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Toh4iem9
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//+------------------------------------------------------------------+
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//| Laguerre_RSI_Volatility_Calculator.mqh |
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//| Calculation engine for Volatility-Adaptive Laguerre RSI. |
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//| Copyright 2025, xxxxxxxx |
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//+------------------------------------------------------------------+
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#property copyright "Copyright 2025, xxxxxxxx"
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#include <MyIncludes\HeikinAshi_Tools.mqh>
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#include <MyIncludes\MovingAverage_Engine.mqh>
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//+==================================================================+
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class CLaguerreRSIVolatilityCalculator
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{
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protected:
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int m_period1; // Lookback for High/Low of Diff
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int m_period2; // Lookback for Median of Alpha
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int m_signal_period;
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ENUM_MA_TYPE m_signal_ma_type;
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CMovingAverageCalculator *m_signal_ma_engine;
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//--- Persistent Buffers for Volatility Logic
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double m_price[];
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double m_diff_buf[];
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double m_mid_buf[];
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//--- Internal State Buffers for Laguerre RSI (L0..L3)
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// Note: We need separate buffers for the RSI calculation, distinct from the price filter
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double m_L0_buf[], m_L1_buf[], m_L2_buf[], m_L3_buf[];
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//--- Helper buffer for previous filter value (needed for volatility calc)
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double m_prev_filter_buf[];
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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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//--- Helpers (Copied from Filter Calculator for independence)
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double GetHighest(const double &arr[], int start_idx, int len);
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double GetLowest(const double &arr[], int start_idx, int len);
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double GetMedian(const double &arr[], int start_idx, int len);
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public:
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CLaguerreRSIVolatilityCalculator(void);
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virtual ~CLaguerreRSIVolatilityCalculator(void);
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bool Init(int p1, int p2, int sig_p, ENUM_MA_TYPE sig_type);
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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 &lrsi_buffer[], double &signal_buffer[]);
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};
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//+------------------------------------------------------------------+
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CLaguerreRSIVolatilityCalculator::CLaguerreRSIVolatilityCalculator(void)
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{
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m_signal_ma_engine = new CMovingAverageCalculator();
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}
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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CLaguerreRSIVolatilityCalculator::~CLaguerreRSIVolatilityCalculator(void)
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{
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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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//+------------------------------------------------------------------+
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bool CLaguerreRSIVolatilityCalculator::Init(int p1, int p2, int sig_p, ENUM_MA_TYPE sig_type)
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{
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m_period1 = (p1 < 1) ? 1 : p1;
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m_period2 = (p2 < 1) ? 1 : p2;
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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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return m_signal_ma_engine.Init(m_signal_period, m_signal_ma_type);
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}
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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void CLaguerreRSIVolatilityCalculator::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 &lrsi_buffer[], double &signal_buffer[])
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{
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int needed_history = MathMax(m_period1, m_period2) + 1;
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if(rates_total < needed_history)
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return;
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int start_index = (prev_calculated > 0) ? prev_calculated - 1 : 0;
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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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ArrayResize(m_diff_buf, rates_total);
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ArrayResize(m_mid_buf, rates_total);
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ArrayResize(m_L0_buf, rates_total);
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ArrayResize(m_L1_buf, rates_total);
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ArrayResize(m_L2_buf, rates_total);
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ArrayResize(m_L3_buf, rates_total);
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ArrayResize(m_prev_filter_buf, rates_total);
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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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int i = start_index;
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// Initialization
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if(i == 0)
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{
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m_diff_buf[0] = 0;
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m_mid_buf[0] = 0;
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m_L0_buf[0] = m_price[0];
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m_L1_buf[0] = m_price[0];
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m_L2_buf[0] = m_price[0];
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m_L3_buf[0] = m_price[0];
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m_prev_filter_buf[0] = m_price[0]; // Used for volatility calc
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lrsi_buffer[0] = 50.0;
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i = 1;
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}
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for(; i < rates_total; i++)
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{
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// --- 1. Calculate Volatility Alpha ---
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// We need a reference "filter" to calculate diff.
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// In the filter indicator, this is the filter itself.
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// Here, we maintain a parallel simple Laguerre filter just for alpha calculation.
