mirror of
https://github.com/softwaredevelop/mql5.git
synced 2026-07-27 20:47:44 +00:00
refactor(indicators): Optimized for incremental calculation
This commit is contained in:
Toh4iem9
@@ -1,182 +1,225 @@
|
||||
//+------------------------------------------------------------------+
|
||||
//| Windowed_MA_Calculator.mqh |
|
||||
//| Calculation engine for Windowed FIR filters (SMA, HWMA). |
|
||||
//| Calculation engine for Hann Windowed FIR filter. |
|
||||
//| VERSION 2.00: Optimized for incremental calculation. |
|
||||
//| Copyright 2025, xxxxxxxx |
|
||||
//+------------------------------------------------------------------+
|
||||
#property copyright "Copyright 2025, xxxxxxxx"
|
||||
|
||||
#include <MyIncludes\HeikinAshi_Tools.mqh>
|
||||
|
||||
enum ENUM_WINDOW_TYPE { W_SMA, W_TRIANGULAR, W_HANN };
|
||||
enum ENUM_INPUT_SOURCE { SOURCE_PRICE, SOURCE_MOMENTUM }; // Price or (Close-Open)
|
||||
|
||||
//+==================================================================+
|
||||
//| CLASS 1: CWindowedMACalculator (Base Class) |
|
||||
//+==================================================================+
|
||||
class CWindowedMACalculator
|
||||
{
|
||||
protected:
|
||||
int m_period;
|
||||
ENUM_WINDOW_TYPE m_window_type;
|
||||
ENUM_INPUT_SOURCE m_source_type;
|
||||
|
||||
//--- Persistent Buffer for Incremental Calculation
|
||||
double m_source_data[];
|
||||
|
||||
virtual bool PrepareSourceData(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[]);
|
||||
//--- Pre-calculated Weights
|
||||
double m_weights[];
|
||||
double m_weight_sum;
|
||||
|
||||
//--- Updated: Accepts start_index
|
||||
virtual bool PrepareSourceData(int rates_total, int start_index, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[]);
|
||||
|
||||
public:
|
||||
CWindowedMACalculator(void) {};
|
||||
virtual ~CWindowedMACalculator(void) {};
|
||||
|
||||
bool Init(int period, ENUM_WINDOW_TYPE window_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 &output_buffer[]);
|
||||
bool Init(int period, ENUM_INPUT_SOURCE source_type);
|
||||
|
||||
//--- 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 &output_buffer[]);
|
||||
};
|
||||
|
||||
//+------------------------------------------------------------------+
|
||||
bool CWindowedMACalculator::Init(int period, ENUM_WINDOW_TYPE window_type, ENUM_INPUT_SOURCE source_type)
|
||||
//| Init |
|
||||
//+------------------------------------------------------------------+
|
||||
bool CWindowedMACalculator::Init(int period, ENUM_INPUT_SOURCE source_type)
|
||||
{
|
||||
m_period = (period < 1) ? 1 : period;
|
||||
m_window_type = window_type;
|
||||
m_period = (period < 2) ? 2 : period;
|
||||
m_source_type = source_type;
|
||||
return true;
|
||||
|
||||
// Pre-calculate Hann Weights
|
||||
ArrayResize(m_weights, m_period);
|
||||
m_weight_sum = 0;
|
||||
|
||||
for(int j = 0; j < m_period; j++)
|
||||
{
|
||||
// Hann Window Formula: 0.5 * (1 - cos(2*pi*j / (N-1)))
|
||||
// Note: j goes from 0 to N-1.
