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refactor(indicators): Optimized for incremental calculation
This commit is contained in:
Toh4iem9
@@ -1,7 +1,7 @@
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//+------------------------------------------------------------------+
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//+------------------------------------------------------------------+
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//| ZeroLag_EMA_Calculator.mqh |
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//| ZeroLag_EMA_Calculator.mqh |
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//| Calculation engine for the John Ehlers' Zero-Lag EMA. |
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//| Calculation engine for the John Ehlers' Zero-Lag EMA. |
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//| Supports standard (double EMA) and optimized gain modes. |
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//| VERSION 3.00: Optimized for incremental calculation. |
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//| Copyright 2025, xxxxxxxx |
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//| Copyright 2025, xxxxxxxx |
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//+------------------------------------------------------------------+
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//+------------------------------------------------------------------+
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#property copyright "Copyright 2025, xxxxxxxx"
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#property copyright "Copyright 2025, xxxxxxxx"
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@@ -9,9 +9,7 @@
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#include <MyIncludes\HeikinAshi_Tools.mqh>
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#include <MyIncludes\HeikinAshi_Tools.mqh>
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//+==================================================================+
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//+==================================================================+
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//| |
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//| CLASS 1: CZeroLagEMACalculator (Base Class) |
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//| CLASS 1: CZeroLagEMACalculator (Base Class) |
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//| |
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//+==================================================================+
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//+==================================================================+
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class CZeroLagEMACalculator
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class CZeroLagEMACalculator
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{
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{
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@@ -19,18 +17,33 @@ protected:
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int m_period;
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int m_period;
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bool m_optimize_gain;
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bool m_optimize_gain;
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double m_gain_limit;
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double m_gain_limit;
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//--- Persistent Buffers for Incremental Calculation
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double m_price[];
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double m_price[];
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virtual bool PreparePriceSeries(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[]);
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//--- State Buffers for Standard Mode
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double m_ema1[];
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double m_ema2[];
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//--- State Buffers for Optimized Gain Mode
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double m_ema[];
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double m_ec[];
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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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public:
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CZeroLagEMACalculator(void) {};
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CZeroLagEMACalculator(void) {};
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virtual ~CZeroLagEMACalculator(void) {};
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virtual ~CZeroLagEMACalculator(void) {};
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bool Init(int period, bool optimize_gain, double gain_limit);
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bool Init(int period, bool optimize_gain, double gain_limit);
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void Calculate(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[], double &zlema_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[], double &zlema_buffer[]);
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};
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};
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//+------------------------------------------------------------------+
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//| Init |
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//+------------------------------------------------------------------+
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//+------------------------------------------------------------------+
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bool CZeroLagEMACalculator::Init(int period, bool optimize_gain, double gain_limit)
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bool CZeroLagEMACalculator::Init(int period, bool optimize_gain, double gain_limit)
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{
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{
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@@ -41,11 +54,36 @@ bool CZeroLagEMACalculator::Init(int period, bool optimize_gain, double gain_lim
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}
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}
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//+------------------------------------------------------------------+
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//+------------------------------------------------------------------+
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void CZeroLagEMACalculator::Calculate(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[], double &zlema_buffer[])
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//| Main Calculation (Optimized) |
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//+------------------------------------------------------------------+
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void CZeroLagEMACalculator::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 &zlema_buffer[])
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{
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{
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if(rates_total < m_period * 2)
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if(rates_total < m_period * 2)
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return;
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return;
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if(!PreparePriceSeries(rates_total, price_type, open, high, low, close))
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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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// Resize Buffers
