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refactor: add LinearRegression_Calculator

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Toh4iem9
2025-09-30 12:08:45 +02:00
parent ef1bad76d8
commit 18f893c436
1 changed files with 65 additions and 121 deletions
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Indicators/MyIndicators/LinearRegression_Pro.mq5
+65 -121
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@@ -1,13 +1,13 @@
//+------------------------------------------------------------------+
//| LinearRegression_Pro.mq5 |
//| Copyright 2025, xxxxxxxx |
//| Copyright 2025, xxxxxxxx|
//| |
//+------------------------------------------------------------------+
#property copyright "Copyright 2025, xxxxxxxx"
#property link ""
#property version "1.01" // Corrected price sourcing, removed non-existent function
#property description "A flexible, manually calculated Linear Regression Channel."
#property description "Updates only on new bars for efficiency."
#property version "2.00"
#property description "Professional, manually calculated Linear Regression Channel with"
#property description "selectable price source (Standard and Heikin Ashi)."
//--- Indicator Window and Plot Properties ---
#property indicator_chart_window
@@ -32,18 +32,35 @@
#property indicator_color3 clrRed
#property indicator_style3 STYLE_SOLID
//--- Enum for Channel Calculation Mode ---
enum ENUM_CHANNEL_MODE
//--- Include the calculator engine ---
#include <MyIncludes\LinearRegression_Calculator.mqh>
//--- Custom Enum for Price Source, including Heikin Ashi ---
enum ENUM_APPLIED_PRICE_HA_ALL
{
DEVIATION_STANDARD, // Channel width based on Standard Deviation
DEVIATION_MAXIMUM // Channel width based on Maximum Deviation
//--- Heikin Ashi Prices (negative values for easy identification)
PRICE_HA_CLOSE = -1,
PRICE_HA_OPEN = -2,
PRICE_HA_HIGH = -3,
PRICE_HA_LOW = -4,
PRICE_HA_MEDIAN = -5,
PRICE_HA_TYPICAL = -6,
PRICE_HA_WEIGHTED = -7,
//--- Standard Prices (using built-in ENUM_APPLIED_PRICE values)
PRICE_CLOSE_STD = PRICE_CLOSE,
PRICE_OPEN_STD = PRICE_OPEN,
PRICE_HIGH_STD = PRICE_HIGH,
PRICE_LOW_STD = PRICE_LOW,
PRICE_MEDIAN_STD = PRICE_MEDIAN,
PRICE_TYPICAL_STD = PRICE_TYPICAL,
PRICE_WEIGHTED_STD= PRICE_WEIGHTED
};
//--- Input Parameters ---
input int InpRegressionPeriod = 100;
input ENUM_APPLIED_PRICE InpAppliedPrice = PRICE_CLOSE;
input ENUM_CHANNEL_MODE InpChannelMode = DEVIATION_STANDARD;
input double InpDeviations = 2.0; // Deviations (for Standard Deviation mode)
input int InpRegressionPeriod = 100;
input ENUM_APPLIED_PRICE_HA_ALL InpSourcePrice = PRICE_CLOSE_STD;
input ENUM_CHANNEL_MODE InpChannelMode = DEVIATION_STANDARD;
input double InpDeviations = 2.0;
//--- Indicator Buffers ---
double BufferUpper[];
@@ -51,37 +68,53 @@ double BufferLower[];
double BufferMiddle[];
//--- Global Variables ---
int g_ExtPeriod;
double g_ExtDeviations;
datetime g_last_update_time;
//--- Forward declarations ---
double GetPrice(int index, ENUM_APPLIED_PRICE type, const double &open[], const double &high[], const double &low[], const double &close[]);
void CalculateChannel(int rates_total, const double &open[], const double &high[], const double &low[], const double &close[]);
datetime g_last_update_time;
CLinearRegressionCalculator *g_calculator;
//+------------------------------------------------------------------+
//| Custom indicator initialization function. |
//+------------------------------------------------------------------+
int OnInit()
{
g_ExtPeriod = (InpRegressionPeriod < 2) ? 2 : InpRegressionPeriod;
g_ExtDeviations = (InpDeviations <= 0) ? 2.0 : InpDeviations;
g_last_update_time = 0;
SetIndexBuffer(0, BufferUpper, INDICATOR_DATA);
SetIndexBuffer(1, BufferLower, INDICATOR_DATA);
SetIndexBuffer(2, BufferMiddle, INDICATOR_DATA);
ArraySetAsSeries(BufferUpper, false);
ArraySetAsSeries(BufferLower, false);
ArraySetAsSeries(BufferMiddle, false);
IndicatorSetInteger(INDICATOR_DIGITS, _Digits);
IndicatorSetString(INDICATOR_SHORTNAME, StringFormat("LinReg Pro(%d)", g_ExtPeriod));
if(InpSourcePrice <= PRICE_HA_CLOSE)
{
g_calculator = new CLinearRegressionCalculator_HA();
IndicatorSetString(INDICATOR_SHORTNAME, StringFormat("LinReg HA(%d)", InpRegressionPeriod));
}
else
{
g_calculator = new CLinearRegressionCalculator();
IndicatorSetString(INDICATOR_SHORTNAME, StringFormat("LinReg(%d)", InpRegressionPeriod));
}
if(CheckPointer(g_calculator) == POINTER_INVALID || !g_calculator.Init(InpRegressionPeriod, InpChannelMode, InpDeviations))
{
Print("Failed to initialize Linear Regression Calculator.");
return(INIT_FAILED);
}
