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refactor: Optimized for incremental calculation
This commit is contained in:
Toh4iem9
@@ -1,6 +1,6 @@
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//+------------------------------------------------------------------+
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//| MACD_Laguerre_Histogram_Calculator.mqh |
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//| VERSION 1.10: Added selectable signal line. |
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//| VERSION 1.20: Optimized for incremental calculation. |
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//| Copyright 2025, xxxxxxxx |
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//+------------------------------------------------------------------+
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#property copyright "Copyright 2025, xxxxxxxx"
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@@ -8,6 +8,7 @@
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#include <MyIncludes\Laguerre_Engine.mqh>
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#include <MyIncludes\MovingAverage_Engine.mqh>
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//--- Universal enum for smoothing types
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enum ENUM_SMOOTHING_METHOD_LAGUERRE
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{
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SMOOTH_Laguerre,
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@@ -25,18 +26,24 @@ protected:
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int m_signal_period;
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ENUM_SMOOTHING_METHOD_LAGUERRE m_signal_ma_type;
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CLaguerreEngine *m_fast_engine, *m_slow_engine;
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double m_sig_L0_prev, m_sig_L1_prev, m_sig_L2_prev, m_sig_L3_prev;
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//--- Engines for MACD Line
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CLaguerreEngine *m_fast_engine;
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CLaguerreEngine *m_slow_engine;
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//--- Engines for Signal Line (Optimization)
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CLaguerreEngine *m_signal_laguerre_engine;
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CMovingAverageCalculator *m_signal_ma_engine;
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virtual CLaguerreEngine *CreateEngineInstance(void);
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void CalculateMA(const double &source_array[], double &dest_array[], int period, ENUM_MA_TYPE method, int start_pos);
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public:
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CMACDLaguerreHistogramCalculator(void);
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virtual ~CMACDLaguerreHistogramCalculator(void);
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bool Init(double g1, double g2, double sig_g, int sig_p, ENUM_SMOOTHING_METHOD_LAGUERRE sig_type);
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void Calculate(int rates_total, const double &open[], const double &high[], const double &low[], const double &close[], ENUM_APPLIED_PRICE price_type,
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//--- Updated: Accepts prev_calculated
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void Calculate(int rates_total, int prev_calculated, const double &open[], const double &high[], const double &low[], const double &close[], ENUM_APPLIED_PRICE price_type,
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double &histogram[]);
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};
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@@ -54,20 +61,18 @@ protected:
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//+==================================================================+
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//+------------------------------------------------------------------+
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//| |
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//| Constructor |
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//+------------------------------------------------------------------+
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CMACDLaguerreHistogramCalculator::CMACDLaguerreHistogramCalculator(void)
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{
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m_fast_engine = NULL;
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m_slow_engine = NULL;
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m_sig_L0_prev = 0;
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m_sig_L1_prev = 0;
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m_sig_L2_prev = 0;
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m_sig_L3_prev = 0;
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m_signal_laguerre_engine = NULL;
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m_signal_ma_engine = NULL;
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}
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//+------------------------------------------------------------------+
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//| |
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//| Destructor |
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//+------------------------------------------------------------------+
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CMACDLaguerreHistogramCalculator::~CMACDLaguerreHistogramCalculator(void)
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{
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@@ -75,16 +80,20 @@ CMACDLaguerreHistogramCalculator::~CMACDLaguerreHistogramCalculator(void)
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delete m_fast_engine;
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if(CheckPointer(m_slow_engine) != POINTER_INVALID)
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delete m_slow_engine;