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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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if(!m_optimize_gain)
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{
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ArrayResize(m_ema1, rates_total);
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ArrayResize(m_ema2, rates_total);
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}
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else
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{
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ArrayResize(m_ema, rates_total);
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ArrayResize(m_ec, rates_total);
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}
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}
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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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return;
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double alpha = 2.0 / (m_period + 1.0);
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double alpha = 2.0 / (m_period + 1.0);
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@@ -53,74 +91,59 @@ void CZeroLagEMACalculator::Calculate(int rates_total, ENUM_APPLIED_PRICE price_
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if(!m_optimize_gain)
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if(!m_optimize_gain)
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{
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{
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// --- Standard (Double EMA) Zero-Lag EMA Calculation ---
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// --- Standard (Double EMA) Zero-Lag EMA Calculation ---
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double ema1_buffer[], ema2_buffer[];
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int loop_start = MathMax(m_period, start_index);
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ArrayResize(ema1_buffer, rates_total);
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ArrayResize(ema2_buffer, rates_total);
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double ema1_prev = 0, ema2_prev = 0;
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for(int i = 0; i < rates_total; i++)
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// Initialization
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if(loop_start == m_period)
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{
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{
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if(i == m_period - 1)
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double sum=0;
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{
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for(int j=0; j<m_period; j++)
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double sum=0;
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sum+=m_price[m_period-1-j];
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for(int j=0; j<m_period; j++)
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m_ema1[m_period-1] = sum/m_period;
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sum+=m_price[i-j];
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ema1_prev = sum/m_period;
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// For EMA2, we need more history, but let's init simply
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}
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m_ema2[m_period-1] = m_ema1[m_period-1];
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if(i >= m_period)
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}
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{
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double ema1 = m_price[i] * alpha + (1.0 - alpha) * ema1_prev;
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for(int i = loop_start; i < rates_total; i++)
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ema1_buffer[i] = ema1;
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{
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if(i == m_period * 2 - 2)
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// EMA1
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{
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m_ema1[i] = m_price[i] * alpha + (1.0 - alpha) * m_ema1[i-1];
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double sum=0;
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for(int j=0; j<m_period; j++)
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// EMA2 (of EMA1)
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sum+=ema1_buffer[i-j];
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m_ema2[i] = m_ema1[i] * alpha + (1.0 - alpha) * m_ema2[i-1];
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ema2_prev = sum/m_period;
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}
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// ZLEMA = 2*EMA1 - EMA2
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if(i >= m_period * 2 - 1)
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zlema_buffer[i] = 2.0 * m_ema1[i] - m_ema2[i];
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{
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double ema2 = ema1_buffer[i] * alpha + (1.0 - alpha) * ema2_prev;
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zlema_buffer[i] = 2.0 * ema1 - ema2;
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ema2_prev = ema2;
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}
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ema1_prev = ema1;
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}
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}
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}
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}
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}
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else
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else
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{
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{
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// --- Ehlers' Optimized Gain (Error Correcting) Calculation ---
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// --- Ehlers' Optimized Gain (Error Correcting) Calculation ---
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double ema_buffer[];
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int loop_start = MathMax(1, start_index);
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ArrayResize(ema_buffer, rates_total);
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double ema_prev = 0;
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double ec_prev = 0;
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for(int i = 0; i < rates_total; i++)
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if(loop_start == 1)
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{
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m_ema[0] = m_price[0];
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m_ec[0] = m_price[0];
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zlema_buffer[0] = m_price[0];
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}
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for(int i = loop_start; i < rates_total; i++)
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{
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{
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// Calculate standard EMA first
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// Calculate standard EMA first
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if(i > 0)
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m_ema[i] = m_price[i] * alpha + (1.0 - alpha) * m_ema[i-1];
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ema_buffer[i] = m_price[i] * alpha + (1.0 - alpha) * ema_prev;