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double prev_F = m_prev_filter_buf[i-1];
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m_diff_buf[i] = MathAbs(m_price[i] - prev_F);
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double alpha = 0.5;
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if(i >= m_period1)
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{
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double hh = GetHighest(m_diff_buf, i, m_period1);
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double ll = GetLowest(m_diff_buf, i, m_period1);
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double mid = (hh - ll != 0) ? (m_diff_buf[i] - ll) / (hh - ll) : 0;
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m_mid_buf[i] = mid;
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if(i >= m_period2)
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alpha = GetMedian(m_mid_buf, i, m_period2);
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}
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else
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{
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m_mid_buf[i] = 0;
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}
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// Update the reference filter for next bar's diff calculation
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// Using the calculated alpha
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// Simple 1-pole Laguerre for reference
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m_prev_filter_buf[i] = alpha * m_price[i] + (1 - alpha) * prev_F;
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// --- 2. Calculate Laguerre RSI Components ---
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double L0_prev = m_L0_buf[i-1];
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double L1_prev = m_L1_buf[i-1];
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double L2_prev = m_L2_buf[i-1];
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double L3_prev = m_L3_buf[i-1];
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m_L0_buf[i] = alpha * m_price[i] + (1 - alpha) * L0_prev;
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m_L1_buf[i] = -(1 - alpha) * m_L0_buf[i] + L0_prev + (1 - alpha) * L1_prev;
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m_L2_buf[i] = -(1 - alpha) * m_L1_buf[i] + L1_prev + (1 - alpha) * L2_prev;
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m_L3_buf[i] = -(1 - alpha) * m_L2_buf[i] + L2_prev + (1 - alpha) * L3_prev;
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// --- 3. Calculate RSI ---
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double cu = 0, cd = 0;
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if(m_L0_buf[i] >= m_L1_buf[i])
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cu = m_L0_buf[i] - m_L1_buf[i];
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else
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cd = m_L1_buf[i] - m_L0_buf[i];
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if(m_L1_buf[i] >= m_L2_buf[i])
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cu += m_L1_buf[i] - m_L2_buf[i];
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else
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cd += m_L2_buf[i] - m_L1_buf[i];
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if(m_L2_buf[i] >= m_L3_buf[i])
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cu += m_L2_buf[i] - m_L3_buf[i];
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else
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cd += m_L3_buf[i] - m_L2_buf[i];
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if(cu + cd > 0)
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lrsi_buffer[i] = 100.0 * cu / (cu + cd);
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else
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lrsi_buffer[i] = (i > 0) ? lrsi_buffer[i-1] : 50.0;
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}
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// --- 4. Signal Line ---
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m_signal_ma_engine.Calculate(rates_total, prev_calculated, PRICE_CLOSE,
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lrsi_buffer, lrsi_buffer, lrsi_buffer, lrsi_buffer,
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signal_buffer);
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}
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//+------------------------------------------------------------------+
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//| Helpers |
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//+------------------------------------------------------------------+
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double CLaguerreRSIVolatilityCalculator::GetHighest(const double &arr[], int start_idx, int len)
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{
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double max_val = arr[start_idx];
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for(int k=1; k<len; k++)
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if(arr[start_idx-k] > max_val)
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max_val = arr[start_idx-k];
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return max_val;
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}
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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double CLaguerreRSIVolatilityCalculator::GetLowest(const double &arr[], int start_idx, int len)
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{
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double min_val = arr[start_idx];
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for(int k=1; k<len; k++)
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if(arr[start_idx-k] < min_val)
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min_val = arr[start_idx-k];
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return min_val;
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}
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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double CLaguerreRSIVolatilityCalculator::GetMedian(const double &arr[], int start_idx, int len)
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{
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double temp[];
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ArrayResize(temp, len);
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for(int k=0; k<len; k++)
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temp[k] = arr[start_idx-k];
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ArraySort(temp);
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if(len % 2 == 1)
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return temp[len/2];
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else
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return (temp[len/2 - 1] + temp[len/2]) / 2.0;
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}
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//+------------------------------------------------------------------+
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//| Prepare Price |
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//+------------------------------------------------------------------+
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bool CLaguerreRSIVolatilityCalculator::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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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]+close[i]+close[i])/4.0;
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break;
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default:
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m_price[i] = close[i];
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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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//| CLASS 2: HA Version |
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//+==================================================================+
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class CLaguerreRSIVolatilityCalculator_HA : public CLaguerreRSIVolatilityCalculator
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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, 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 CLaguerreRSIVolatilityCalculator_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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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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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_close[i];
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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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