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refactor: Fixed CalculateOnArray offset logic

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Toh4iem9
2025-12-19 11:05:10 +01:00
parent 06064a821e
commit 4ff3f65d01
1 changed files with 148 additions and 96 deletions
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Include/MyIncludes/MovingAverage_Engine.mqh
+148 -96
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@@ -1,6 +1,6 @@
//+------------------------------------------------------------------+
//| MovingAverage_Engine.mqh |
//| VERSION 1.40: Optimized for incremental calculation. |
//| VERSION 2.10: Fixed CalculateOnArray offset logic. |
//| Copyright 2025, xxxxxxxx |
//+------------------------------------------------------------------+
#property copyright "Copyright 2025, xxxxxxxx"
@@ -19,6 +19,8 @@ enum ENUM_MA_TYPE
TEMA
};
//+==================================================================+
//| CLASS: CMovingAverageCalculator |
//+==================================================================+
class CMovingAverageCalculator
{
@@ -26,50 +28,35 @@ protected:
int m_period;
ENUM_MA_TYPE m_ma_type;
//--- Persistent Buffers for Incremental Calculation
//--- Persistent Buffers
double m_price[];
double m_temp_buffer1[];
double m_temp_buffer2[];
double m_temp_buffer3[];
//--- Buffers for complex MAs (TMA, DEMA, TEMA)
double m_temp_buffer1[]; // Used for TMA(sma1), DEMA(ema1), TEMA(ema1)
double m_temp_buffer2[]; // Used for DEMA(ema2), TEMA(ema2)
double m_temp_buffer3[]; // Used for TEMA(ema3)
//--- 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[]);
//--- Updated: Accepts start_index
void CalculateEMA(int rates_total, int start_index, int period, const double &source[], double &dest[]);
//--- Internal Core Calculation that works on m_price
//--- data_offset: The index where valid data starts in m_price
void RunCalculation(int rates_total, int start_index, double &output_buffer[], int data_offset = 0);
public:
CMovingAverageCalculator(void) {};
virtual ~CMovingAverageCalculator(void) {};
bool Init(int period, ENUM_MA_TYPE ma_type);
//--- Updated: Accepts prev_calculated
//--- Standard Calculation (OHLC input)
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 &ma_buffer[]);
//--- Calculation on Custom Array (e.g. for smoothing other indicators)
//--- src_start_index: The index where valid data starts in src_buffer (default 0)
void CalculateOnArray(int rates_total, int prev_calculated, const double &src_buffer[], double &output_buffer[], int src_start_index = 0);
int GetPeriod(void) const { return m_period; }
};
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
class CMovingAverageCalculator_HA : public CMovingAverageCalculator
{
private:
CHeikinAshi_Calculator m_ha_calculator;
// Internal HA buffers (Persistent)
double m_ha_open[], m_ha_high[], m_ha_low[], m_ha_close[];
protected:
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;
};
//+==================================================================+
//| METHOD IMPLEMENTATIONS |
//+==================================================================+
//+------------------------------------------------------------------+
//| Init |
//+------------------------------------------------------------------+
@@ -81,25 +68,19 @@ bool CMovingAverageCalculator::Init(int period, ENUM_MA_TYPE ma_type)
}
//+------------------------------------------------------------------+
//| Main Calculation (Optimized) |
//| Calculate (Standard OHLC) |
//+------------------------------------------------------------------+
void CMovingAverageCalculator::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 &ma_buffer[])
{
if(rates_total < m_period)
return;
//--- 1. Determine Start Index
int start_index;
if(prev_calculated == 0)
