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refactor(indicators): Optimized for incremental calculation

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Toh4iem9
2026-01-01 17:19:03 +01:00
parent 4b46bb19e8
commit 4e8ceb0bd6
1 changed files with 110 additions and 85 deletions
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Include/MyIncludes/PascalWMA_Calculator.mqh
+110 -85
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@@ -1,6 +1,6 @@
//+------------------------------------------------------------------+
//| PascalWMA_Calculator.mqh |
//| Calculation engine for Standard and Heikin Ashi Pascal WMA. |
//| VERSION 2.00: Optimized for incremental calculation. |
//| Copyright 2025, xxxxxxxx |
//+------------------------------------------------------------------+
#property copyright "Copyright 2025, xxxxxxxx"
@@ -8,9 +8,7 @@
#include <MyIncludes\HeikinAshi_Tools.mqh>
//+==================================================================+
//| |
//| CLASS 1: CPascalWMACalculator (Base Class) |
//| |
//+==================================================================+
class CPascalWMACalculator
{
@@ -18,16 +16,21 @@ protected:
int m_period;
double m_weights[];
double m_weight_sum;
//--- Persistent Buffer for Incremental Calculation
double m_price[];
virtual bool PreparePriceSeries(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[]);
//--- Updated: Accepts start_index
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[]);
public:
CPascalWMACalculator(void);
virtual ~CPascalWMACalculator(void) {};
bool Init(int period);
void Calculate(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[], double &wma_out[]);
//--- Updated: Accepts prev_calculated
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 &wma_out[]);
};
//+------------------------------------------------------------------+
@@ -43,41 +46,59 @@ CPascalWMACalculator::CPascalWMACalculator(void) : m_period(0), m_weight_sum(0)
bool CPascalWMACalculator::Init(int period)
{
m_period = (period < 2) ? 2 : period;
// Limit period to avoid double overflow if necessary, but double handles large numbers well (up to 1.7e308).
// Pascal(100) middle term is huge but fits in double.
ArrayResize(m_weights, m_period);
m_weight_sum = 0;
for(int i = 0; i < m_period; i++)
// Calculate Binomial Coefficients: C(n, k)
// n = period - 1
// k = 0 to n
// Use iterative formula: C(n, k) = C(n, k-1) * (n - k + 1) / k
int n = m_period - 1;
m_weights[0] = 1.0;
m_weight_sum += m_weights[0];
for(int k = 1; k <= n; k++)
{
long n = m_period - 1;
long k = i;
if(k > n / 2)
k = n - k;
long res = 1;
for(long j = 1; j <= k; j++)
{
if(j == 0)
continue;
res = res * (n - j + 1) / j;
}
m_weights[i] = (double)res;
m_weight_sum += m_weights[i];
// Recursive calculation avoids factorial overflow
m_weights[k] = m_weights[k-1] * (double)(n - k + 1) / (double)k;
m_weight_sum += m_weights[k];
}
return (m_weight_sum > 0);
}
//+------------------------------------------------------------------+
//| CPascalWMACalculator: Main Calculation Method |
//+------------------------------------------------------------------+
void CPascalWMACalculator::Calculate(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[], double &wma_out[])
void CPascalWMACalculator::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 &wma_out[])
{
if(rates_total < m_period)
return;
if(!PreparePriceSeries(rates_total, price_type, open, high, low, close))
int start_index;
if(prev_calculated == 0)
start_index = 0;
else
start_index = prev_calculated - 1;
// Resize internal buffer
if(ArraySize(m_price) != rates_total)
ArrayResize(m_price, rates_total);
if(!PreparePriceSeries(rates_total, start_index, price_type, open, high, low, close))
return;
for(int i = m_period - 1; i < rates_total; i++)
//--- Incremental Loop
int loop_start = MathMax(m_period - 1, start_index);
for(int i = loop_start; i < rates_total; i++)
{
double weighted_sum = 0;
// Convolution: Price[i-j] * Weight[j]
for(int j = 0; j < m_period; j++)
{
weighted_sum += m_price[i - j] * m_weights[j];
@@ -89,93 +110,97 @@ void CPascalWMACalculator::Calculate(int rates_total, ENUM_APPLIED_PRICE price_t
