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refactor: SOURCE_MOMENTUM

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Toh4iem9
2025-10-28 13:19:45 +01:00
parent 4ad6359344
commit 1bfbc7f339
1 changed files with 100 additions and 94 deletions
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Include/MyIncludes/Ehlers_Smoother_Calculator.mqh
+100 -94
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@@ -1,30 +1,29 @@
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
//| Ehlers_Smoother_Calculator.mqh | //| Ehlers_Smoother_Calculator.mqh |
//| Calculation engine for John Ehlers' SuperSmoother and | //| Calculation engine for John Ehlers' SuperSmoother and |
//| Ultimate Smoother filters. Definition-true implementation. | //| Ultimate Smoother filters. Can be applied to Price or Momentum.|
//| Copyright 2025, xxxxxxxx | //| Copyright 2025, xxxxxxxx |
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
#property copyright "Copyright 2025, xxxxxxxx" #property copyright "Copyright 2025, xxxxxxxx"
#include <MyIncludes\HeikinAshi_Tools.mqh> #include <MyIncludes\HeikinAshi_Tools.mqh>
//--- Enum names now match the Ehlers articles exactly
enum ENUM_SMOOTHER_TYPE enum ENUM_SMOOTHER_TYPE
{ {
SUPERSMOOTHER, SUPERSMOOTHER,
ULTIMATESMOOTHER ULTIMATESMOOTHER
}; };
//+==================================================================+ // NEW: Enum to select the data source
//| | enum ENUM_INPUT_SOURCE { SOURCE_PRICE, SOURCE_MOMENTUM };
//| CLASS 1: CEhlersSmootherCalculator (Base) |
//| |
//+==================================================================+ //+==================================================================+
class CEhlersSmootherCalculator class CEhlersSmootherCalculator
{ {
protected: protected:
int m_period; int m_period;
ENUM_SMOOTHER_TYPE m_type; ENUM_SMOOTHER_TYPE m_type;
ENUM_INPUT_SOURCE m_source_type;
double m_price[]; 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[]); virtual bool PreparePriceSeries(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[]);
@@ -33,20 +32,19 @@ public:
CEhlersSmootherCalculator(void) {}; CEhlersSmootherCalculator(void) {};
virtual ~CEhlersSmootherCalculator(void) {}; virtual ~CEhlersSmootherCalculator(void) {};
bool Init(int period, ENUM_SMOOTHER_TYPE type); bool Init(int period, ENUM_SMOOTHER_TYPE type, ENUM_INPUT_SOURCE source_type);
void Calculate(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[], double &filter_buffer[]); void Calculate(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[], double &filter_buffer[]);
}; };
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
bool CEhlersSmootherCalculator::Init(int period, ENUM_SMOOTHER_TYPE type) bool CEhlersSmootherCalculator::Init(int period, ENUM_SMOOTHER_TYPE type, ENUM_INPUT_SOURCE source_type)
{ {
m_period = (period < 2) ? 2 : period; m_period = (period < 2) ? 2 : period;
m_type = type; m_type = type;
m_source_type = source_type;
return true; return true;
} }
//+------------------------------------------------------------------+
//| REFACTORED: Using internal state variables for robust recursion. |
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
void CEhlersSmootherCalculator::Calculate(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[], double &filter_buffer[]) void CEhlersSmootherCalculator::Calculate(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[], double &filter_buffer[])
