new files added

2026-08-01 06:37:44 +00:00 · 2026-02-14 10:11:30 +01:00
parent 682163ce9e
commit 4eb39a4a11
1 changed files with 176 additions and 0 deletions
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+//+------------------------------------------------------------------+
+//|                                            VHF_Calculator.mqh    |
+//|      Engine for Vertical Horizontal Filter (Adam White).         |
+//|      Algorithm: Selectable (Standard Close vs High-Low Range).   |
+//|                                        Copyright 2026, xxxxxxxx  |
+//+------------------------------------------------------------------+
+#property copyright "Copyright 2026, xxxxxxxx"
+
+enum ENUM_VHF_MODE
+  {
+   VHF_MODE_CLOSE_ONLY, // Adam White Classic (Highest Close - Lowest Close)
+   VHF_MODE_HIGH_LOW    // Professional (Highest High - Lowest Low)
+  };
+
+//+------------------------------------------------------------------+
+//|                                                                  |
+//+------------------------------------------------------------------+
+class CVHFCalculator
+  {
+protected:
+   int               m_period;
+   ENUM_VHF_MODE     m_mode;
+
+   // Data Buffers
+   double            m_price[]; // Close/Source Price (Denominator)
+   double            m_high[];  // High Prices (Numerator High-Low Mode)
+   double            m_low[];   // Low Prices (Numerator High-Low Mode)
+
+   virtual bool      PrepareData(int rates_total, int start_index, ENUM_APPLIED_PRICE price_type,
+                                 const double &open[], const double &high[], const double &low[], const double &close[]);
+
+public:
+                     CVHFCalculator(void) : m_mode(VHF_MODE_CLOSE_ONLY) {};
+   virtual          ~CVHFCalculator(void) {};
+
+   bool              Init(int period, ENUM_VHF_MODE mode);
+
+   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 &out_vhf[]);
+  };
+
+//+------------------------------------------------------------------+
+//| Init                                                             |
+//+------------------------------------------------------------------+
+bool CVHFCalculator::Init(int period, ENUM_VHF_MODE mode)
+  {
+   m_period = (period < 1) ? 1 : period;
+   m_mode = mode;
+   return true;
+  }
+
+//+------------------------------------------------------------------+
+//| Main Calculation                                                 |
+//+------------------------------------------------------------------+
+void CVHFCalculator::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 &out_vhf[])
+  {
+   if(rates_total <= m_period)
+      return;
+
+   int start_index = (prev_calculated > m_period) ? prev_calculated - 1 : m_period;
+
+// Resize internal buffers
+   if(ArraySize(m_price) != rates_total)
+     {
+      ArrayResize(m_price, rates_total);
+      if(m_mode == VHF_MODE_HIGH_LOW)
+        {
+         ArrayResize(m_high, rates_total);
+         ArrayResize(m_low, rates_total);
+        }
+     }
+
+   if(!PrepareData(rates_total, (prev_calculated>0?prev_calculated-1:0), price_type, open, high, low, close))
+      return;
+
+   for(int i = start_index; i < rates_total; i++)
+     {
+      double max_p = -DBL_MAX;
+      double min_p = DBL_MAX;
+      double sum_change = 0;
+
+      // 1. Numerator (Range)
+      if(m_mode == VHF_MODE_CLOSE_ONLY)
+        {
+         // Classic: Search within source price (usually Close)
+         for(int k = 0; k < m_period; k++)
+           {
+            double p = m_price[i - k]; // i down to i-period+1 ? Standard VHF lookback is usually [i .. i-period+1]
+            // Actually, Adam White lookback N means Highest over N bars. [i-N+1 ... i]
+            if(p > max_p)
+               max_p = p;
+            if(p < min_p)
+               min_p = p;
+           }
+        }
+      else // VHF_MODE_HIGH_LOW
+        {
+         // Pro: Search within TRUE High/Low arrays
+         // Note: m_high/m_low are populated in PrepareData
+         for(int k = 0; k < m_period; k++)
+           {
+            int idx = i - k; // Simple loop back
+            if(m_high[idx] > max_p)
+               max_p = m_high[idx];
+            if(m_low[idx] < min_p)
+               min_p = m_low[idx];
+           }
+        }
+
+      // 2. Denominator (Noise)
+      // Sum of Abs Changes of the SOURCE PRICE (Close) over Period
+      // usually Change[i] ... Change[i-N+1]
+      for(int k = 0; k < m_period; k++)
+        {
+         int idx = i - k;
+         double p_curr = m_price[idx];
+         double p_prev = m_price[idx-1]; // Safe if i >= period >= 1
+         sum_change += MathAbs(p_curr - p_prev);
+        }
+
+      if(sum_change > 1.0e-9) // Determine VHF
+         out_vhf[i] = (max_p - min_p) / sum_change;
+      else
+         out_vhf[i] = 0.0;
+     }
+  }
+
+//+------------------------------------------------------------------+
+//| Prepare Data                                                     |
+//+------------------------------------------------------------------+
+bool CVHFCalculator::PrepareData(int rates_total, int start_index, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[])
+  {
+   for(int i = start_index; i < rates_total; i++)
+     {
+      // 1. Prepare Denominator Base (Close/Selected)
+      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:
+            m_price[i] = (high[i]+low[i]+close[i])/3.0;
+            break;
+         case PRICE_WEIGHTED:
+            m_price[i] = (high[i]+low[i]+2*close[i])/4.0;
+            break;
+         default:
+            m_price[i] = close[i];
+            break;
+        }
+
+      // 2. Prepare Numerator Base (High/Low) - Only if needed
+      if(m_mode == VHF_MODE_HIGH_LOW)
+        {
+         m_high[i] = high[i];
+         m_low[i]  = low[i];
+        }
+     }
+   return true;
+  }
+//+------------------------------------------------------------------+