start_index = 0;
else
start_index = prev_calculated - 1;
int start_index = (prev_calculated == 0) ? 0 : prev_calculated - 1;
//--- 2. Resize Buffers
if(ArraySize(m_price) != rates_total)
{
ArrayResize(m_price, rates_total);
// Resize temp buffers only if needed by type
// Resize temp buffers if needed
if(m_ma_type == TMA || m_ma_type == DEMA || m_ma_type == TEMA)
ArrayResize(m_temp_buffer1, rates_total);
if(m_ma_type == DEMA || m_ma_type == TEMA)
@@ -108,18 +89,62 @@ void CMovingAverageCalculator::Calculate(int rates_total, int prev_calculated, E
ArrayResize(m_temp_buffer3, rates_total);
}
//--- 3. Prepare Price (Optimized)
if(!PreparePriceSeries(rates_total, start_index, price_type, open, high, low, close))
return;
int start_pos = m_period - 1;
// Standard OHLC data is valid from index 0
RunCalculation(rates_total, start_index, ma_buffer, 0);
}
//+------------------------------------------------------------------+
//| CalculateOnArray (Custom Input) |
//+------------------------------------------------------------------+
void CMovingAverageCalculator::CalculateOnArray(int rates_total, int prev_calculated, const double &src_buffer[], double &output_buffer[], int src_start_index = 0)
{
// We need at least (offset + period) bars to calculate one value
if(rates_total < src_start_index + m_period)
return;
int start_index = (prev_calculated == 0) ? 0 : prev_calculated - 1;
// Resize internal buffers
if(ArraySize(m_price) != rates_total)
{
ArrayResize(m_price, rates_total);
if(m_ma_type == TMA || m_ma_type == DEMA || m_ma_type == TEMA)
ArrayResize(m_temp_buffer1, rates_total);
if(m_ma_type == DEMA || m_ma_type == TEMA)
ArrayResize(m_temp_buffer2, rates_total);
if(m_ma_type == TEMA)
ArrayResize(m_temp_buffer3, rates_total);
}
// Copy source array to internal m_price buffer
// Optimization: We can start copying from src_start_index, but to be safe with incremental updates,
// we copy from start_index (or src_start_index if we are at the beginning).
int copy_start = MathMax(start_index, src_start_index);
for(int i = copy_start; i < rates_total; i++)
m_price[i] = src_buffer[i];
RunCalculation(rates_total, start_index, output_buffer, src_start_index);
}
//+------------------------------------------------------------------+
//| RunCalculation (Core Logic) |
//+------------------------------------------------------------------+
void CMovingAverageCalculator::RunCalculation(int rates_total, int start_index, double &output_buffer[], int data_offset)
{
// The first valid MA value can be calculated at (offset + period - 1)
int start_pos = data_offset + m_period - 1;
// Ensure loop starts at valid position
int loop_start = MathMax(start_pos, start_index);
//--- 4. Calculate MA based on type
switch(m_ma_type)
{
case EMA:
CalculateEMA(rates_total, start_index, m_period, m_price, ma_buffer);
CalculateEMA(rates_total, loop_start, m_period, m_price, output_buffer);
break;
case SMMA:
@@ -130,11 +155,11 @@ void CMovingAverageCalculator::Calculate(int rates_total, int prev_calculated, E
double sum=0;
for(int j=0; j<m_period; j++)
sum+=m_price[i-j];
ma_buffer[i]=sum/m_period;
output_buffer[i]=sum/m_period;
}
else
// Recursive SMMA works incrementally because ma_buffer[i-1] is preserved
ma_buffer[i]=(ma_buffer[i-1]*(m_period-1)+m_price[i])/m_period;
// Recursive SMMA relies on valid previous value [i-1]
output_buffer[i]=(output_buffer[i-1]*(m_period-1)+m_price[i])/m_period;
}
break;
@@ -149,16 +174,18 @@ void CMovingAverageCalculator::Calculate(int rates_total, int prev_calculated, E
w_sum+=w;
}
if(w_sum>0)
ma_buffer[i]=sum/w_sum;
output_buffer[i]=sum/w_sum;
}
break;
case TMA:
{
int period1 = (int)ceil((m_period + 1.0) / 2.0);
int loop_start_tma = MathMax(period1 - 1, start_index);
// TMA logic is complex with offsets.