{ {
@@ -54,34 +52,34 @@ void CEhlersSmootherCalculator::Calculate(int rates_total, ENUM_APPLIED_PRICE pr
return; return;
if(!PreparePriceSeries(rates_total, price_type, open, high, low, close)) if(!PreparePriceSeries(rates_total, price_type, open, high, low, close))
return; return;
// --- Calculate coefficients exactly as per Ehlers' articles ---
double a1 = exp(-M_SQRT2 * M_PI / m_period); double a1 = exp(-M_SQRT2 * M_PI / m_period);
double b1 = 2.0 * a1 * cos(M_SQRT2 * M_PI / m_period); double b1 = 2.0 * a1 * cos(M_SQRT2 * M_PI / m_period);
double c2 = b1; double c2 = b1;
double c3 = -a1 * a1; double c3 = -a1 * a1;
double c1 = 0; double c1 = 0;
if(m_type == SUPERSMOOTHER) if(m_type == SUPERSMOOTHER)
{ {
c1 = 1.0 - c2 - c3; c1 = 1.0 - c2 - c3;
} }
else // ULTIMATESMOOTHER else
{ {
c1 = (1.0 + c2 - c3) / 4.0; c1 = (1.0 + c2 - c3) / 4.0;
} }
double f1=0, f2=0;
// --- State variables for recursive calculation --- if(rates_total > 0)
double f1=0, f2=0; // f[1], f[2] filter_buffer[0] = m_price[0];
if(rates_total > 1)
// --- Initialization for the first few bars, as per Ehlers' code --- {
filter_buffer[0] = m_price[0]; filter_buffer[1] = m_price[1];
filter_buffer[1] = m_price[1]; f2 = filter_buffer[0];
filter_buffer[2] = m_price[2]; f1 = filter_buffer[1];
f1 = filter_buffer[2]; }
f2 = filter_buffer[1]; if(rates_total > 2)
{
// --- Full recalculation loop for stability --- filter_buffer[2] = m_price[2];
f2 = filter_buffer[1];
f1 = filter_buffer[2];
}
for(int i = 3; i < rates_total; i++) for(int i = 3; i < rates_total; i++)
{ {
double current_f = 0; double current_f = 0;
@@ -89,18 +87,11 @@ void CEhlersSmootherCalculator::Calculate(int rates_total, ENUM_APPLIED_PRICE pr
{ {
current_f = c1 * (m_price[i] + m_price[i-1]) / 2.0 + c2 * f1 + c3 * f2; current_f = c1 * (m_price[i] + m_price[i-1]) / 2.0 + c2 * f1 + c3 * f2;
} }
else // ULTIMATESMOOTHER else
{ {
current_f = (1.0 - c1) * m_price[i] current_f = (1.0 - c1) * m_price[i] + (2.0 * c1 - c2) * m_price[i-1] - (c1 + c3) * m_price[i-2] + c2 * f1 + c3 * f2;
+ (2.0 * c1 - c2) * m_price[i-1]
- (c1 + c3) * m_price[i-2]
+ c2 * f1
+ c3 * f2;
} }
filter_buffer[i] = current_f; filter_buffer[i] = current_f;
// Update state for next iteration
f2 = f1; f2 = f1;
f1 = current_f; f1 = current_f;
} }
@@ -110,40 +101,47 @@ void CEhlersSmootherCalculator::Calculate(int rates_total, ENUM_APPLIED_PRICE pr
bool CEhlersSmootherCalculator::PreparePriceSeries(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[]) bool CEhlersSmootherCalculator::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); ArrayResize(m_price, rates_total);
switch(price_type) if(m_source_type == SOURCE_PRICE)
{ {
case PRICE_CLOSE: switch(price_type)
ArrayCopy(m_price, close, 0, 0, rates_total); {
break; case PRICE_CLOSE:
case PRICE_OPEN: ArrayCopy(m_price, close, 0, 0, rates_total);
ArrayCopy(m_price, open, 0, 0, rates_total); break;
break; case PRICE_OPEN:
case PRICE_HIGH: ArrayCopy(m_price, open, 0, 0, rates_total);
ArrayCopy(m_price, high, 0, 0, rates_total); break;
break; case PRICE_HIGH:
case PRICE_LOW: ArrayCopy(m_price, high, 0, 0, rates_total);
ArrayCopy(m_price, low, 0, 0, rates_total); break;
break; case PRICE_LOW:
case PRICE_MEDIAN: ArrayCopy(m_price, low, 0, 0, rates_total);
for(int i=0; i<rates_total; i++) break;
m_price[i] = (high[i]+low[i])/2.0; case PRICE_MEDIAN:
