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refactor: Streamlined Pure Moving Average Engine
This commit is contained in:
Toh4iem9
@@ -1,207 +1,241 @@
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//+------------------------------------------------------------------+
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//| KAMA_Calculator.mqh|
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//| VERSION 2.00: Optimized for incremental calculation. |
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//| Copyright 2025, xxxxxxxx |
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//| KAMA_Calculator.mqh |
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//| Engine for Perry Kaufman's Adaptive Moving Average (KAMA) |
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//| Copyright 2026, xxxxxxxx|
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//+------------------------------------------------------------------+
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#property copyright "Copyright 2025, xxxxxxxx"
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#property copyright "Copyright 2026, xxxxxxxx"
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#property version "3.10" // Streamlined Pure Moving Average Engine
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#include <MyIncludes\HeikinAshi_Tools.mqh>
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//+==================================================================+
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//| CLASS 1: CKamaCalculator (Base Class) |
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//| CLASS: CKamaCalculator |
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//+==================================================================+
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class CKamaCalculator
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{
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protected:
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int m_er_period;
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double m_fastest_sc, m_slowest_sc;
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private:
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int m_er_period;
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double m_fastest_sc;
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double m_slowest_sc;
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ENUM_APPLIED_PRICE_HA_ALL m_source_type;
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//--- Persistent Buffer for Incremental Calculation
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double m_price[];
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//--- Persistent Price Buffers
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double m_price[];
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double m_ha_open[], m_ha_high[], m_ha_low[], m_ha_close[];
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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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//--- Embedded Heikin Ashi Engine
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CHeikinAshi_Calculator m_ha_engine;
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//--- Internal Methods
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bool PreparePriceSeries(const int rates_total,
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const int start_index,
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const double &open[],
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const double &high[],
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const double &low[],
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const double &close[]);
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public:
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CKamaCalculator(void) {};
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virtual ~CKamaCalculator(void) {};
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CKamaCalculator(void);
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~CKamaCalculator(void) {};
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bool Init(int er_p, int fast_ema_p, int slow_ema_p);
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int GetPeriod(void) const { return m_er_period; }
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bool Init(const int er_p, const int fast_p, const int slow_p, const ENUM_APPLIED_PRICE_HA_ALL source);
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int GetPeriod(void) const { return m_er_period; }
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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 &kama_buffer[]);
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void Calculate(const int rates_total,
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const int prev_calculated,
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const double &open[],
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const double &high[],
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const double &low[],
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const double &close[],
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double &kama_buffer[]);
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};
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//+------------------------------------------------------------------+
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//| Init |
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//| Constructor |
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//+------------------------------------------------------------------+
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bool CKamaCalculator::Init(int er_p, int fast_ema_p, int slow_ema_p)
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CKamaCalculator::CKamaCalculator(void) : m_er_period(10),
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m_fastest_sc(0.6667),
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m_slowest_sc(0.0645),
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m_source_type(PRICE_CLOSE_STD)
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{
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ArraySetAsSeries(m_price, false);
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ArraySetAsSeries(m_ha_open, false);
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ArraySetAsSeries(m_ha_high, false);
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ArraySetAsSeries(m_ha_low, false);
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ArraySetAsSeries(m_ha_close, false);
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}
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//+------------------------------------------------------------------+
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//| Initialization |
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//+------------------------------------------------------------------+
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bool CKamaCalculator::Init(const int er_p, const int fast_p, const int slow_p, const ENUM_APPLIED_PRICE_HA_ALL source)
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{
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m_er_period = (er_p < 1) ? 1 : er_p;
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m_fastest_sc = 2.0 / ((fast_ema_p < 1 ? 1 : fast_ema_p) + 1.0);
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m_slowest_sc = 2.0 / ((slow_ema_p < 1 ? 1 : slow_ema_p) + 1.0);
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int fast_len = (fast_p < 1) ? 1 : fast_p;
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int slow_len = (slow_p < 1) ? 1 : slow_p;
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m_fastest_sc = 2.0 / (fast_len + 1.0);
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m_slowest_sc = 2.0 / (slow_len + 1.0);
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m_source_type = source;
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return true;
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}
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//+------------------------------------------------------------------+
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//| Main Calculation (Optimized) |
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//| Prepare Price Data (Unified Standard / Heikin Ashi) |
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//+------------------------------------------------------------------+
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void CKamaCalculator::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 &kama_buffer[])
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bool CKamaCalculator::PreparePriceSeries(const int rates_total,
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const int start_index,
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const double &open[],
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const double &high[],
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const double &low[],
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const double &close[])
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{
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if(ArraySize(m_price) != rates_total)
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{
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ArrayResize(m_price, rates_total);
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ArraySetAsSeries(m_price, false);
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}
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bool is_heikin_ashi = (m_source_type <= PRICE_HA_CLOSE);
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if(is_heikin_ashi)
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{
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if(ArraySize(m_ha_open) != rates_total)
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{
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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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ArraySetAsSeries(m_ha_open, false);
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ArraySetAsSeries(m_ha_high, false);
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ArraySetAsSeries(m_ha_low, false);
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ArraySetAsSeries(m_ha_close, false);
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}
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m_ha_engine.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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for(int i = start_index; i < rates_total; i++)
