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refactor: SOURCE_MOMENTUM

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Toh4iem9
2025-10-28 11:02:02 +01:00
parent 42ab67fb5d
commit 4b8a9b4483
1 changed files with 78 additions and 68 deletions
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Include/MyIncludes/Gaussian_Filter_Calculator.mqh
+78 -68
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@@ -1,21 +1,22 @@
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
//| Gaussian_Filter_Calculator.mqh | //| Gaussian_Filter_Calculator.mqh |
//| Calculation engine for the John Ehlers' Gaussian Filter. | //| Calculation engine for the John Ehlers' Gaussian Filter. |
//| Can be applied to Price or Momentum. |
//| Copyright 2025, xxxxxxxx | //| Copyright 2025, xxxxxxxx |
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
#property copyright "Copyright 2025, xxxxxxxx" #property copyright "Copyright 2025, xxxxxxxx"
#include <MyIncludes\HeikinAshi_Tools.mqh> #include <MyIncludes\HeikinAshi_Tools.mqh>
//+==================================================================+ // NEW: Enum to select the data source
//| | enum ENUM_INPUT_SOURCE { SOURCE_PRICE, SOURCE_MOMENTUM };
//| CLASS 1: CGaussianFilterCalculator (Base Class) |
//| |
//+==================================================================+ //+==================================================================+
class CGaussianFilterCalculator class CGaussianFilterCalculator
{ {
protected: protected:
int m_period; int m_period;
ENUM_INPUT_SOURCE m_source_type;
double m_price[]; double m_price[];
// Filter coefficients // Filter coefficients
@@ -27,17 +28,18 @@ public:
CGaussianFilterCalculator(void) {}; CGaussianFilterCalculator(void) {};
virtual ~CGaussianFilterCalculator(void) {}; virtual ~CGaussianFilterCalculator(void) {};
bool Init(int period); bool Init(int period, ENUM_INPUT_SOURCE source_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[]); 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 CGaussianFilterCalculator::Init(int period) bool CGaussianFilterCalculator::Init(int period, ENUM_INPUT_SOURCE source_type)
{ {
m_period = (period < 2) ? 2 : period; m_period = (period < 2) ? 2 : period;
m_source_type = source_type;
// Pre-calculate filter coefficients based on Ehlers' formulas // Pre-calculate filter coefficients
double beta = 2.415 * (1.0 - cos(2.0 * M_PI / m_period)); double beta = 2.451 * (1.0 - cos(2.0 * M_PI / m_period));
double alpha = -beta + sqrt(beta * beta + 2.0 * beta); double alpha = -beta + sqrt(beta * beta + 2.0 * beta);
c0 = alpha * alpha; c0 = alpha * alpha;
@@ -55,22 +57,17 @@ void CGaussianFilterCalculator::Calculate(int rates_total, ENUM_APPLIED_PRICE pr
if(!PreparePriceSeries(rates_total, price_type, open, high, low, close)) if(!PreparePriceSeries(rates_total, price_type, open, high, low, close))
return; return;
// --- State variables for recursive calculation --- double f1=0, f2=0;
double f1=0, f2=0; // f[1], f[2]
// --- Initialization for the first few bars ---
filter_buffer[0] = m_price[0]; filter_buffer[0] = m_price[0];
filter_buffer[1] = m_price[1]; filter_buffer[1] = m_price[1];
f1 = filter_buffer[1]; f1 = filter_buffer[1];
f2 = filter_buffer[0]; f2 = filter_buffer[0];
// --- Full recalculation loop for stability ---
for(int i = 2; i < rates_total; i++) for(int i = 2; i < rates_total; i++)
{ {
double current_f = c0 * m_price[i] + a1 * f1 + a2 * f2; double current_f = c0 * m_price[i] + a1 * f1 + a2 * f2;
filter_buffer[i] = current_f; filter_buffer[i] = current_f;
// Update state for next iteration
f2 = f1; f2 = f1;
f1 = current_f; f1 = current_f;
