diff --git a/Include/MyIncludes/VHF_Calculator.mqh b/Include/MyIncludes/VHF_Calculator.mqh new file mode 100644 index 0000000..8551f1c --- /dev/null +++ b/Include/MyIncludes/VHF_Calculator.mqh @@ -0,0 +1,176 @@ +//+------------------------------------------------------------------+ +//| 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; + } +//+------------------------------------------------------------------+