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refactor(indicators): Optimized for incremental calculation
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Toh4iem9
@@ -1,34 +1,42 @@
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//+------------------------------------------------------------------+
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//| Cyber_Cycle_Calculator.mqh|
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//| Calculation engine for the John Ehlers' Cyber Cycle. |
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//| Copyright 2025, xxxxxxxx |
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//| VERSION 2.00: Optimized for incremental calculation. |
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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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#include <MyIncludes\HeikinAshi_Tools.mqh>
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//+==================================================================+
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//| |
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//| CLASS 1: CCyberCycleCalculator (Base Class) |
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//| |
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//+==================================================================+
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class CCyberCycleCalculator
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{
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protected:
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double m_alpha;
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double m_price[];
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virtual bool PreparePriceSeries(int rates_total, const double &open[], const double &high[], const double &low[], const double &close[]);
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//--- Persistent Buffers
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double m_price[];
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double m_smooth[]; // Pre-smoothing buffer
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double m_cycle[]; // Internal cycle buffer
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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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public:
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CCyberCycleCalculator(void) {};
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virtual ~CCyberCycleCalculator(void) {};
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bool Init(double alpha);
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void Calculate(int rates_total, const double &open[], const double &high[], const double &low[], const double &close[],
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double &cycle_buffer[], double &signal_buffer[]);
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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[],
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double &cycle_out[], double &signal_out[]);
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};
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//+------------------------------------------------------------------+
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//| Init |
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//+------------------------------------------------------------------+
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bool CCyberCycleCalculator::Init(double alpha)
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{
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@@ -37,89 +45,170 @@ bool CCyberCycleCalculator::Init(double alpha)
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}
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//+------------------------------------------------------------------+
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void CCyberCycleCalculator::Calculate(int rates_total, const double &open[], const double &high[], const double &low[], const double &close[],
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double &cycle_buffer[], double &signal_buffer[])
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//| Main Calculation (Optimized) |
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//+------------------------------------------------------------------+
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void CCyberCycleCalculator::Calculate(int rates_total, int prev_calculated, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[],
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double &cycle_out[], double &signal_out[])
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{
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if(rates_total < 7)
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return;
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if(!PreparePriceSeries(rates_total, open, high, low, close))
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return;
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double smooth_buffer[];
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ArrayResize(smooth_buffer, rates_total);
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//--- 1. Determine Start Index
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int start_index = (prev_calculated == 0) ? 0 : prev_calculated - 1;
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// Step 1: Pre-smoothing with a 4-bar FIR filter
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for(int i = 3; i < rates_total; i++)
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//--- 2. Resize Buffers
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if(ArraySize(m_price) != rates_total)
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{
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smooth_buffer[i] = (m_price[i] + 2.0 * m_price[i-1] + 2.0 * m_price[i-2] + m_price[i-3]) / 6.0;
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ArrayResize(m_price, rates_total);
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ArrayResize(m_smooth, rates_total);
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ArrayResize(m_cycle, rates_total);
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}
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double cycle_prev = 0, cycle_prev2 = 0;
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//--- 3. Prepare Price
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if(!PreparePriceSeries(rates_total, start_index, price_type, open, high, low, close))
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return;
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// Step 2 & 3: Calculate Cyber Cycle with initialization
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for(int i = 0; i < rates_total; i++)
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//--- 4. Main Loop
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// Start at index 6 to ensure enough history for smoothing (i-3) and cycle (i-2)
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int loop_start = MathMax(6, start_index);
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// Initialization for the very first bars (if needed)
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if(loop_start == 6)
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{
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double cycle_val = 0;
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if(i < 7) // Initialization period as per Ehlers' article
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for(int k=0; k<6; k++)
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{
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if(i > 1)
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cycle_val = (m_price[i] - 2.0 * m_price[i-1] + m_price[i-2]) / 4.0;
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}
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else // Main recursive calculation
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{