} }
@@ -80,34 +77,40 @@ void CGaussianFilterCalculator::Calculate(int rates_total, ENUM_APPLIED_PRICE pr
bool CGaussianFilterCalculator::PreparePriceSeries(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[]) bool CGaussianFilterCalculator::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); ArrayResize(m_price, rates_total);
switch(price_type) if(m_source_type == SOURCE_PRICE)
{ {
case PRICE_CLOSE: switch(price_type)
ArrayCopy(m_price, close, 0, 0, rates_total); {
break; case PRICE_OPEN:
case PRICE_OPEN: ArrayCopy(m_price, open, 0, 0, rates_total);
ArrayCopy(m_price, open, 0, 0, rates_total); break;
break; case PRICE_HIGH:
case PRICE_HIGH: ArrayCopy(m_price, high, 0, 0, rates_total);
ArrayCopy(m_price, high, 0, 0, rates_total); break;
break; case PRICE_LOW:
case PRICE_LOW: ArrayCopy(m_price, low, 0, 0, rates_total);
ArrayCopy(m_price, low, 0, 0, rates_total); break;
break; case PRICE_MEDIAN:
case PRICE_MEDIAN: for(int i=0; i<rates_total; i++)
for(int i=0; i<rates_total; i++) m_price[i] = (high[i]+low[i])/2.0;
m_price[i] = (high[i]+low[i])/2.0; break;
break; case PRICE_TYPICAL:
case PRICE_TYPICAL: for(int i=0; i<rates_total; i++)
for(int i=0; i<rates_total; i++) m_price[i] = (high[i]+low[i]+close[i])/3.0;
m_price[i] = (high[i]+low[i]+close[i])/3.0; break;
break; case PRICE_WEIGHTED:
case PRICE_WEIGHTED: for(int i=0; i<rates_total; i++)
for(int i=0; i<rates_total; i++) m_price[i] = (high[i]+low[i]+2*close[i])/4.0;
m_price[i] = (high[i]+low[i]+close[i]+close[i])/4.0; break;
break; default:
default: ArrayCopy(m_price, close, 0, 0, rates_total);
return false; break;
}
}
else // SOURCE_MOMENTUM
{
for(int i=0; i<rates_total; i++)
m_price[i] = close[i] - open[i];
} }
return true; return true;
} }
@@ -130,35 +133,42 @@ bool CGaussianFilterCalculator_HA::PreparePriceSeries(int rates_total, ENUM_APPL
ArrayResize(ha_low, rates_total); ArrayResize(ha_low, rates_total);
ArrayResize(ha_close, 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); m_ha_calculator.Calculate(rates_total, open, high, low, close, ha_open, ha_high, ha_low, ha_close);
ArrayResize(m_price, rates_total); ArrayResize(m_price, rates_total);
switch(price_type) if(m_source_type == SOURCE_PRICE)
{ {
case PRICE_CLOSE: switch(price_type)
ArrayCopy(m_price, ha_close, 0, 0, rates_total); {
break; case PRICE_OPEN:
case PRICE_OPEN: ArrayCopy(m_price, ha_open, 0, 0, rates_total);
ArrayCopy(m_price, ha_open, 0, 0, rates_total); break;
break; case PRICE_HIGH:
case PRICE_HIGH: ArrayCopy(m_price, ha_high, 0, 0, rates_total);
ArrayCopy(m_price, ha_high, 0, 0, rates_total); break;
break; case PRICE_LOW:
case PRICE_LOW: ArrayCopy(m_price, ha_low, 0, 0, rates_total);
ArrayCopy(m_price, ha_low, 0, 0, rates_total); break;
break; case PRICE_MEDIAN:
case PRICE_MEDIAN: for(int i=0; i<rates_total; i++)
for(int i=0; i<rates_total; i++) m_price[i] = (ha_high[i]+ha_low[i])/2.0;
m_price[i] = (ha_high[i]+ha_low[i])/2.0; break;
break; case PRICE_TYPICAL:
case PRICE_TYPICAL: for(int i=0; i<rates_total; i++)
for(int i=0; i<rates_total; i++) m_price[i] = (ha_high[i]+ha_low[i]+ha_close[i])/3.0;
m_price[i] = (ha_high[i]+ha_low[i]+ha_close[i])/3.0; break;
break; case PRICE_WEIGHTED:
case PRICE_WEIGHTED: for(int i=0; i<rates_total; i++)
for(int i=0; i<rates_total; i++) m_price[i] = (ha_high[i]+ha_low[i]+2*ha_close[i])/4.0;
m_price[i] = (ha_high[i]+ha_low[i]+ha_close[i]+ha_close[i])/4.0; break;
break; default:
default: ArrayCopy(m_price, ha_close, 0, 0, rates_total);
return false; break;
}
}
else // SOURCE_MOMENTUM
{
for(int i=0; i<rates_total; i++)
m_price[i] = ha_close[i] - ha_open[i];
} }
return true; return true;
} }