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{
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switch(m_source_type)
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{
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case PRICE_HA_OPEN:
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m_price[i] = m_ha_open[i];
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break;
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case PRICE_HA_HIGH:
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m_price[i] = m_ha_high[i];
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break;
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case PRICE_HA_LOW:
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m_price[i] = m_ha_low[i];
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break;
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case PRICE_HA_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_HA_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_HA_WEIGHTED:
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m_price[i] = (m_ha_high[i] + m_ha_low[i] + 2.0 * m_ha_close[i]) / 4.0;
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break;
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case PRICE_HA_CLOSE:
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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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}
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else
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{
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for(int i = start_index; i < rates_total; i++)
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{
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switch(m_source_type)
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{
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case PRICE_OPEN_STD:
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m_price[i] = open[i];
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break;
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case PRICE_HIGH_STD:
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m_price[i] = high[i];
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break;
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case PRICE_LOW_STD:
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m_price[i] = low[i];
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break;
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case PRICE_MEDIAN_STD:
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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_STD:
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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_STD:
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m_price[i] = (high[i] + low[i] + 2.0 * close[i]) / 4.0;
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break;
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case PRICE_CLOSE_STD:
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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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}
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return true;
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}
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//+------------------------------------------------------------------+
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//| Main Incremental Calculation Loop |
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//+------------------------------------------------------------------+
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void CKamaCalculator::Calculate(const int rates_total,
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const int prev_calculated,
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const double &open[],
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const double &high[],
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const double &low[],
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const double &close[],
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double &kama_buffer[])
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{
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if(rates_total <= m_er_period)
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return;
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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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int start_index = (prev_calculated == 0) ? 0 : 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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// Prepare Price Data
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if(!PreparePriceSeries(rates_total, start_index, open, high, low, close))
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return;
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//--- 4. Calculate KAMA (Incremental Loop)
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// Clean initial invalid range on fresh calculation
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if(prev_calculated == 0)
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{
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for(int i = 0; i < m_er_period; i++)
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kama_buffer[i] = EMPTY_VALUE;
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}
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int loop_start = MathMax(m_er_period, start_index);
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for(int i = loop_start; i < rates_total; i++)
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{
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// --- Initialization Step ---
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// Initialization Bar: Seed KAMA with current price
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if(i == m_er_period)
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{
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kama_buffer[i] = m_price[i];
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continue;
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}
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// --- Calculate Efficiency Ratio (ER) ---
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// We need m_price[i - m_er_period], which is safe due to persistent buffer
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// 1. Calculate Efficiency Ratio (ER)
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double direction = MathAbs(m_price[i] - m_price[i - m_er_period]);
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double volatility = 0;
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double volatility = 0.0;
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for(int j = 0; j < m_er_period; j++)
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{
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volatility += MathAbs(m_price[i - j] - m_price[i - j - 1]);
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}
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double er = (volatility > 0.000001) ? direction / volatility : 0;
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double er = (volatility > 0.00000001) ? (direction / volatility) : 0.0;
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// --- Calculate Scaled Smoothing Constant (SSC) ---
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double sc = pow(er * (m_fastest_sc - m_slowest_sc) + m_slowest_sc, 2);
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// 2. Scaled Smoothing Constant (SSC)
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double sc = MathPow(er * (m_fastest_sc - m_slowest_sc) + m_slowest_sc, 2.0);
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// --- Calculate Final AMA ---
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// Recursive calculation uses kama_buffer[i-1] which is persistent (from indicator)
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kama_buffer[i] = kama_buffer[i-1] + sc * (m_price[i] - kama_buffer[i-1]);
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// 3. Final Recursive KAMA Smoothing
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kama_buffer[i] = kama_buffer[i - 1] + sc * (m_price[i] - kama_buffer[i - 1]);
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}
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}
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//+------------------------------------------------------------------+
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//| Prepare Price (Standard - Optimized) |
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//+------------------------------------------------------------------+
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bool CKamaCalculator::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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// Optimized copy 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] = 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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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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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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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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//| CLASS 2: CKamaCalculator_HA (Heikin Ashi) |
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//+==================================================================+
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class CKamaCalculator_HA : public CKamaCalculator
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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, 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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//| Prepare Price (Heikin Ashi - Optimized) |
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//+------------------------------------------------------------------+
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bool CKamaCalculator_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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// Resize internal HA buffers
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if(ArraySize(m_ha_open) != rates_total)
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{
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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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