//+------------------------------------------------------------------+
//| CPascalWMACalculator: Prepares the standard source price. |
//+------------------------------------------------------------------+
bool CPascalWMACalculator::PreparePriceSeries(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[])
bool CPascalWMACalculator::PreparePriceSeries(int rates_total, int start_index, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[])
{
ArrayResize(m_price, rates_total);
switch(price_type)
for(int i = start_index; i < rates_total; i++)
{
case PRICE_OPEN:
ArrayCopy(m_price, open, 0, 0, rates_total);
break;
case PRICE_HIGH:
ArrayCopy(m_price, high, 0, 0, rates_total);
break;
case PRICE_LOW:
ArrayCopy(m_price, low, 0, 0, rates_total);
break;
case PRICE_MEDIAN:
for(int i=0; i<rates_total; i++)
switch(price_type)
{
case PRICE_CLOSE:
m_price[i] = close[i];
break;
case PRICE_OPEN:
m_price[i] = open[i];
break;
case PRICE_HIGH:
m_price[i] = high[i];
break;
case PRICE_LOW:
m_price[i] = low[i];
break;
case PRICE_MEDIAN:
m_price[i] = (high[i]+low[i])/2.0;
break;
case PRICE_TYPICAL:
for(int i=0; i<rates_total; i++)
break;
case PRICE_TYPICAL:
m_price[i] = (high[i]+low[i]+close[i])/3.0;
break;
case PRICE_WEIGHTED:
for(int i=0; i<rates_total; i++)
break;
case PRICE_WEIGHTED:
m_price[i] = (high[i]+low[i]+2*close[i])/4.0;
break;
default:
ArrayCopy(m_price, close, 0, 0, rates_total);
break;
break;
default:
m_price[i] = close[i];
break;
}
}
return true;
}
//+==================================================================+
//| |
//| CLASS 2: CPascalWMACalculator_HA (Heikin Ashi) |
//| |
//| CLASS 2: CPascalWMACalculator_HA (Heikin Ashi) |
//+==================================================================+
class CPascalWMACalculator_HA : public CPascalWMACalculator
{
private:
CHeikinAshi_Calculator m_ha_calculator;
double m_ha_open[], m_ha_high[], m_ha_low[], m_ha_close[];
protected:
virtual bool PreparePriceSeries(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[]) override;
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;
};
//+------------------------------------------------------------------+
//| CPascalWMACalculator_HA: Prepares the HA source price. |
//+------------------------------------------------------------------+
bool CPascalWMACalculator_HA::PreparePriceSeries(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[])
bool CPascalWMACalculator_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[])
{
double ha_open[], ha_high[], ha_low[], ha_close[];
ArrayResize(ha_open, rates_total);
ArrayResize(ha_high, rates_total);
ArrayResize(ha_low, 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);
ArrayResize(m_price, rates_total);
switch(price_type)
if(ArraySize(m_ha_open) != rates_total)
{
case PRICE_OPEN:
ArrayCopy(m_price, ha_open, 0, 0, rates_total);
break;
case PRICE_HIGH:
ArrayCopy(m_price, ha_high, 0, 0, rates_total);
break;
case PRICE_LOW:
ArrayCopy(m_price, ha_low, 0, 0, rates_total);
break;
case PRICE_MEDIAN:
for(int i=0; i<rates_total; i++)
m_price[i] = (ha_high[i]+ha_low[i])/2.0;
break;
case PRICE_TYPICAL:
for(int i=0; i<rates_total; i++)
m_price[i] = (ha_high[i]+ha_low[i]+ha_close[i])/3.0;
break;
case PRICE_WEIGHTED:
for(int i=0; i<rates_total; i++)
m_price[i] = (ha_high[i]+ha_low[i]+2*ha_close[i])/4.0;
break;
default:
ArrayCopy(m_price, ha_close, 0, 0, rates_total);
break;
ArrayResize(m_ha_open, rates_total);
ArrayResize(m_ha_high, rates_total);
ArrayResize(m_ha_low, rates_total);
ArrayResize(m_ha_close, rates_total);
}
m_ha_calculator.Calculate(rates_total, start_index, open, high, low, close, m_ha_open, m_ha_high, m_ha_low, m_ha_close);
for(int i = start_index; i < rates_total; i++)
{
switch(price_type)
{
case PRICE_CLOSE:
m_price[i] = m_ha_close[i];
break;
case PRICE_OPEN:
m_price[i] = m_ha_open[i];
break;
case PRICE_HIGH:
m_price[i] = m_ha_high[i];
break;
case PRICE_LOW:
m_price[i] = m_ha_low[i];
break;
case PRICE_MEDIAN:
m_price[i] = (m_ha_high[i]+m_ha_low[i])/2.0;
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;
}
//+------------------------------------------------------------------+
//+------------------------------------------------------------------+