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Toh4iem9
2025-10-21 15:11:28 +02:00
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Include/MyIncludes/Butterworth_Calculator.mqh
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//+------------------------------------------------------------------+
//| Butterworth_Calculator.mqh |
//| Calculation engine for the John Ehlers' Butterworth Filter. |
//| Copyright 2025, xxxxxxxx |
//+------------------------------------------------------------------+
#property copyright "Copyright 2025, xxxxxxxx"
#include <MyIncludes\HeikinAshi_Tools.mqh>
enum ENUM_BUTTERWORTH_POLES
{
POLES_TWO = 2,
POLES_THREE = 3
};
//+==================================================================+
//| |
//| CLASS 1: CButterworthCalculator (Base Class) |
//| |
//+==================================================================+
class CButterworthCalculator
{
protected:
int m_period;
ENUM_BUTTERWORTH_POLES m_poles;
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:
CButterworthCalculator(void) {};
virtual ~CButterworthCalculator(void) {};
bool Init(int period, ENUM_BUTTERWORTH_POLES poles);
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 CButterworthCalculator::Init(int period, ENUM_BUTTERWORTH_POLES poles)
{
m_period = (period < 2) ? 2 : period;
m_poles = poles;
return true;
}
//+------------------------------------------------------------------+
void CButterworthCalculator::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 < m_period)
return;
if(!PreparePriceSeries(rates_total, price_type, open, high, low, close))
return;
// --- State variables for recursive calculation ---
double f1=0, f2=0, f3=0; // f[1], f[2], f[3]
if(m_poles == POLES_TWO)
{
// --- Calculate coefficients for 2-pole filter ---
double a = exp(-1.414 * M_PI / m_period);
double b = 2.0 * a * cos(1.414 * M_PI / m_period); // MQL5 cos uses radians
double c1 = (1.0 - b + a*a) / 4.0;
for(int i = 2; i < rates_total; i++)
{
double current_f = b * f1 - a * a * f2 + c1 * (m_price[i] + 2.0 * m_price[i-1] + m_price[i-2]);
filter_buffer[i] = current_f;
// Update state
f2 = f1;
f1 = current_f;
}
}
else // POLES_THREE
{
// --- Calculate coefficients for 3-pole filter ---
double a = exp(-M_PI / m_period);
double b = 2.0 * a * cos(1.738 * M_PI / m_period); // MQL5 cos uses radians
double c = a * a;
double c1 = (1.0 - b + c) * (1.0 - c) / 8.0;
for(int i = 3; i < rates_total; i++)
{
double current_f = (b + c) * f1 - (c + b*c) * f2 + c*c * f3 + c1 * (m_price[i] + 3.0 * m_price[i-1] + 3.0 * m_price[i-2] + m_price[i-3]);
filter_buffer[i] = current_f;
// Update state
f3 = f2;
f2 = f1;
f1 = current_f;
}
}
}
//+------------------------------------------------------------------+
bool CButterworthCalculator::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<rates_total; i++)
m_price[i] = (high[i]+low[i])/2.0;
break;
case PRICE_TYPICAL:
for(int i=0; i<rates_total; i++)
m_price[i] = (high[i]+low[i]+close[i])/3.0;
break;
case PRICE_WEIGHTED:
for(int i=0; i<rates_total; i++)
m_price[i] = (high[i]+low[i]+close[i]+close[i])/4.0;
break;
default:
return false;
}
return true;
}
//+==================================================================+
class CButterworthCalculator_HA : public CButterworthCalculator
{
private:
CHeikinAshi_Calculator m_ha_calculator;
protected:
virtual bool PreparePriceSeries(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[]) override;
};
//+------------------------------------------------------------------+
bool CButterworthCalculator_HA::PreparePriceSeries(int rates_total, 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_price, rates_total);
switch(price_type)
{
case PRICE_CLOSE:
ArrayCopy(m_price, ha_close, 0, 0, rates_total);
break;
case PRICE_OPEN:
ArrayCopy(m_price, ha_open, 0, 0, rates_total);
break;
case PRICE_HIGH:
ArrayCopy(m_price, ha_high, 0, 0, rates_total);
break;
case PRICE_LOW:
ArrayCopy(m_price, ha_low, 0, 0, rates_total);
break;
case PRICE_MEDIAN:
for(int i=0; i<rates_total; i++)
m_price[i] = (ha_high[i]+ha_low[i])/2.0;
break;
case PRICE_TYPICAL:
for(int i=0; i<rates_total; i++)
m_price[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_price[i] = (ha_high[i]+ha_low[i]+ha_close[i]+ha_close[i])/4.0;
break;
default:
return false;
}
return true;
}
//+------------------------------------------------------------------+
//+------------------------------------------------------------------+