break; for(int i=0; i<rates_total; i++)
case PRICE_TYPICAL: m_price[i] = (high[i]+low[i])/2.0;
for(int i=0; i<rates_total; i++) break;
m_price[i] = (high[i]+low[i]+close[i])/3.0; case PRICE_TYPICAL:
break; for(int i=0; i<rates_total; i++)
case PRICE_WEIGHTED: m_price[i] = (high[i]+low[i]+close[i])/3.0;
for(int i=0; i<rates_total; i++) break;
m_price[i] = (high[i]+low[i]+2*close[i])/4.0; case PRICE_WEIGHTED:
break; for(int i=0; i<rates_total; i++)
default: m_price[i] = (high[i]+low[i]+close[i]+close[i])/4.0;
return false; break;
default:
return false;
}
}
else // SOURCE_MOMENTUM
{
for(int i=0; i<rates_total; i++)
m_price[i] = close[i] - open[i];
} }
return true; return true;
} }
//+------------------------------------------------------------------+
//| | //+==================================================================+
//+------------------------------------------------------------------+
class CEhlersSmootherCalculator_HA : public CEhlersSmootherCalculator class CEhlersSmootherCalculator_HA : public CEhlersSmootherCalculator
{ {
private: private:
@@ -151,8 +149,7 @@ private:
protected: 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; 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 CEhlersSmootherCalculator_HA::PreparePriceSeries(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[]) bool CEhlersSmootherCalculator_HA::PreparePriceSeries(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[])
{ {
@@ -162,35 +159,44 @@ bool CEhlersSmootherCalculator_HA::PreparePriceSeries(int rates_total, ENUM_APPL
ArrayResize(ha_low, rates_total); ArrayResize(ha_low, rates_total);
ArrayResize(ha_close, 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); m_ha_calculator.Calculate(rates_total, open, high, low, close, ha_open, ha_high, ha_low, ha_close);
ArrayResize(m_price, rates_total); ArrayResize(m_price, rates_total);
switch(price_type) if(m_source_type == SOURCE_PRICE)
{ {
case PRICE_CLOSE: switch(price_type)
ArrayCopy(m_price, ha_close, 0, 0, rates_total); {
break; case PRICE_CLOSE:
case PRICE_OPEN: ArrayCopy(m_price, ha_close, 0, 0, rates_total);
ArrayCopy(m_price, ha_open, 0, 0, rates_total); break;
break; case PRICE_OPEN:
case PRICE_HIGH: ArrayCopy(m_price, ha_open, 0, 0, rates_total);
ArrayCopy(m_price, ha_high, 0, 0, rates_total); break;
break; case PRICE_HIGH:
case PRICE_LOW: ArrayCopy(m_price, ha_high, 0, 0, rates_total);
ArrayCopy(m_price, ha_low, 0, 0, rates_total); break;
break; case PRICE_LOW:
case PRICE_MEDIAN: ArrayCopy(m_price, ha_low, 0, 0, rates_total);
for(int i=0; i<rates_total; i++) break;
m_price[i] = (ha_high[i]+ha_low[i])/2.0; case PRICE_MEDIAN:
break; for(int i=0; i<rates_total; i++)
case PRICE_TYPICAL: m_price[i] = (ha_high[i]+ha_low[i])/2.0;
for(int i=0; i<rates_total; i++) break;
m_price[i] = (ha_high[i]+ha_low[i]+ha_close[i])/3.0; case PRICE_TYPICAL:
break; for(int i=0; i<rates_total; i++)
case PRICE_WEIGHTED: m_price[i] = (ha_high[i]+ha_low[i]+ha_close[i])/3.0;
for(int i=0; i<rates_total; i++) break;
m_price[i] = (ha_high[i]+ha_low[i]+2*ha_close[i])/4.0; case PRICE_WEIGHTED:
break; for(int i=0; i<rates_total; i++)
default: m_price[i] = (ha_high[i]+ha_low[i]+ha_close[i]+ha_close[i])/4.0;
return false; break;
default:
return false;
}
}
else // SOURCE_MOMENTUM
{
for(int i=0; i<rates_total; i++)
m_price[i] = ha_close[i] - ha_open[i];
} }
return true; return true;
} }