diff --git a/Include/MyIncludes/Inverse_Fisher_RSI_Calculator.mqh b/Include/MyIncludes/Inverse_Fisher_RSI_Calculator.mqh new file mode 100644 index 0000000..fd2285f --- /dev/null +++ b/Include/MyIncludes/Inverse_Fisher_RSI_Calculator.mqh @@ -0,0 +1,132 @@ +//+------------------------------------------------------------------+ +//| Inverse_Fisher_RSI_Calculator.mqh | +//| Calculation engine for the Inverse Fisher Transform of RSI. | +//| Copyright 2025, xxxxxxxx | +//+------------------------------------------------------------------+ +#property copyright "Copyright 2025, xxxxxxxx" + +#include + +//+==================================================================+ +//| | +//| CLASS 1: CInverseFisherRSICalculator (Base) | +//| | +//+==================================================================+ +class CInverseFisherRSICalculator + { +protected: + int m_rsi_period; + int m_wma_period; + double m_price[]; + + virtual bool PreparePriceSeries(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[]); + +public: + CInverseFisherRSICalculator(void) {}; + virtual ~CInverseFisherRSICalculator(void) {}; + + bool Init(int rsi_period, int wma_period); + void Calculate(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[], + double &ifish_buffer[]); + }; + +//+------------------------------------------------------------------+ +bool CInverseFisherRSICalculator::Init(int rsi_period, int wma_period) + { + m_rsi_period = (rsi_period < 2) ? 2 : rsi_period; + m_wma_period = (wma_period < 1) ? 1 : wma_period; + return true; + } + +//+------------------------------------------------------------------+ +void CInverseFisherRSICalculator::Calculate(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[], + double &ifish_buffer[]) + { + if(rates_total < m_rsi_period + m_wma_period) + return; + if(!PreparePriceSeries(rates_total, price_type, open, high, low, close)) + return; + + double rsi_buffer[], value1[], value2[]; + ArrayResize(rsi_buffer, rates_total); + ArrayResize(value1, rates_total); + ArrayResize(value2, rates_total); + +// Step 1: Calculate RSI (Wilder's method) + double sum_pos = 0, sum_neg = 0; + for(int i = 1; i < rates_total; i++) + { + double diff = m_price[i] - m_price[i-1]; + sum_pos = (sum_pos * (m_rsi_period - 1) + (diff > 0 ? diff : 0)) / m_rsi_period; + sum_neg = (sum_neg * (m_rsi_period - 1) + (diff < 0 ? -diff : 0)) / m_rsi_period; + if(i >= m_rsi_period) + { + if(sum_neg > 0) + rsi_buffer[i] = 100.0 - (100.0 / (1.0 + (sum_pos / sum_neg))); + else + rsi_buffer[i] = 100.0; + } + } + +// Step 2 & 3: Scale and Smooth with WMA + for(int i = m_rsi_period - 1; i < rates_total; i++) + { + // Scale RSI from 0..100 to -5..+5 + value1[i] = 0.1 * (rsi_buffer[i] - 50.0); + + // Smooth with WMA + if(i >= m_rsi_period - 1 + m_wma_period - 1) + { + double wma_sum = 0; + double weight_sum = 0; + for(int j = 0; j < m_wma_period; j++) + { + int weight = m_wma_period - j; + wma_sum += value1[i-j] * weight; + weight_sum += weight; + } + if(weight_sum > 0) + value2[i] = wma_sum / weight_sum; + } + } + +// Step 4: Apply Inverse Fisher Transform + for(int i = m_rsi_period - 1 + m_wma_period - 1; i < rates_total; i++) + { + ifish_buffer[i] = (exp(2.0 * value2[i]) - 1.0) / (exp(2.0 * value2[i]) + 1.0); + } + } + +//+------------------------------------------------------------------+ +bool CInverseFisherRSICalculator::PreparePriceSeries(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[]) + { + ArrayResize(m_price, rates_total); + ArrayCopy(m_price, close, 0, 0, rates_total); // Ehlers' example uses Close for RSI + return true; + } + +//+==================================================================+ +class CInverseFisherRSICalculator_HA : public CInverseFisherRSICalculator + { +private: + CHeikinAshi_Calculator m_ha_calculator; +protected: + virtual bool PreparePriceSeries(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[]) override; + }; + +//+------------------------------------------------------------------+ +bool CInverseFisherRSICalculator_HA::PreparePriceSeries(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[]) + { + double ha_open[], ha_high[], ha_low[], ha_close[]; + ArrayResize(ha_open, rates_total); + ArrayResize(ha_high, rates_total); + ArrayResize(ha_low, rates_total); + ArrayResize(ha_close, rates_total); + m_ha_calculator.Calculate(rates_total, open, high, low, close, ha_open, ha_high, ha_low, ha_close); + + ArrayResize(m_price, rates_total); + ArrayCopy(m_price, ha_close, 0, 0, rates_total); + return true; + } +//+------------------------------------------------------------------+ +//+------------------------------------------------------------------+