diff --git a/Include/MyIncludes/Chandelier_Exit_Calculator.mqh b/Include/MyIncludes/Chandelier_Exit_Calculator.mqh new file mode 100644 index 0000000..717f0c8 --- /dev/null +++ b/Include/MyIncludes/Chandelier_Exit_Calculator.mqh @@ -0,0 +1,278 @@ +//+------------------------------------------------------------------+ +//| Chandelier_Exit_Calculator.mqh | +//| Copyright 2026, xxxxxxxx| +//+------------------------------------------------------------------+ +#property copyright "Copyright 2026, xxxxxxxx" +#property version "1.00" // Performance optimized Chandelier Exit engine wrapping ATR v3.00 +#property description "Stateful calculator implementing Charles LeBeau Chandelier Exit (ATR Trailing Stop)." + +#ifndef CHANDELIER_EXIT_CALCULATOR_MQH +#define CHANDELIER_EXIT_CALCULATOR_MQH + +#include +#include + +//+==================================================================+ +//| CLASS: CChandelierExitCalculator | +//+==================================================================+ +class CChandelierExitCalculator + { +private: + int m_period; + double m_multiplier; + bool m_is_ha; + + CATRCalculator *m_atr_calc; + double m_atr_buffer[]; + + // Persistent Price Caches + double m_price_high[]; + double m_price_low[]; + double m_price_close[]; + + // Persistent State Registers for Trailing Stop ratchets + double m_long_stop[]; + double m_short_stop[]; + double m_trend[]; + + double Highest(const double &array[], int period, int current_pos); + double Lowest(const double &array[], int period, int current_pos); + bool PrepareSourceData(int rates_total, int start_index, const double &open[], const double &high[], const double &low[], const double &close[]); + +public: + CChandelierExitCalculator(void); + ~CChandelierExitCalculator(void); + + bool Init(int period, double multiplier, bool is_ha); + void Calculate(int rates_total, int prev_calculated, + const double &open[], const double &high[], const double &low[], const double &close[], + double &stop_line[], double &color_buffer[]); + }; + +//+------------------------------------------------------------------+ +//| Constructor | +//+------------------------------------------------------------------+ +CChandelierExitCalculator::CChandelierExitCalculator(void) + : m_period(22), + m_multiplier(3.0), + m_is_ha(false), + m_atr_calc(NULL) + { + } + +//+------------------------------------------------------------------+ +//| Destructor | +//+------------------------------------------------------------------+ +CChandelierExitCalculator::~CChandelierExitCalculator(void) + { + if(CheckPointer(m_atr_calc) != POINTER_INVALID) + delete m_atr_calc; + } + +//+------------------------------------------------------------------+ +//| Init | +//+------------------------------------------------------------------+ +bool CChandelierExitCalculator::Init(int period, double multiplier, bool is_ha) + { + m_period = (period < 1) ? 1 : period; + m_multiplier = (multiplier <= 0.0) ? 3.0 : multiplier; + m_is_ha = is_ha; + + if(CheckPointer(m_atr_calc) != POINTER_INVALID) + { + delete m_atr_calc; + m_atr_calc = NULL; + } + +// Dynamic polymorphic instantiation of the underlying refactored ATR engine + if(m_is_ha) + m_atr_calc = new CATRCalculator_HA(); + else + m_atr_calc = new CATRCalculator(); + + if(CheckPointer(m_atr_calc) == POINTER_INVALID || !m_atr_calc.Init(m_period, ATR_POINTS)) + return false; + + return true; + } + +//+------------------------------------------------------------------+ +//| Calculate (Stateful O(1) Trailing Stop logic) | +//+------------------------------------------------------------------+ +void CChandelierExitCalculator::Calculate(int rates_total, int prev_calculated, + const double &open[], const double &high[], const double &low[], const double &close[], + double &stop_line[], double &color_buffer[]) + { + if(rates_total < m_period + 5) + return; + +//--- Resize state buffers and enforce chronological safety + if(ArraySize(m_atr_buffer) != rates_total) + { + ArrayResize(m_atr_buffer, rates_total); + ArrayResize(m_price_high, rates_total); + ArrayResize(m_price_low, rates_total); + ArrayResize(m_price_close, rates_total); + ArrayResize(m_long_stop, rates_total); + ArrayResize(m_short_stop, rates_total); + ArrayResize(m_trend, rates_total); + + ArraySetAsSeries(m_atr_buffer, false); + ArraySetAsSeries(m_price_high, false); + ArraySetAsSeries(m_price_low, false); + ArraySetAsSeries(m_price_close, false); + ArraySetAsSeries(m_long_stop, false); + ArraySetAsSeries(m_short_stop, false); + ArraySetAsSeries(m_trend, false); + } + +//--- 