|
||||
// j=0 -> weight=0
|
||||
// j=N-1 -> weight=0
|
||||
// Peak is at j=(N-1)/2
|
||||
|
||||
double weight = 0.5 * (1.0 - cos(2.0 * M_PI * j / (m_period - 1.0)));
|
||||
m_weights[j] = weight;
|
||||
m_weight_sum += weight;
|
||||
}
|
||||
|
||||
return (m_weight_sum > 0);
|
||||
}
|
||||
|
||||
//+------------------------------------------------------------------+
|
||||
void CWindowedMACalculator::Calculate(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[], double &output_buffer[])
|
||||
//| Main Calculation (Optimized) |
|
||||
//+------------------------------------------------------------------+
|
||||
void CWindowedMACalculator::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 &output_buffer[])
|
||||
{
|
||||
if(rates_total < m_period)
|
||||
return;
|
||||
if(!PrepareSourceData(rates_total, price_type, open, high, low, close))
|
||||
|
||||
//--- 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_source_data) != rates_total)
|
||||
ArrayResize(m_source_data, rates_total);
|
||||
|
||||
//--- 3. Prepare Source Data (Optimized)
|
||||
if(!PrepareSourceData(rates_total, start_index, price_type, open, high, low, close))
|
||||
return;
|
||||
|
||||
for(int i = m_period - 1; i < rates_total; i++)
|
||||
//--- 4. Calculate Windowed MA (Incremental Loop)
|
||||
int loop_start = MathMax(m_period - 1, start_index);
|
||||
|
||||
for(int i = loop_start; i < rates_total; i++)
|
||||
{
|
||||
double sum = 0;
|
||||
double weight_sum = 0;
|
||||
|
||||
// Convolution: Sum(Price[i-j] * Weight[j])
|
||||
// Optimization: Weights are pre-calculated
|
||||
for(int j = 0; j < m_period; j++)
|
||||
{
|
||||
double weight = 1.0;
|
||||
switch(m_window_type)
|
||||
{
|
||||
case W_TRIANGULAR:
|
||||
weight = (m_period/2.0) - fabs(j - (m_period-1.0)/2.0);
|
||||
break;
|
||||
case W_HANN:
|
||||
if(m_period > 1)
|
||||
weight = 0.5 * (1.0 - cos(2.0 * M_PI * j / (m_period - 1.0)));
|
||||
else
|
||||
weight = 1.0;
|
||||
break;
|
||||
}
|
||||
|
||||
sum += m_source_data[i-j] * weight;
|
||||
weight_sum += weight;
|
||||
sum += m_source_data[i-j] * m_weights[j];
|
||||
}
|
||||
|
||||
if(weight_sum > 0)
|
||||
output_buffer[i] = sum / weight_sum;
|
||||
output_buffer[i] = sum / m_weight_sum;
|
||||
}
|
||||
}
|
||||
|
||||
//+------------------------------------------------------------------+
|
||||
bool CWindowedMACalculator::PrepareSourceData(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[])
|
||||
//| Prepare Source Data (Standard - Optimized) |
|
||||
//+------------------------------------------------------------------+
|
||||
bool CWindowedMACalculator::PrepareSourceData(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_source_data, rates_total);
|
||||
if(m_source_type == SOURCE_PRICE)
|
||||
for(int i = start_index; i < rates_total; i++)
|
||||
{
|
||||
// Use the selected price type for the calculation
|
||||
switch(price_type)
|
||||
if(m_source_type == SOURCE_PRICE)
|
||||
{
|
||||
case PRICE_OPEN:
|
||||
ArrayCopy(m_source_data, open, 0, 0, rates_total);
|
||||
break;
|
||||
case PRICE_HIGH:
|
||||
ArrayCopy(m_source_data, high, 0, 0, rates_total);
|
||||
break;
|
||||
case PRICE_LOW:
|
||||
ArrayCopy(m_source_data, low, 0, 0, rates_total);
|
||||
break;
|
||||
case PRICE_MEDIAN:
|
||||
for(int i=0; i<rates_total; i++)
|
||||
switch(price_type)
|
||||
{
|
||||
case PRICE_CLOSE:
|
||||
m_source_data[i] = close[i];
|
||||
break;
|
||||
case PRICE_OPEN:
|
||||
m_source_data[i] = open[i];
|
||||
break;
|
||||
case PRICE_HIGH:
|
||||
m_source_data[i] = high[i];
|
||||
break;
|
||||
case PRICE_LOW:
|
||||
m_source_data[i] = low[i];
|
||||
break;
|
||||
case PRICE_MEDIAN:
|
||||
m_source_data[i] = (high[i]+low[i])/2.0;
|
||||
break;
|
||||
case PRICE_TYPICAL:
|
||||
for(int i=0; i<rates_total; i++)
|
||||
break;
|
||||
case PRICE_TYPICAL:
|
||||
m_source_data[i] = (high[i]+low[i]+close[i])/3.0;
|
||||
break;
|
||||
case PRICE_WEIGHTED:
|
||||
for(int i=0; i<rates_total; i++)
|
||||
break;
|
||||
case PRICE_WEIGHTED:
|
||||
m_source_data[i] = (high[i]+low[i]+2*close[i])/4.0;
|
||||
break;
|
||||
default:
|
||||
ArrayCopy(m_source_data, close, 0, 0, rates_total);
|
||||
break;
|
||||
break;
|
||||
default:
|
||||
m_source_data[i] = close[i];
|
||||
break;
|
||||
}
|
||||
}
|
||||
}
|
||||
else // SOURCE_MOMENTUM
|
||||
{
|
||||
for(int i=0; i<rates_total; i++)
|
||||
