_lscore[i] = (m_engine.GetPrice(i) - current_mean) / std_dev; + else + out_lscore[i] = 0.0; + } + } + +#endif // LSCORE_CALCULATOR_MQH +//+------------------------------------------------------------------+