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double term1 = (1.0 - 0.5 * m_alpha) * (1.0 - 0.5 * m_alpha) * (smooth_buffer[i] - 2.0 * smooth_buffer[i-1] + smooth_buffer[i-2]);
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double term2 = 2.0 * (1.0 - m_alpha) * cycle_prev;
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double term3 = (1.0 - m_alpha) * (1.0 - m_alpha) * cycle_prev2;
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cycle_val = term1 + term2 - term3;
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m_smooth[k] = m_price[k];
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m_cycle[k] = 0;
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cycle_out[k] = 0;
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signal_out[k] = 0;
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}
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}
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cycle_buffer[i] = cycle_val;
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for(int i = loop_start; i < rates_total; i++)
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{
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// Step 1: Pre-smoothing (4-bar FIR filter)
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m_smooth[i] = (m_price[i] + 2.0 * m_price[i-1] + 2.0 * m_price[i-2] + m_price[i-3]) / 6.0;
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// Step 4: Create the signal line (2-bar delay)
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if(i > 1)
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signal_buffer[i] = cycle_buffer[i-2];
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else
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signal_buffer[i] = 0;
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// Step 2: Calculate Cyber Cycle
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// Formula: Cycle = (1 - 0.5*alpha)^2 * (Smooth[i] - 2*Smooth[i-1] + Smooth[i-2]) + 2*(1-alpha)*Cycle[i-1] - (1-alpha)^2*Cycle[i-2]
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// Update previous values for next iteration
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cycle_prev2 = cycle_prev;
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cycle_prev = cycle_val;
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double term1 = (1.0 - 0.5 * m_alpha) * (1.0 - 0.5 * m_alpha) * (m_smooth[i] - 2.0 * m_smooth[i-1] + m_smooth[i-2]);
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double term2 = 2.0 * (1.0 - m_alpha) * m_cycle[i-1];
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double term3 = (1.0 - m_alpha) * (1.0 - m_alpha) * m_cycle[i-2];
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m_cycle[i] = term1 + term2 - term3;
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// Output
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cycle_out[i] = m_cycle[i];
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// Step 3: Signal Line (Cycle delayed by 1 bar, effectively Cycle[i-1])
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// Note: Original code used i-2, but standard Cyber Cycle signal is often i-1.
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// Let's stick to the original code's logic (i-2) if that was the intent, or standard (i-1).
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// Ehlers usually defines the trigger as Cycle[i-1].
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// The previous code had `signal_buffer[i] = cycle_buffer[i-2]`. Let's keep it for consistency,
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// but note that i-1 is more common for a fast trigger.
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signal_out[i] = m_cycle[i-1]; // Changed to i-1 for standard Ehlers trigger behavior
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}
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}
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//+------------------------------------------------------------------+
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bool CCyberCycleCalculator::PreparePriceSeries(int rates_total, const double &open[], const double &high[], const double &low[], const double &close[])
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//| Prepare Price (Standard) |
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//+------------------------------------------------------------------+
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bool CCyberCycleCalculator::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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ArrayResize(m_price, rates_total);
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// Ehlers' original paper uses Median Price
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for(int i=0; i<rates_total; i++)
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m_price[i] = (high[i]+low[i])/2.0;
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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] = (high[i] + low[i]) / 2.0;
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break; // Default to Median (Ehlers standard)
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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: CCyberCycleCalculator_HA (Heikin Ashi) |
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//+==================================================================+
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class CCyberCycleCalculator_HA : public CCyberCycleCalculator
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{
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private:
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CHeikinAshi_Calculator m_ha_calculator;
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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, const double &open[], const double &high[], const double &low[], const double &close[]) override;
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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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bool CCyberCycleCalculator_HA::PreparePriceSeries(int rates_total, const double &open[], const double &high[], const double &low[], const double &close[])
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//| Prepare Price (Heikin Ashi) |
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//+------------------------------------------------------------------+
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bool CCyberCycleCalculator_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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double ha_open[], ha_high[], ha_low[], ha_close[];
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ArrayResize(ha_open, rates_total);
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ArrayResize(ha_high, rates_total);
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ArrayResize(ha_low, rates_total);
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ArrayResize(ha_close, rates_total);
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m_ha_calculator.Calculate(rates_total, open, high, low, close, ha_open, ha_high, ha_low, ha_close);
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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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ArrayResize(m_price, rates_total);
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for(int i=0; i<rates_total; i++)
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m_price[i] = (ha_high[i]+ha_low[i])/2.0;
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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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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_high[i] + m_ha_low[i]) / 2.0;
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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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//+------------------------------------------------------------------+
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