else // SOURCE_MOMENTUM
|
||||
{
|
||||
m_source_data[i] = close[i] - open[i];
|
||||
}
|
||||
}
|
||||
return true;
|
||||
}
|
||||
|
||||
//+==================================================================+
|
||||
//| CLASS 2: CWindowedMACalculator_HA (Heikin Ashi) |
|
||||
//+==================================================================+
|
||||
class CWindowedMACalculator_HA : public CWindowedMACalculator
|
||||
{
|
||||
private:
|
||||
CHeikinAshi_Calculator m_ha_calculator;
|
||||
// Internal HA buffers
|
||||
double m_ha_open[], m_ha_high[], m_ha_low[], m_ha_close[];
|
||||
|
||||
protected:
|
||||
// CORRECTED: Function name typo fixed
|
||||
virtual bool PrepareSourceData(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[]) override;
|
||||
virtual bool PrepareSourceData(int rates_total, int start_index, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[]) override;
|
||||
};
|
||||
|
||||
//+------------------------------------------------------------------+
|
||||
// CORRECTED: Function name typo fixed
|
||||
bool CWindowedMACalculator_HA::PrepareSourceData(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[])
|
||||
//| Prepare Source Data (Heikin Ashi - Optimized) |
|
||||
//+------------------------------------------------------------------+
|
||||
bool CWindowedMACalculator_HA::PrepareSourceData(int rates_total, int start_index, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[])
|
||||
{
|
||||
double ha_open[], ha_high[], ha_low[], ha_close[];
|
||||
ArrayResize(ha_open, rates_total);
|
||||
ArrayResize(ha_high, rates_total);
|
||||
ArrayResize(ha_low, 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);
|
||||
|
||||
ArrayResize(m_source_data, rates_total);
|
||||
if(m_source_type == SOURCE_PRICE)
|
||||
if(ArraySize(m_ha_open) != rates_total)
|
||||
{
|
||||
switch(price_type)
|
||||
{
|
||||
case PRICE_OPEN:
|
||||
ArrayCopy(m_source_data, ha_open, 0, 0, rates_total);
|
||||
break;
|
||||
case PRICE_HIGH:
|
||||
ArrayCopy(m_source_data, ha_high, 0, 0, rates_total);
|
||||
break;
|
||||
case PRICE_LOW:
|
||||
ArrayCopy(m_source_data, ha_low, 0, 0, rates_total);
|
||||
break;
|
||||
case PRICE_MEDIAN:
|
||||
for(int i=0; i<rates_total; i++)
|
||||
m_source_data[i] = (ha_high[i]+ha_low[i])/2.0;
|
||||
break;
|
||||
case PRICE_TYPICAL:
|
||||
for(int i=0; i<rates_total; i++)
|
||||
m_source_data[i] = (ha_high[i]+ha_low[i]+ha_close[i])/3.0;
|
||||
break;
|
||||
case PRICE_WEIGHTED:
|
||||
for(int i=0; i<rates_total; i++)
|
||||
m_source_data[i] = (ha_high[i]+ha_low[i]+2*ha_close[i])/4.0;
|
||||
break;
|
||||
default:
|
||||
ArrayCopy(m_source_data, ha_close, 0, 0, rates_total);
|
||||
break;
|
||||
}
|
||||
ArrayResize(m_ha_open, rates_total);
|
||||
ArrayResize(m_ha_high, rates_total);
|
||||
ArrayResize(m_ha_low, rates_total);
|
||||
ArrayResize(m_ha_close, rates_total);
|
||||
}
|
||||
else // SOURCE_MOMENTUM
|
||||
|
||||
m_ha_calculator.Calculate(rates_total, start_index, open, high, low, close,
|
||||
m_ha_open, m_ha_high, m_ha_low, m_ha_close);
|
||||
|
||||
for(int i = start_index; i < rates_total; i++)
|
||||
{
|
||||
for(int i=0; i<rates_total; i++)
|
||||
m_source_data[i] = ha_close[i] - ha_open[i];
|
||||
if(m_source_type == SOURCE_PRICE)
|
||||
{
|
||||
switch(price_type)
|
||||
{
|
||||
case PRICE_CLOSE:
|
||||
m_source_data[i] = m_ha_close[i];
|
||||
break;
|
||||
case PRICE_OPEN:
|
||||
m_source_data[i] = m_ha_open[i];
|
||||
break;
|
||||
case PRICE_HIGH:
|
||||
m_source_data[i] = m_ha_high[i];
|
||||
break;
|
||||
case PRICE_LOW:
|
||||
m_source_data[i] = m_ha_low[i];
|
||||
break;
|
||||
case PRICE_MEDIAN:
|
||||
m_source_data[i] = (m_ha_high[i]+m_ha_low[i])/2.0;
|
||||
break;
|
||||
case PRICE_TYPICAL:
|
||||
m_source_data[i] = (m_ha_high[i]+m_ha_low[i]+m_ha_close[i])/3.0;
|
||||
break;
|
||||
case PRICE_WEIGHTED:
|
||||
m_source_data[i] = (m_ha_high[i]+m_ha_low[i]+2*m_ha_close[i])/4.0;
|
||||
break;
|
||||
default:
|
||||
m_source_data[i] = m_ha_close[i];
|
||||
break;
|
||||
}
|
||||
}
|
||||
else // SOURCE_MOMENTUM
|
||||
{
|
||||
m_source_data[i] = m_ha_close[i] - m_ha_open[i];
|
||||
}
|
||||
}
|
||||
return true;
|
||||
}
|
||||
//+------------------------------------------------------------------+
|
||||
//+------------------------------------------------------------------+
|
||||
|
||||
Reference in New Issue
Block a user