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else
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ema_buffer[i] = m_price[i];
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ema_prev = ema_buffer[i];
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if(i < 1)
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{
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zlema_buffer[i] = m_price[i];
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ec_prev = m_price[i];
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continue;
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}
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// Find the BestGain for the current bar
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// Find the BestGain for the current bar
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double least_error = 1e10;
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double least_error = 1e10;
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double best_gain = 0;
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double best_gain = 0;
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int gain_steps = (int)(m_gain_limit * 10);
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int gain_steps = (int)(m_gain_limit * 10);
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double ec_prev = m_ec[i-1];
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for(int j = -gain_steps; j <= gain_steps; j++)
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for(int j = -gain_steps; j <= gain_steps; j++)
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{
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{
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double current_gain = j / 10.0;
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double current_gain = j / 10.0;
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double ec_trial = alpha * (ema_buffer[i] + current_gain * (m_price[i] - ec_prev)) + (1.0 - alpha) * ec_prev;
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double ec_trial = alpha * (m_ema[i] + current_gain * (m_price[i] - ec_prev)) + (1.0 - alpha) * ec_prev;
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double error = m_price[i] - ec_trial;
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double error = m_price[i] - ec_trial;
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if(fabs(error) < least_error)
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if(fabs(error) < least_error)
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{
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{
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@@ -130,97 +153,105 @@ void CZeroLagEMACalculator::Calculate(int rates_total, ENUM_APPLIED_PRICE price_
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}
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}
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// Calculate the final ZLEMA (EC) with the BestGain
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// Calculate the final ZLEMA (EC) with the BestGain
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zlema_buffer[i] = alpha * (ema_buffer[i] + best_gain * (m_price[i] - ec_prev)) + (1.0 - alpha) * ec_prev;
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m_ec[i] = alpha * (m_ema[i] + best_gain * (m_price[i] - ec_prev)) + (1.0 - alpha) * ec_prev;
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ec_prev = zlema_buffer[i];
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zlema_buffer[i] = m_ec[i];
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}
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}
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}
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}
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}
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}
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//+------------------------------------------------------------------+
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//+------------------------------------------------------------------+
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bool CZeroLagEMACalculator::PreparePriceSeries(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[])
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//| Prepare Price (Standard - Optimized) |
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//+------------------------------------------------------------------+
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bool CZeroLagEMACalculator::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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{
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ArrayResize(m_price, rates_total);
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for(int i = start_index; i < rates_total; i++)
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switch(price_type)
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{
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{
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case PRICE_CLOSE:
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switch(price_type)
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ArrayCopy(m_price, close, 0, 0, rates_total);
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{
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break;
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case PRICE_CLOSE:
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case PRICE_OPEN:
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m_price[i] = close[i];
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ArrayCopy(m_price, open, 0, 0, rates_total);
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break;
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break;
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case PRICE_OPEN:
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case PRICE_HIGH:
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m_price[i] = open[i];
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ArrayCopy(m_price, high, 0, 0, rates_total);
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break;
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break;
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case PRICE_HIGH:
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case PRICE_LOW:
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m_price[i] = high[i];
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ArrayCopy(m_price, low, 0, 0, rates_total);
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break;
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break;
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case PRICE_LOW:
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case PRICE_MEDIAN:
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m_price[i] = low[i];
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for(int i=0; i<rates_total; 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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m_price[i] = (high[i]+low[i])/2.0;
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break;
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break;
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case PRICE_TYPICAL:
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case PRICE_TYPICAL:
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for(int i=0; i<rates_total; i++)
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m_price[i] = (high[i]+low[i]+close[i])/3.0;
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m_price[i] = (high[i]+low[i]+close[i])/3.0;
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break;
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break;
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case PRICE_WEIGHTED:
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case PRICE_WEIGHTED:
