refactor(indicators): Optimized for incremental calculation

Include/MyIncludes/Windowed_MA_Calculator.mqh

@@ -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);
+   bool              Init(int period, 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[]);
+
+   //--- 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_period = (period < 2) ? 2 : period;
-   m_window_type = window_type;
    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;
+         sum += m_source_data[i-j] * m_weights[j];
-         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;
         }
 
-      if(weight_sum > 0)
+      output_buffer[i] = sum / m_weight_sum;
-         output_buffer[i] = sum / 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);
+   for(int i = start_index; i < rates_total; i++)
-   if(m_source_type == SOURCE_PRICE)
      {
-      // Use the selected price type for the calculation
+      if(m_source_type == SOURCE_PRICE)
-      switch(price_type)
         {
-         case PRICE_OPEN:
+         switch(price_type)
-            ArrayCopy(m_source_data, open, 0, 0, rates_total);
+           {
-            break;
+            case PRICE_CLOSE:
-         case PRICE_HIGH:
+               m_source_data[i] = close[i];
-            ArrayCopy(m_source_data, high, 0, 0, rates_total);
+               break;
-            break;
+            case PRICE_OPEN:
-         case PRICE_LOW:
+               m_source_data[i] = open[i];
-            ArrayCopy(m_source_data, low, 0, 0, rates_total);
+               break;
-            break;
+            case PRICE_HIGH:
-         case PRICE_MEDIAN:
+               m_source_data[i] = high[i];
-            for(int i=0; i<rates_total; 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;
+               break;
-         case PRICE_TYPICAL:
+            case PRICE_TYPICAL:
-            for(int i=0; i<rates_total; i++)
                m_source_data[i] = (high[i]+low[i]+close[i])/3.0;
-            break;
+               break;
-         case PRICE_WEIGHTED:
+            case PRICE_WEIGHTED:
-            for(int i=0; i<rates_total; i++)
                m_source_data[i] = (high[i]+low[i]+2*close[i])/4.0;
-            break;
+               break;
-         default:
+            default:
-            ArrayCopy(m_source_data, close, 0, 0, rates_total);
+               m_source_data[i] = close[i];
-            break;
+               break;
+           }
         }
-     }
+      else // SOURCE_MOMENTUM
-   else // SOURCE_MOMENTUM
+        {
-     {
-      for(int i=0; i<rates_total; i++)
          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, int start_index, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[]) override;
-   virtual bool      PrepareSourceData(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[]) override;
   };
 
 //+------------------------------------------------------------------+
-// CORRECTED: Function name typo fixed
+//| Prepare Source Data (Heikin Ashi - Optimized)                    |
-bool CWindowedMACalculator_HA::PrepareSourceData(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[])
+//+------------------------------------------------------------------+
+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[];
+   if(ArraySize(m_ha_open) != rates_total)
-   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)
      {
-      switch(price_type)
+      ArrayResize(m_ha_open, rates_total);
-        {
+      ArrayResize(m_ha_high, rates_total);
-         case PRICE_OPEN:
+      ArrayResize(m_ha_low, rates_total);
-            ArrayCopy(m_source_data, ha_open, 0, 0, rates_total);
+      ArrayResize(m_ha_close, 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;
-        }
      }
-   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++)
+      if(m_source_type == SOURCE_PRICE)
-         m_source_data[i] = ha_close[i] - ha_open[i];
+        {
+         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;
   }
 //+------------------------------------------------------------------+
-//+------------------------------------------------------------------+