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//+------------------------------------------------------------------+
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//| Laguerre_Filter_Adaptive_Calculator.mqh |
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//| Calculation engine for the Adaptive Laguerre Filter. |
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//| Copyright 2025, xxxxxxxx |
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//+------------------------------------------------------------------+
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#property copyright "Copyright 2025, xxxxxxxx"
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#include <MyIncludes\HeikinAshi_Tools.mqh>
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//+==================================================================+
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//| |
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//| CLASS 1: CLaguerreFilterAdaptiveCalculator (Base) |
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//| |
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//+==================================================================+
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class CLaguerreFilterAdaptiveCalculator
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{
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protected:
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double m_price[];
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virtual bool PreparePriceSeries(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[]);
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public:
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CLaguerreFilterAdaptiveCalculator(void) {};
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virtual ~CLaguerreFilterAdaptiveCalculator(void) {};
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bool Init(void);
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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[]);
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};
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//+------------------------------------------------------------------+
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//| CLaguerreFilterAdaptiveCalculator: Initialization |
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//+------------------------------------------------------------------+
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bool CLaguerreFilterAdaptiveCalculator::Init(void)
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{
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return true;
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}
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//+------------------------------------------------------------------+
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//| CLaguerreFilterAdaptiveCalculator: Main Calculation Method |
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//+------------------------------------------------------------------+
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void CLaguerreFilterAdaptiveCalculator::Calculate(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[], double &filter_buffer[])
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{
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if(rates_total < 10) // Need a few bars to warm up
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return;
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if(!PreparePriceSeries(rates_total, price_type, open, high, low, close))
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return;
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// --- Internal buffer for the band-pass filter results ---
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double filt_buffer[];
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ArrayResize(filt_buffer, rates_total);
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ArrayInitialize(filt_buffer, 0.0);
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// --- Cycle measurement (Homodyne Discriminator) variables ---
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double Filt=0, Filt_prev=0, Filt_prev2=0;
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double I1=0, Q1=0, I1_prev=0, Q1_prev=0;
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double I2=0, Q2=0, I2_prev=0, Q2_prev=0;
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double Re=0, Im=0;
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double Period=0, Period_prev=0;
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double DC_Period=0, DC_Period_prev=0;
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// --- Laguerre filter variables ---
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double L0=0, L1=0, L2=0, L3=0;
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double L0_prev=0, L1_prev=0, L2_prev=0, L3_prev=0;
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// --- Constants for band-pass filter ---
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double alpha1 = (cos(0.707 * 2 * M_PI / 48.0) + sin(0.707 * 2 * M_PI / 48.0) - 1.0) / cos(0.707 * 2 * M_PI / 48.0);
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double beta1 = 1.0 - alpha1 / 2.0;
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beta1 *= beta1;
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// --- Full recalculation loop ---
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for(int i = 0; i < rates_total; i++)
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{
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// --- Step 1: Band-Pass Filter to isolate cycle components ---
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if(i > 1)
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{
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Filt = beta1 * (m_price[i] - 2 * m_price[i-1] + m_price[i-2]) + (2 * (1 - alpha1 / 2.0)) * Filt_prev - ((1 - alpha1 / 2.0) * (1 - alpha1 / 2.0)) * Filt_prev2;
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}
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else
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{
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Filt = 0;
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}
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filt_buffer[i] = Filt;
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// --- Step 2: Hilbert Transform to get InPhase and Quadrature components ---
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if(i > 6)
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{
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Q1 = (0.0962 * filt_buffer[i] + 0.5769 * filt_buffer[i-2] - 0.5769 * filt_buffer[i-4] - 0.0962 * filt_buffer[i-6]) * (0.5 + 0.08 * (I1_prev + 50));
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I1 = filt_buffer[i-3];
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}
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// --- Step 3: Homodyne Discriminator to find phase ---
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if(i > 0)
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{
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I2 = I1 - Q1_prev;
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Q2 = Q1 + I1_prev;
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Re = I2 * I2_prev + Q2 * Q2_prev;
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Im = I2 * Q2_prev - Q2 * I2_prev;
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}
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if(Im != 0.0 && Re != 0.0)
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Period = 2 * M_PI / atan(Im / Re);
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else
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Period = 0.0;
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// --- Step 4: Clean up and smooth the calculated Period ---
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if(Period > 1.5 * Period_prev)
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Period = 1.5 * Period_prev;
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if(Period < 0.67 * Period_prev)
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Period = 0.67 * Period_prev;
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if(Period < 6)
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Period = 6;
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if(Period > 50)
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Period = 50;
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DC_Period = 0.2 * Period + 0.8 * DC_Period_prev;
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// --- Step 5: Calculate the adaptive gamma for this bar ---
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double gamma = 0.0;
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if(DC_Period > 0)
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gamma = 4.0 / DC_Period;
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// --- Step 6: Apply the Laguerre Filter with the dynamic gamma ---
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if(i > 0)
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{
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L0 = (1.0 - gamma) * m_price[i] + gamma * L0_prev;
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L1 = -gamma * L0 + L0_prev + gamma * L1_prev;
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L2 = -gamma * L1 + L1_prev + gamma * L2_prev;
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L3 = -gamma * L2 + L2_prev + gamma * L3_prev;
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}
