diff --git a/Include/MyIncludes/Ehlers_Smoother_Calculator.mqh b/Include/MyIncludes/Ehlers_Smoother_Calculator.mqh new file mode 100644 index 0000000..6b1af2d --- /dev/null +++ b/Include/MyIncludes/Ehlers_Smoother_Calculator.mqh @@ -0,0 +1,195 @@ +//+------------------------------------------------------------------+ +//| Ehlers_Smoother_Calculator.mqh | +//| Calculation engine for John Ehlers' SuperSmoother and | +//| Ultimate Smoother filters. | +//| Copyright 2025, xxxxxxxx | +//+------------------------------------------------------------------+ +#property copyright "Copyright 2025, xxxxxxxx" + +#include + +enum ENUM_SMOOTHER_TYPE + { + SUPERSMOOTHER, + ULTIMATE_SMOOTHER + }; + +//+================================----------------==================+ +//| | +//| CLASS 1: CEhlersSmootherCalculator (Base) | +//| | +//+==================================================================+ +class CEhlersSmootherCalculator + { +protected: + int m_period; + ENUM_SMOOTHER_TYPE m_type; + double m_price[]; + + virtual bool PreparePriceSeries(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[]); + +public: + CEhlersSmootherCalculator(void) {}; + virtual ~CEhlersSmootherCalculator(void) {}; + + bool Init(int period, ENUM_SMOOTHER_TYPE type); + void Calculate(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[], double &filter_buffer[]); + }; + +//+------------------------------------------------------------------+ +bool CEhlersSmootherCalculator::Init(int period, ENUM_SMOOTHER_TYPE type) + { + m_period = (period < 2) ? 2 : period; + m_type = type; + return true; + } + +//+------------------------------------------------------------------+ +void CEhlersSmootherCalculator::Calculate(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[], double &filter_buffer[]) + { + if(rates_total < 4) + return; + if(!PreparePriceSeries(rates_total, price_type, open, high, low, close)) + return; + +// --- Calculate filter coefficients --- + double arg = 1.414 * M_PI / m_period; + double a1 = exp(-arg); + double b1 = 2.0 * a1 * cos(arg); + double c2 = b1; + double c3 = -a1 * a1; + double c1 = 0; + + if(m_type == SUPERSMOOTHER) + { + c1 = 1.0 - c2 - c3; + } + else // ULTIMATE_SMOOTHER + { + c1 = (1.0 + c2 - c3) / 4.0; // This is the c1 from the HighPass filter + } + +// --- State variables for recursive calculation --- + double f1=0, f2=0; // f[1], f[2] + +// --- Initialization for the first few bars --- + for(int i=0; i<4 && i 1) + f1 = filter_buffer[1]; + if(rates_total > 2) + f2 = filter_buffer[2]; + + +// --- Full recalculation loop --- + for(int i = 3; i < rates_total; i++) + { + double current_f = 0; + if(m_type == SUPERSMOOTHER) + { + current_f = c1 * (m_price[i] + m_price[i-1]) / 2.0 + c2 * f1 + c3 * f2; + } + else // ULTIMATE_SMOOTHER + { + // This is the closed-form equation from the article + current_f = (1.0 - c1) * m_price[i] + (2.0 * c1 - c2) * m_price[i-1] - (c1 + c3) * m_price[i-2] + c2 * f1 + c3 * f2; + } + + filter_buffer[i] = current_f; + + // Update state for next iteration + f2 = f1; + f1 = current_f; + } + } + +//+------------------------------------------------------------------+ +bool CEhlersSmootherCalculator::PreparePriceSeries(int rates_total, 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) + { + case PRICE_CLOSE: + ArrayCopy(m_price, close, 0, 0, rates_total); + break; + 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