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refactor: Optimized for incremental calculation
This commit is contained in:
Toh4iem9
@@ -1,6 +1,6 @@
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//+------------------------------------------------------------------+
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//| McGinleyDynamic_Calculator.mqh |
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//| Calculation engine for Standard and Heikin Ashi McGinley Dynamic.|
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//| VERSION 3.20: Optimized for incremental calculation. |
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//| Copyright 2025, xxxxxxxx |
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//+------------------------------------------------------------------+
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#property copyright "Copyright 2025, xxxxxxxx"
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@@ -8,109 +8,31 @@
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#include <MyIncludes\HeikinAshi_Tools.mqh>
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//+==================================================================+
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//| CLASS: CMcGinleyFilter |
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//| A stateful class to calculate one instance of a McGinley filter. |
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//+==================================================================+
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class CMcGinleyFilter
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{
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private:
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int m_length;
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double m_last_value;
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bool m_is_initialized;
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public:
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CMcGinleyFilter(void) : m_length(14), m_last_value(0), m_is_initialized(false) {}
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void Init(int length);
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double Update(double price, const double &price_series[], int current_index);
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};
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//+------------------------------------------------------------------+
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//| CMcGinleyFilter: Resets the filter's state. |
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//+------------------------------------------------------------------+
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void CMcGinleyFilter::Init(int length)
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{
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m_length = (length < 1) ? 1 : length;
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m_is_initialized = false; // Reset initialization flag
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m_last_value = 0;
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}
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//+------------------------------------------------------------------+
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//| CMcGinleyFilter: Updates the filter with a new price value. |
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//+------------------------------------------------------------------+
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double CMcGinleyFilter::Update(double price, const double &price_series[], int current_index)
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{
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//--- Robust initialization with SMA on the first valid call
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if(!m_is_initialized)
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{
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// Not enough data to calculate initial SMA
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if(current_index < m_length - 1)
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return EMPTY_VALUE;
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double sum = 0;
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for(int i = 0; i < m_length; i++)
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{
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sum += price_series[current_index - i];
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}
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if(m_length > 0)
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m_last_value = sum / m_length;
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else
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m_last_value = price;
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m_is_initialized = true;
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return m_last_value;
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}
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//--- Handle potential zero or negative previous values
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if(m_last_value <= 0)
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{
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m_last_value = price;
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return m_last_value;
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}
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//--- Robust calculation with ratio clamping to prevent overflow ---
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double ratio = price / m_last_value;
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// Clamp the ratio to prevent extreme 'k' values on volatile instruments
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if(ratio > 2.0)
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ratio = 2.0; // Cap ratio at 100% price increase
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if(ratio < 0.5)
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ratio = 0.5; // Cap ratio at 50% price decrease
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double k = m_length * MathPow(ratio, 4);
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// Final guard clause to ensure the dynamic period is at least 1
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if(k < 1.0)
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k = 1.0;
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m_last_value = m_last_value + (price - m_last_value) / k;
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return m_last_value;
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}
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//+==================================================================+
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//| |
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//| CLASS 1: CMcGinleyDynamicCalculator (Base Class) |
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//| |
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//+==================================================================+
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class CMcGinleyDynamicCalculator
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{
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protected:
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int m_length;
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//--- Persistent Buffer for Incremental Calculation
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double m_price[];
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virtual bool PreparePriceSeries(int rates_total, const double &open[], const double &high[], const double &low[], const double &close[], ENUM_APPLIED_PRICE price_type);
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//--- Updated: Accepts start_index
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virtual bool PreparePriceSeries(int rates_total, int start_index, 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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CMcGinleyDynamicCalculator(void) {};
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virtual ~CMcGinleyDynamicCalculator(void) {};
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bool Init(int length);
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void Calculate(int rates_total, const double &open[], const double &high[], const double &low[], const double &close[], ENUM_APPLIED_PRICE price_type, double &mcginley_buffer[]);
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//--- Updated: Accepts prev_calculated
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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 &mcginley_buffer[]);
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};
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//+------------------------------------------------------------------+
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//| CMcGinleyDynamicCalculator: Initialization |
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//| Init |
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//+------------------------------------------------------------------+
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bool CMcGinleyDynamicCalculator::Init(int length)
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{
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@@ -119,114 +41,171 @@ bool CMcGinleyDynamicCalculator::Init(int length)
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}
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//+------------------------------------------------------------------+
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//| CMcGinleyDynamicCalculator: Main Calculation Method (Shared Logic)|
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//| Main Calculation (Optimized) |
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//+------------------------------------------------------------------+
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void CMcGinleyDynamicCalculator::Calculate(int rates_total, const double &open[], const double &high[], const double &low[], const double &close[], ENUM_APPLIED_PRICE price_type, double &mcginley_buffer[])
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void CMcGinleyDynamicCalculator::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 &mcginley_buffer[])
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{
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if(rates_total < m_length)
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return;
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if(!PreparePriceSeries(rates_total, open, high, low, close, price_type))
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//--- 1. Determine Start Index
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int start_index;
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if(prev_calculated == 0)
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start_index = 0;
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else
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start_index = prev_calculated - 1;
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//--- 2. Resize Buffer
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if(ArraySize(m_price) != rates_total)
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ArrayResize(m_price, rates_total);
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//--- 3. Prepare Price (Optimized)
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if(!PreparePriceSeries(rates_total, start_index, price_type, open, high, low, close))
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return;
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CMcGinleyFilter filter;
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filter.Init(m_length);