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if(CheckPointer(m_signal_laguerre_engine) != POINTER_INVALID)
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delete m_signal_laguerre_engine;
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if(CheckPointer(m_signal_ma_engine) != POINTER_INVALID)
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delete m_signal_ma_engine;
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}
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//+------------------------------------------------------------------+
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//| |
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//| Factory Method |
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//+------------------------------------------------------------------+
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CLaguerreEngine *CMACDLaguerreHistogramCalculator::CreateEngineInstance(void) { return new CLaguerreEngine(); }
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CLaguerreEngine *CMACDLaguerreHistogramCalculator_HA::CreateEngineInstance(void) { return new CLaguerreEngine_HA(); }
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//+------------------------------------------------------------------+
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//| |
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//| Init |
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//+------------------------------------------------------------------+
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bool CMACDLaguerreHistogramCalculator::Init(double g1, double g2, double sig_g, int sig_p, ENUM_SMOOTHING_METHOD_LAGUERRE sig_type)
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{
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@@ -94,11 +103,7 @@ bool CMACDLaguerreHistogramCalculator::Init(double g1, double g2, double sig_g,
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m_signal_period = (sig_p < 1) ? 1 : sig_p;
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m_signal_ma_type = sig_type;
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m_sig_L0_prev=0;
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m_sig_L1_prev=0;
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m_sig_L2_prev=0;
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m_sig_L3_prev=0;
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// Create Main Engines
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m_fast_engine = CreateEngineInstance();
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m_slow_engine = CreateEngineInstance();
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@@ -106,135 +111,70 @@ bool CMACDLaguerreHistogramCalculator::Init(double g1, double g2, double sig_g,
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CheckPointer(m_slow_engine) == POINTER_INVALID || !m_slow_engine.Init(m_slow_gamma, SOURCE_PRICE))
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return false;
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// Create Signal Engine based on type
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if(m_signal_ma_type == SMOOTH_Laguerre)
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{
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m_signal_laguerre_engine = new CLaguerreEngine();
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if(!m_signal_laguerre_engine.Init(m_signal_gamma, SOURCE_PRICE))
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return false;
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}
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else
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{
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m_signal_ma_engine = new CMovingAverageCalculator();
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ENUM_MA_TYPE ma_type = (ENUM_MA_TYPE)(m_signal_ma_type - 1);
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if(!m_signal_ma_engine.Init(m_signal_period, ma_type))
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return false;
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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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//| Main Calculation (Optimized) |
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//+------------------------------------------------------------------+
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void CMACDLaguerreHistogramCalculator::Calculate(int rates_total, const double &open[], const double &high[], const double &low[], const double &close[], ENUM_APPLIED_PRICE price_type,
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void CMACDLaguerreHistogramCalculator::Calculate(int rates_total, int prev_calculated, const double &open[], const double &high[], const double &low[], const double &close[], ENUM_APPLIED_PRICE price_type,
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double &histogram[])
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{
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if(rates_total < 2)
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return;
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double macd_line[], signal_line[];
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ArrayResize(macd_line, rates_total);
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ArrayResize(signal_line, rates_total);
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//--- 1. Calculate Fast and Slow Laguerre Filters (Incremental)
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double fast_filter[], slow_filter[];
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double L0_dummy[], L1_dummy[], L2_dummy[], L3_dummy[];
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m_fast_engine.CalculateFilter(rates_total, price_type, open, high, low, close, L0_dummy, L1_dummy, L2_dummy, L3_dummy, fast_filter);
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m_slow_engine.CalculateFilter(rates_total, price_type, open, high, low, close, L0_dummy, L1_dummy, L2_dummy, L3_dummy, slow_filter);
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for(int i = 0; i < rates_total; i++)
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// Note: The engine resizes them.
