new files added

2026-07-27 20:47:44 +00:00 · 2026-06-29 18:54:17 +02:00
parent 9a4457adbc
commit 149017a569
1 changed files with 118 additions and 0 deletions
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+//+------------------------------------------------------------------+
+//|                                             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 <MyIncludes\Laguerre_Engine.mqh>
+
+//+==================================================================+
+//|             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
+//+------------------------------------------------------------------+