IndicatorSetInteger(INDICATOR_DIGITS, _Digits);
return(INIT_SUCCEEDED);
}
//+------------------------------------------------------------------+
//| Custom indicator deinitialization function. |
//+------------------------------------------------------------------+
void OnDeinit(const int reason)
{
if(CheckPointer(g_calculator) != POINTER_INVALID)
delete g_calculator;
}
//+------------------------------------------------------------------+
//| Linear Regression Channel calculation function. |
//+------------------------------------------------------------------+
@@ -96,116 +129,27 @@ int OnCalculate(const int rates_total,
const long &volume[],
const int &spread[])
{
if(rates_total < g_ExtPeriod)
if(rates_total < InpRegressionPeriod || CheckPointer(g_calculator) == POINTER_INVALID)
return(0);
//--- Update only on new bar ---
if(time[rates_total - 1] > g_last_update_time)
{
ArrayInitialize(BufferUpper, EMPTY_VALUE);
ArrayInitialize(BufferLower, EMPTY_VALUE);
ArrayInitialize(BufferMiddle, EMPTY_VALUE);
CalculateChannel(rates_total, open, high, low, close);
ENUM_APPLIED_PRICE price_type;
if(InpSourcePrice <= PRICE_HA_CLOSE)
price_type = (ENUM_APPLIED_PRICE)(-(int)InpSourcePrice);
else
price_type = (ENUM_APPLIED_PRICE)InpSourcePrice;
g_calculator.Calculate(rates_total, open, high, low, close, price_type, BufferMiddle, BufferUpper, BufferLower);
g_last_update_time = time[rates_total - 1];
}
return(rates_total);
}
//+------------------------------------------------------------------+
//| Main calculation logic moved to a helper function |
//+------------------------------------------------------------------+
void CalculateChannel(int rates_total, const double &open[], const double &high[], const double &low[], const double &close[])
{
int start_index = rates_total - g_ExtPeriod;
//--- STEP 1: Calculate sums for the regression formula
double sum_x = 0, sum_y = 0, sum_xy = 0, sum_x2 = 0;
for(int i = 0; i < g_ExtPeriod; i++)
{
double y = GetPrice(start_index + i, InpAppliedPrice, open, high, low, close);
double x = i;
sum_x += x;
sum_y += y;
sum_xy += x * y;
sum_x2 += x * x;
}
//--- STEP 2: Calculate slope (b) and intercept (a)
double b = (g_ExtPeriod * sum_xy - sum_x * sum_y) / (g_ExtPeriod * sum_x2 - sum_x * sum_x);
double a = (sum_y - b * sum_x) / g_ExtPeriod;
//--- STEP 3: Calculate regression values and deviation
double deviation_offset = 0;
double regression_values[];
ArrayResize(regression_values, g_ExtPeriod);
if(InpChannelMode == DEVIATION_STANDARD)
{
double deviation_sum_sq = 0;
for(int i = 0; i < g_ExtPeriod; i++)
{
regression_values[i] = a + b * i;
double price = GetPrice(start_index + i, InpAppliedPrice, open, high, low, close);
double diff = price - regression_values[i];
deviation_sum_sq += diff * diff;
}
double std_dev = MathSqrt(deviation_sum_sq / g_ExtPeriod);
deviation_offset = g_ExtDeviations * std_dev;
}
else // DEVIATION_MAXIMUM
{
double max_dev = 0;
for(int i = 0; i < g_ExtPeriod; i++)
{
regression_values[i] = a + b * i;
double price = GetPrice(start_index + i, InpAppliedPrice, open, high, low, close);
double dev = MathAbs(price - regression_values[i]);
if(dev > max_dev)
max_dev = dev;
}
deviation_offset = max_dev;
}
//--- STEP 4: Fill the indicator buffers for the last N bars
for(int i = 0; i < g_ExtPeriod; i++)
{
int buffer_index = start_index + i;
BufferMiddle[buffer_index] = regression_values[i];
BufferUpper[buffer_index] = regression_values[i] + deviation_offset;
BufferLower[buffer_index] = regression_values[i] - deviation_offset;
}
//--- Dynamically set the draw begin to only show the last channel
PlotIndexSetInteger(0, PLOT_DRAW_BEGIN, start_index);
PlotIndexSetInteger(1, PLOT_DRAW_BEGIN, start_index);
PlotIndexSetInteger(2, PLOT_DRAW_BEGIN, start_index);
}
//+------------------------------------------------------------------+
//| Helper function to get the correct price type |
//+------------------------------------------------------------------+
double GetPrice(int index, ENUM_APPLIED_PRICE type, const double &open[], const double &high[], const double &low[], const double &close[])
{
switch(type)
{
case PRICE_OPEN:
return open[index];
case PRICE_HIGH:
return high[index];
case PRICE_LOW:
return low[index];
case PRICE_MEDIAN:
return (high[index] + low[index]) / 2.0;
case PRICE_TYPICAL:
return (high[index] + low[index] + close[index]) / 3.0;
case PRICE_WEIGHTED:
return (high[index] + low[index] + 2*close[index]) / 4.0;
default:
return close[index];
}
}
//+------------------------------------------------------------------+
//+------------------------------------------------------------------+