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else // Initialization
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{
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L0 = m_price[i];
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L1 = m_price[i];
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L2 = m_price[i];
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L3 = m_price[i];
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}
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// --- CORRECTED: Calculate the final weighted filter output, not just L0 ---
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filter_buffer[i] = (L0 + 2.0 * L1 + 2.0 * L2 + L3) / 6.0;
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// --- Update previous values for the next iteration ---
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Filt_prev2 = Filt_prev;
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Filt_prev = Filt;
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I1_prev = I1;
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Q1_prev = Q1;
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I2_prev = I2;
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Q2_prev = Q2;
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Period_prev = Period;
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DC_Period_prev = DC_Period;
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L0_prev = L0;
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L1_prev = L1;
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L2_prev = L2;
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L3_prev = L3;
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}
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}
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//+------------------------------------------------------------------+
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//| CLaguerreFilterAdaptiveCalculator: Prepares the standard source price. |
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//+------------------------------------------------------------------+
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bool CLaguerreFilterAdaptiveCalculator::PreparePriceSeries(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[])
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{
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ArrayResize(m_price, rates_total);
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switch(price_type)
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{
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case PRICE_CLOSE:
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ArrayCopy(m_price, close, 0, 0, rates_total);
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break;
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case PRICE_OPEN:
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ArrayCopy(m_price, open, 0, 0, rates_total);
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break;
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case PRICE_HIGH:
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ArrayCopy(m_price, high, 0, 0, rates_total);
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break;
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case PRICE_LOW:
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ArrayCopy(m_price, low, 0, 0, rates_total);
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break;
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case PRICE_MEDIAN:
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for(int i=0; i<rates_total; i++)
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m_price[i] = (high[i]+low[i])/2.0;
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break;
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case PRICE_TYPICAL:
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for(int i=0; i<rates_total; i++)
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m_price[i] = (high[i]+low[i]+close[i])/3.0;
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break;
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case PRICE_WEIGHTED:
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for(int i=0; i<rates_total; i++)
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m_price[i] = (high[i]+low[i]+close[i]+close[i])/4.0;
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break;
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default:
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return false;
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}
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return true;
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}
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//+==================================================================+
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//| |
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//| CLASS 2: CLaguerreFilterAdaptiveCalculator_HA (HA) |
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//| |
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//+==================================================================+
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class CLaguerreFilterAdaptiveCalculator_HA : public CLaguerreFilterAdaptiveCalculator
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{
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private:
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CHeikinAshi_Calculator m_ha_calculator;
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protected:
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virtual bool PreparePriceSeries(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[]) override;
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};
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//+------------------------------------------------------------------+
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//| CLaguerreFilterAdaptiveCalculator_HA: Prepares the HA source price. |
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//+------------------------------------------------------------------+
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bool CLaguerreFilterAdaptiveCalculator_HA::PreparePriceSeries(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[])
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{
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double ha_open[], ha_high[], ha_low[], ha_close[];
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ArrayResize(ha_open, rates_total);
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ArrayResize(ha_high, rates_total);
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ArrayResize(ha_low, rates_total);
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ArrayResize(ha_close, rates_total);
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m_ha_calculator.Calculate(rates_total, open, high, low, close, ha_open, ha_high, ha_low, ha_close);
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ArrayResize(m_price, rates_total);
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switch(price_type)
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{
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case PRICE_CLOSE:
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ArrayCopy(m_price, ha_close, 0, 0, rates_total);
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break;
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case PRICE_OPEN:
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ArrayCopy(m_price, ha_open, 0, 0, rates_total);
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break;
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case PRICE_HIGH:
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ArrayCopy(m_price, ha_high, 0, 0, rates_total);
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break;
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case PRICE_LOW:
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ArrayCopy(m_price, ha_low, 0, 0, rates_total);
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break;
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case PRICE_MEDIAN:
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for(int i=0; i<rates_total; i++)
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m_price[i] = (ha_high[i]+ha_low[i])/2.0;
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break;
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case PRICE_TYPICAL:
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for(int i=0; i<rates_total; i++)
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m_price[i] = (ha_high[i]+ha_low[i]+ha_close[i])/3.0;
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break;
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case PRICE_WEIGHTED:
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for(int i=0; i<rates_total; i++)
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m_price[i] = (ha_high[i]+ha_low[i]+ha_close[i]+ha_close[i])/4.0;
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break;
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default:
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return false;
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}
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return true;
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}
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//+------------------------------------------------------------------+
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//+------------------------------------------------------------------+
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