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//--- 4. Calculate McGinley Dynamic (Incremental Loop)
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int loop_start = MathMax(m_length, start_index);
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for(int i = 0; i < rates_total; i++)
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for(int i = loop_start; i < rates_total; i++)
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{
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mcginley_buffer[i] = filter.Update(m_price[i], m_price, i);
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// Initialization
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if(i == m_length)
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{
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// Simple Moving Average for initialization
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double sum = 0;
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for(int j = 0; j < m_length; j++)
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sum += m_price[i-j];
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mcginley_buffer[i] = sum / m_length;
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continue;
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}
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// Recursive calculation using persistent buffer [i-1]
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double prev_md = mcginley_buffer[i-1];
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if(prev_md <= 0) // Safety check
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{
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mcginley_buffer[i] = m_price[i];
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continue;
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}
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double ratio = m_price[i] / prev_md;
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// Clamp ratio
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if(ratio > 2.0)
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ratio = 2.0;
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if(ratio < 0.5)
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ratio = 0.5;
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double k = m_length * MathPow(ratio, 4);
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if(k < 1.0)
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k = 1.0;
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mcginley_buffer[i] = prev_md + (m_price[i] - prev_md) / k;
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}
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}
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//+------------------------------------------------------------------+
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//| CMcGinleyDynamicCalculator: Prepares the standard source price. |
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//| Prepare Price (Standard - Optimized) |
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//+------------------------------------------------------------------+
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bool CMcGinleyDynamicCalculator::PreparePriceSeries(int rates_total, const double &open[], const double &high[], const double &low[], const double &close[], ENUM_APPLIED_PRICE price_type)
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bool CMcGinleyDynamicCalculator::PreparePriceSeries(int rates_total, int start_index, 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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// Optimized copy loop
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for(int i = start_index; i < rates_total; i++)
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{
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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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switch(price_type)
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{
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case PRICE_CLOSE:
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m_price[i] = close[i];
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break;
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case PRICE_OPEN:
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m_price[i] = open[i];
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break;
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case PRICE_HIGH:
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m_price[i] = high[i];
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break;
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case PRICE_LOW:
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m_price[i] = low[i];
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break;
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case PRICE_MEDIAN:
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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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break;
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case PRICE_TYPICAL:
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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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break;
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case PRICE_WEIGHTED:
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m_price[i] = (high[i]+low[i]+2*close[i])/4.0;
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break;
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default:
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ArrayCopy(m_price, close, 0, 0, rates_total);
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break;
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break;
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default:
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m_price[i] = close[i];
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break;
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}
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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: CMcGinleyDynamicCalculator_HA (Heikin Ashi) |
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//| |
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//| CLASS 2: CMcGinleyDynamicCalculator_HA (HA) |
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//+==================================================================+
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class CMcGinleyDynamicCalculator_HA : public CMcGinleyDynamicCalculator
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{
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private:
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CHeikinAshi_Calculator m_ha_calculator;
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// Internal HA buffers
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double m_ha_open[], m_ha_high[], m_ha_low[], m_ha_close[];
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protected:
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virtual bool PreparePriceSeries(int rates_total, const double &open[], const double &high[], const double &low[], const double &close[], ENUM_APPLIED_PRICE price_type) override;
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virtual bool PreparePriceSeries(int rates_total, int start_index, 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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//| CMcGinleyDynamicCalculator_HA: Prepares the HA source price. |
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//| Prepare Price (Heikin Ashi - Optimized) |
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//+------------------------------------------------------------------+
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bool CMcGinleyDynamicCalculator_HA::PreparePriceSeries(int rates_total, const double &open[], const double &high[], const double &low[], const double &close[], ENUM_APPLIED_PRICE price_type)
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bool CMcGinleyDynamicCalculator_HA::PreparePriceSeries(int rates_total, int start_index, 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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// Resize internal HA buffers
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if(ArraySize(m_ha_open) != rates_total)
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{
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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]+2*ha_close[i])/4.0;
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break;
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default:
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ArrayCopy(m_price, ha_close, 0, 0, rates_total);
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break;
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ArrayResize(m_ha_open, rates_total);
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ArrayResize(m_ha_high, rates_total);
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ArrayResize(m_ha_low, rates_total);
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ArrayResize(m_ha_close, rates_total);
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}
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//--- STRICT CALL: Use the optimized 10-param HA calculation
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m_ha_calculator.Calculate(rates_total, start_index, open, high, low, close,
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m_ha_open, m_ha_high, m_ha_low, m_ha_close);
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//--- Copy to m_price (Optimized loop)
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for(int i = start_index; i < rates_total; i++)
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{
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switch(price_type)
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{
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case PRICE_CLOSE:
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m_price[i] = m_ha_close[i];
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break;
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case PRICE_OPEN:
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m_price[i] = m_ha_open[i];
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break;
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case PRICE_HIGH:
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m_price[i] = m_ha_high[i];
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break;
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case PRICE_LOW:
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m_price[i] = m_ha_low[i];
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break;
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case PRICE_MEDIAN:
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m_price[i] = (m_ha_high[i]+m_ha_low[i])/2.0;
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break;
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case PRICE_TYPICAL:
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m_price[i] = (m_ha_high[i]+m_ha_low[i]+m_ha_close[i])/3.0;
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break;
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case PRICE_WEIGHTED:
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m_price[i] = (m_ha_high[i]+m_ha_low[i]+2*m_ha_close[i])/4.0;
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break;
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default:
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m_price[i] = m_ha_close[i];
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break;
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}
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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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