diff --git a/Include/MyIncludes/McGinleyDynamic_Calculator.mqh b/Include/MyIncludes/McGinleyDynamic_Calculator.mqh index 74ce3ba..e6fcb6d 100644 --- a/Include/MyIncludes/McGinleyDynamic_Calculator.mqh +++ b/Include/MyIncludes/McGinleyDynamic_Calculator.mqh @@ -1,6 +1,6 @@ //+------------------------------------------------------------------+ //| McGinleyDynamic_Calculator.mqh | -//| Calculation engine for Standard and Heikin Ashi McGinley Dynamic.| +//| VERSION 3.20: Optimized for incremental calculation. | //| Copyright 2025, xxxxxxxx | //+------------------------------------------------------------------+ #property copyright "Copyright 2025, xxxxxxxx" @@ -8,109 +8,31 @@ #include //+==================================================================+ -//| CLASS: CMcGinleyFilter | -//| A stateful class to calculate one instance of a McGinley filter. | -//+==================================================================+ -class CMcGinleyFilter - { -private: - int m_length; - double m_last_value; - bool m_is_initialized; - -public: - CMcGinleyFilter(void) : m_length(14), m_last_value(0), m_is_initialized(false) {} - - void Init(int length); - double Update(double price, const double &price_series[], int current_index); - }; - -//+------------------------------------------------------------------+ -//| CMcGinleyFilter: Resets the filter's state. | -//+------------------------------------------------------------------+ -void CMcGinleyFilter::Init(int length) - { - m_length = (length < 1) ? 1 : length; - m_is_initialized = false; // Reset initialization flag - m_last_value = 0; - } - -//+------------------------------------------------------------------+ -//| CMcGinleyFilter: Updates the filter with a new price value. | -//+------------------------------------------------------------------+ -double CMcGinleyFilter::Update(double price, const double &price_series[], int current_index) - { -//--- Robust initialization with SMA on the first valid call - if(!m_is_initialized) - { - // Not enough data to calculate initial SMA - if(current_index < m_length - 1) - return EMPTY_VALUE; - - double sum = 0; - for(int i = 0; i < m_length; i++) - { - sum += price_series[current_index - i]; - } - - if(m_length > 0) - m_last_value = sum / m_length; - else - m_last_value = price; - - m_is_initialized = true; - return m_last_value; - } - -//--- Handle potential zero or negative previous values - if(m_last_value <= 0) - { - m_last_value = price; - return m_last_value; - } - -//--- Robust calculation with ratio clamping to prevent overflow --- - double ratio = price / m_last_value; - -// Clamp the ratio to prevent extreme 'k' values on volatile instruments - if(ratio > 2.0) - ratio = 2.0; // Cap ratio at 100% price increase - if(ratio < 0.5) - ratio = 0.5; // Cap ratio at 50% price decrease - - double k = m_length * MathPow(ratio, 4); - -// Final guard clause to ensure the dynamic period is at least 1 - if(k < 1.0) - k = 1.0; - - m_last_value = m_last_value + (price - m_last_value) / k; - return m_last_value; - } - -//+==================================================================+ -//| | //| CLASS 1: CMcGinleyDynamicCalculator (Base Class) | -//| | //+==================================================================+ class CMcGinleyDynamicCalculator { protected: int m_length; + + //--- Persistent Buffer for Incremental Calculation double m_price[]; - virtual bool PreparePriceSeries(int rates_total, const double &open[], const double &high[], const double &low[], const double &close[], ENUM_APPLIED_PRICE price_type); + //--- Updated: Accepts start_index + 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[]); public: CMcGinleyDynamicCalculator(void) {}; virtual ~CMcGinleyDynamicCalculator(void) {}; bool Init(int length); - 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[]); + + //--- Updated: Accepts prev_calculated + 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[]); }; //+------------------------------------------------------------------+ -//| CMcGinleyDynamicCalculator: Initialization | +//| Init | //+------------------------------------------------------------------+ bool CMcGinleyDynamicCalculator::Init(int length) { @@ -119,114 +41,171 @@ bool CMcGinleyDynamicCalculator::Init(int length) } //+------------------------------------------------------------------+ -//| CMcGinleyDynamicCalculator: Main Calculation Method (Shared Logic)| +//| Main Calculation (Optimized) | //+------------------------------------------------------------------+ -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[]) +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[]) { if(rates_total < m_length) return; - if(!PreparePriceSeries(rates_total, open, high, low, close, price_type)) + +//--- 1. Determine Start Index + int start_index; + if(prev_calculated == 0) + start_index = 0; + else + start_index = prev_calculated - 1; + +//--- 2. Resize Buffer + if(ArraySize(m_price) != rates_total) + ArrayResize(m_price, rates_total); + +//--- 3. Prepare Price (Optimized) + if(!PreparePriceSeries(rates_total, start_index, price_type, open, high, low, close)) return; - CMcGinleyFilter filter; - filter.Init(m_length); +//--- 4. Calculate McGinley Dynamic (Incremental Loop) + int loop_start = MathMax(m_length, start_index); - for(int i = 0; i < rates_total; i++) + for(int i = loop_start; i < rates_total; i++) { - mcginley_buffer[i] = filter.Update(m_price[i], m_price, i); + // Initialization + if(i == m_length) + { + // Simple Moving Average for initialization + double sum = 0; + for(int j = 0; j < m_length; j++) + sum += m_price[i-j]; + mcginley_buffer[i] = sum / m_length; + continue; + } + + // Recursive calculation using persistent buffer [i-1] + double prev_md = mcginley_buffer[i-1]; + + if(prev_md <= 0) // Safety check + { + mcginley_buffer[i] = m_price[i]; + continue; + } + + double ratio = m_price[i] / prev_md; + + // Clamp ratio + if(ratio > 2.0) + ratio = 2.0; + if(ratio < 0.5) + ratio = 0.5; + + double k = m_length * MathPow(ratio, 4); + if(k < 1.0) + k = 1.0; + + mcginley_buffer[i] = prev_md + (m_price[i] - prev_md) / k; } } //+------------------------------------------------------------------+ -//| CMcGinleyDynamicCalculator: Prepares the standard source price. | +//| Prepare Price (Standard - Optimized) | //+------------------------------------------------------------------+ -bool CMcGinleyDynamicCalculator::PreparePriceSeries(int rates_total, const double &open[], const double &high[], const double &low[], const double &close[], ENUM_APPLIED_PRICE price_type) +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[]) { - ArrayResize(m_price, rates_total); - switch(price_type) +// Optimized copy loop + for(int i = start_index; i < rates_total; i++) { - case PRICE_OPEN: - ArrayCopy(m_price, open, 0, 0, rates_total); - break; - case PRICE_HIGH: - ArrayCopy(m_price, high, 0, 0, rates_total); - break; - case PRICE_LOW: - ArrayCopy(m_price, low, 0, 0, rates_total); - break; - case PRICE_MEDIAN: - for(int i=0; i