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for(int i=0; i<rates_total; i++)
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m_price[i] = (high[i]+low[i]+2*close[i])/4.0;
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m_price[i] = (high[i]+low[i]+close[i]+close[i])/4.0;
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break;
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break;
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default:
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default:
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m_price[i] = close[i];
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return false;
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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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return true;
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}
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}
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//+------------------------------------------------------------------+
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//| |
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//+==================================================================+
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//+------------------------------------------------------------------+
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//| CLASS 2: CZeroLagEMACalculator_HA |
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//+==================================================================+
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class CZeroLagEMACalculator_HA : public CZeroLagEMACalculator
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class CZeroLagEMACalculator_HA : public CZeroLagEMACalculator
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{
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{
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private:
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private:
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CHeikinAshi_Calculator m_ha_calculator;
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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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protected:
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virtual bool PreparePriceSeries(int rates_total, ENUM_APPLIED_PRICE price_type, 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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//+------------------------------------------------------------------+
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//+------------------------------------------------------------------+
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//| |
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//| |
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//+------------------------------------------------------------------+
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//+------------------------------------------------------------------+
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bool CZeroLagEMACalculator_HA::PreparePriceSeries(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[])
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bool CZeroLagEMACalculator_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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{
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double ha_open[], ha_high[], ha_low[], ha_close[];
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if(ArraySize(m_ha_open) != rates_total)
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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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ArrayResize(m_price, rates_total);
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switch(price_type)
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{
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{
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case PRICE_CLOSE:
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ArrayResize(m_ha_open, rates_total);
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ArrayCopy(m_price, ha_close, 0, 0, rates_total);
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ArrayResize(m_ha_high, rates_total);
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break;
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ArrayResize(m_ha_low, rates_total);
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case PRICE_OPEN:
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ArrayResize(m_ha_close, rates_total);
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ArrayCopy(m_price, ha_open, 0, 0, rates_total);
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}
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break;
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m_ha_calculator.Calculate(rates_total, start_index, open, high, low, close, m_ha_open, m_ha_high, m_ha_low, m_ha_close);
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case PRICE_HIGH:
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ArrayCopy(m_price, ha_high, 0, 0, rates_total);
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for(int i = start_index; i < rates_total; i++)
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break;
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{
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case PRICE_LOW:
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switch(price_type)
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ArrayCopy(m_price, ha_low, 0, 0, rates_total);
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{
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break;
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case PRICE_CLOSE:
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case PRICE_MEDIAN:
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m_price[i] = m_ha_close[i];
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for(int i=0; i<rates_total; i++)
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break;
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m_price[i] = (ha_high[i]+ha_low[i])/2.0;
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case PRICE_OPEN:
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break;
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m_price[i] = m_ha_open[i];
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case PRICE_TYPICAL:
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break;
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for(int i=0; i<rates_total; i++)
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case PRICE_HIGH:
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||||||
m_price[i] = (ha_high[i]+ha_low[i]+ha_close[i])/3.0;
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m_price[i] = m_ha_high[i];
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||||||
break;
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break;
|
||||||
case PRICE_WEIGHTED:
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case PRICE_LOW:
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||||||
for(int i=0; i<rates_total; i++)
|
m_price[i] = m_ha_low[i];
|
||||||
m_price[i] = (ha_high[i]+ha_low[i]+ha_close[i]+ha_close[i])/4.0;
|
break;
|
||||||
break;
|
case PRICE_MEDIAN:
|
||||||
default:
|
m_price[i] = (m_ha_high[i]+m_ha_low[i])/2.0;
|
||||||
return false;
|
break;
|
||||||
|
case PRICE_TYPICAL:
|
||||||
|
m_price[i] = (m_ha_high[i]+m_ha_low[i]+m_ha_close[i])/3.0;
|
||||||
|
break;
|
||||||
|
case PRICE_WEIGHTED:
|
||||||
|
m_price[i] = (m_ha_high[i]+m_ha_low[i]+2*m_ha_close[i])/4.0;
|
||||||
|
break;
|
||||||
|
default:
|
||||||
|
m_price[i] = m_ha_close[i];
|
||||||
|
break;
|
||||||
|
}
|
||||||
}
|
}
|
||||||
return true;
|
return true;
|
||||||
}
|
}
|
||||||
|
|||||||
Reference in New Issue
Block a user