1. Prepare Source Price Data (Standard or HA) + int start_index = (prev_calculated > 0) ? prev_calculated - 1 : 0; + if(!PrepareSourceData(rates_total, start_index, open, high, low, close)) + return; + +//--- 2. Calculate volatility baseline using refactored ATR v3.00 + m_atr_calc.Calculate(rates_total, prev_calculated, open, high, low, close, m_atr_buffer); + + int loop_start = MathMax(m_period, start_index); + +//--- 3. Warm-up Initialization + if(loop_start == m_period) + { + for(int i = 0; i < m_period; i++) + { + m_long_stop[i] = 0.0; + m_short_stop[i] = 0.0; + m_trend[i] = 1.0; + stop_line[i] = m_price_close[i]; + color_buffer[i] = 0.0; + } + } + +//--- 4. Calculate Raw Stop Bands + for(int i = loop_start; i < rates_total; i++) + { + m_long_stop[i] = Highest(m_price_high, m_period, i) - m_multiplier * m_atr_buffer[i]; + m_short_stop[i] = Lowest(m_price_low, m_period, i) + m_multiplier * m_atr_buffer[i]; + } + +//--- 5. Trailing Stop Ratchet & Trend Logic + for(int i = loop_start; i < rates_total; i++) + { + // Trend flip conditions + if(m_price_close[i] > m_short_stop[i - 1]) + m_trend[i] = 1.0; // Bullish + else + if(m_price_close[i] < m_long_stop[i - 1]) + m_trend[i] = -1.0; // Bearish + else + m_trend[i] = m_trend[i - 1]; + + // Ratchet assignment (stop can only move in favor of the trend or stay flat) + if(m_trend[i] == 1.0) + { + if(m_long_stop[i] > stop_line[i - 1] || m_trend[i - 1] == -1.0) + stop_line[i] = m_long_stop[i]; + else + stop_line[i] = stop_line[i - 1]; + + color_buffer[i] = 0.0; // Index 0: Bullish (clrDodgerBlue) + } + else // Bearish + { + if(m_short_stop[i] < stop_line[i - 1] || stop_line[i - 1] == 0.0 || m_trend[i - 1] == 1.0) + stop_line[i] = m_short_stop[i]; + else + stop_line[i] = stop_line[i - 1]; + + color_buffer[i] = 1.0; // Index 1: Bearish (clrTomato) + } + + // Connect lines on trend transitions (MT5 drawing trick for color lines) + if(m_trend[i] != m_trend[i - 1]) + { + if(m_trend[i] == 1.0) + stop_line[i - 1] = m_long_stop[i]; + else + stop_line[i - 1] = m_short_stop[i]; + } + } + } + +//+------------------------------------------------------------------+ +//| Find Highest Value over Period | +//+------------------------------------------------------------------+ +double CChandelierExitCalculator::Highest(const double &array[], int period, int current_pos) + { + double res = array[current_pos]; + for(int i = 1; i < period; i++) + { + if(current_pos - i < 0) + break; + if(res < array[current_pos - i]) + res = array[current_pos - i]; + } + return res; + } + +//+------------------------------------------------------------------+ +//| Find Lowest Value over Period | +//+------------------------------------------------------------------+ +double CChandelierExitCalculator::Lowest(const double &array[], int period, int current_pos) + { + double res = array[current_pos]; + for(int i = 1; i < period; i++) + { + if(current_pos - i < 0) + break; + if(res > array[current_pos - i]) + res = array[current_pos - i]; + } + return res; + } + +//+------------------------------------------------------------------+ +//| Prepare Source Data Series (Standard or Heikin Ashi) | +//+------------------------------------------------------------------+ +bool CChandelierExitCalculator::PrepareSourceData(int rates_total, int start_index, const double &open[], const double &high[], const double &low[], const double &close[]) + { + if(m_is_ha) + { + static CHeikinAshi_Calculator ha_calc; + static double ha_open[], ha_high[], ha_low[], ha_close[]; + if(ArraySize(ha_open) != rates_total) + { + ArrayResize(ha_open, rates_total); + ArrayResize(ha_high, rates_total); + ArrayResize(ha_low, rates_total); + ArrayResize(ha_close, rates_total); + + ArraySetAsSeries(ha_open, false); + ArraySetAsSeries(ha_high, false); + ArraySetAsSeries(ha_low, false); + ArraySetAsSeries(ha_close, false); + } + + ha_calc.Calculate(rates_total, start_index, open, high, low, close, ha_open, ha_high, ha_low, ha_close); + + for(int i = start_index; i < rates_total; i++) + { + m_price_high[i] = ha_high[i]; + m_price_low[i] = ha_low[i]; + m_price_close[i] = ha_close[i]; + } + } + else + { + for(int i = start_index; i < rates_total; i++) + { + m_price_high[i] = high[i]; + m_price_low[i] = low[i]; + m_price_close[i] = close[i]; + } + } + return true; + } + +#endif // CHANDELIER_EXIT_CALCULATOR_MQH +//+------------------------------------------------------------------+