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m_fast_engine.CalculateFilter(rates_total, prev_calculated, price_type, open, high, low, close, fast_filter);
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m_slow_engine.CalculateFilter(rates_total, prev_calculated, price_type, open, high, low, close, slow_filter);
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//--- 2. Calculate MACD Line
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double macd_line[];
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ArrayResize(macd_line, rates_total);
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int start_index = (prev_calculated > 0) ? prev_calculated - 1 : 0;
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for(int i = start_index; i < rates_total; i++)
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macd_line[i] = fast_filter[i] - slow_filter[i];
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switch(m_signal_ma_type)
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//--- 3. Calculate Signal Line
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double signal_line[];
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ArrayResize(signal_line, rates_total);
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if(m_signal_ma_type == SMOOTH_Laguerre)
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{
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case SMOOTH_Laguerre:
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if(rates_total > 0)
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{
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signal_line[0] = macd_line[0];
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m_sig_L0_prev = macd_line[0];
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m_sig_L1_prev = macd_line[0];
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m_sig_L2_prev = macd_line[0];
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m_sig_L3_prev = macd_line[0];
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}
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for(int i = 1; i < rates_total; i++)
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{
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double L0 = (1.0 - m_signal_gamma) * macd_line[i] + m_signal_gamma * m_sig_L0_prev;
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double L1 = -m_signal_gamma * L0 + m_sig_L0_prev + m_signal_gamma * m_sig_L1_prev;
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double L2 = -m_signal_gamma * L1 + m_sig_L1_prev + m_signal_gamma * m_sig_L2_prev;
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double L3 = -m_signal_gamma * L2 + m_sig_L2_prev + m_signal_gamma * m_sig_L3_prev;
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signal_line[i] = (L0 + 2.0 * L1 + 2.0 * L2 + L3) / 6.0;
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m_sig_L0_prev = L0;
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m_sig_L1_prev = L1;
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m_sig_L2_prev = L2;
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m_sig_L3_prev = L3;
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}
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break;
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default:
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{
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ENUM_MA_TYPE ma_type = (ENUM_MA_TYPE)(m_signal_ma_type - 1);
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CalculateMA(macd_line, signal_line, m_signal_period, ma_type, m_signal_period + 1);
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break;
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}
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// Use Laguerre Engine on the MACD Line
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m_signal_laguerre_engine.CalculateFilter(rates_total, prev_calculated, PRICE_CLOSE,
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macd_line, macd_line, macd_line, macd_line,
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signal_line);
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}
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else
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{
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// Use MA Engine on the MACD Line
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m_signal_ma_engine.Calculate(rates_total, prev_calculated, PRICE_CLOSE,
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macd_line, macd_line, macd_line, macd_line,
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signal_line);
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}
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for(int i = 0; i < rates_total; i++)
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//--- 4. Calculate Histogram
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for(int i = start_index; i < rates_total; i++)
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histogram[i] = macd_line[i] - signal_line[i];
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}
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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void CMACDLaguerreHistogramCalculator::CalculateMA(const double &source_array[], double &dest_array[], int period, ENUM_MA_TYPE method, int start_pos)
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{
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for(int i = start_pos; i < ArraySize(source_array); i++)
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{
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switch(method)
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{
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case EMA:
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case SMMA:
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if(i == start_pos)
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{
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double sum=0;
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int count=0;
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for(int j=0; j<period; j++)
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{
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if(source_array[i-j] != EMPTY_VALUE)
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{
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sum+=source_array[i-j];
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count++;
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}
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}
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if(count > 0)
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dest_array[i]=sum/count;
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}
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else
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{
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if(method==EMA)
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{
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double pr=2.0/(period+1.0);
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dest_array[i]=source_array[i]*pr+dest_array[i-1]*(1.0-pr);
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}
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else
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dest_array[i]=(dest_array[i-1]*(period-1)+source_array[i])/period;
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}
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break;
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case LWMA:
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{
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double sum=0, w_sum=0;
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for(int j=0; j<period; j++)
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{
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if(source_array[i-j] == EMPTY_VALUE)
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continue;
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int w=period-j;
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sum+=source_array[i-j]*w;
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w_sum+=w;
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}
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if(w_sum>0)
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dest_array[i]=sum/w_sum;
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}
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break;
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default: // SMA
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{
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double sum=0;
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int count=0;
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for(int j=0; j<period; j++)
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{
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if(source_array[i-j] != EMPTY_VALUE)
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{
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sum+=source_array[i-j];
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count++;
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}
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}
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if(count > 0)
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dest_array[i]=sum/count;
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}
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break;
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}
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}
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}
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//+------------------------------------------------------------------+
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//+------------------------------------------------------------------+
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