// First MA starts at: data_offset + period1 - 1
int start_pos1 = data_offset + period1 - 1;
int loop_start_tma = MathMax(start_pos1, start_index);
// Step 1: Simple MA into temp buffer
for(int i = loop_start_tma; i < rates_total; i++)
{
double sum = 0;
@@ -167,47 +194,41 @@ void CMovingAverageCalculator::Calculate(int rates_total, int prev_calculated, E
m_temp_buffer1[i] = sum / period1;
}
// Step 2: Simple MA of the first MA
// Second MA starts at: start_pos1 + period2 - 1
int period2 = m_period - period1 + 1;
int loop_start_final = MathMax(period1 + period2 - 2, start_index);
int start_pos2 = start_pos1 + period2 - 1;
int loop_start_final = MathMax(start_pos2, start_index);
for(int i = loop_start_final; i < rates_total; i++)
{
double sum = 0;
for(int j = 0; j < period2; j++)
sum += m_temp_buffer1[i-j];
ma_buffer[i] = sum / period2;
output_buffer[i] = sum / period2;
}
}
break;
case DEMA:
{
// EMA1 of Price
CalculateEMA(rates_total, start_index, m_period, m_price, m_temp_buffer1);
// EMA2 of EMA1
CalculateEMA(rates_total, start_index, m_period, m_temp_buffer1, m_temp_buffer2);
// DEMA/TEMA use EMA internally. We trust CalculateEMA to handle start_index correctly.
// However, DEMA needs 2x lag, TEMA 3x lag.
// CalculateEMA handles initialization if passed correct start index.
CalculateEMA(rates_total, loop_start, m_period, m_price, m_temp_buffer1);
CalculateEMA(rates_total, loop_start, m_period, m_temp_buffer1, m_temp_buffer2);
int loop_start_dema = MathMax((m_period - 1) * 2, start_index);
for(int i = loop_start_dema; i < rates_total; i++)
ma_buffer[i] = 2 * m_temp_buffer1[i] - m_temp_buffer2[i];
// Final loop
for(int i = loop_start; i < rates_total; i++)
output_buffer[i] = 2 * m_temp_buffer1[i] - m_temp_buffer2[i];
break;
}
case TEMA:
{
// EMA1 of Price
CalculateEMA(rates_total, start_index, m_period, m_price, m_temp_buffer1);
// EMA2 of EMA1
CalculateEMA(rates_total, start_index, m_period, m_temp_buffer1, m_temp_buffer2);
// EMA3 of EMA2
CalculateEMA(rates_total, start_index, m_period, m_temp_buffer2, m_temp_buffer3);
CalculateEMA(rates_total, loop_start, m_period, m_price, m_temp_buffer1);
CalculateEMA(rates_total, loop_start, m_period, m_temp_buffer1, m_temp_buffer2);
CalculateEMA(rates_total, loop_start, m_period, m_temp_buffer2, m_temp_buffer3);
int loop_start_tema = MathMax((m_period - 1) * 3, start_index);
for(int i = loop_start_tema; i < rates_total; i++)
ma_buffer[i] = 3 * m_temp_buffer1[i] - 3 * m_temp_buffer2[i] + m_temp_buffer3[i];
for(int i = loop_start; i < rates_total; i++)
output_buffer[i] = 3 * m_temp_buffer1[i] - 3 * m_temp_buffer2[i] + m_temp_buffer3[i];
break;
}
default: // SMA
for(int i = loop_start; i < rates_total; i++)
@@ -215,7 +236,7 @@ void CMovingAverageCalculator::Calculate(int rates_total, int prev_calculated, E
double sum=0;
for(int j=0; j<m_period; j++)
sum+=m_price[i-j];
ma_buffer[i]=sum/m_period;
output_buffer[i]=sum/m_period;
}
break;
}
@@ -226,33 +247,49 @@ void CMovingAverageCalculator::Calculate(int rates_total, int prev_calculated, E
//+------------------------------------------------------------------+
void CMovingAverageCalculator::CalculateEMA(int rates_total, int start_index, int period, const double &source[], double &dest[])
{
// Note: start_index passed here is already adjusted for offset in RunCalculation
if(rates_total < period)
return;
int start_pos = period - 1;
double pr = 2.0 / (double)(period + 1.0);
// Determine where to start loop
int i = MathMax(start_pos, start_index);
// Robust initialization check:
// If the previous value is empty or 0 (and we are not at index 0), we might need to re-initialize.
// But for strict incremental logic, we trust start_index.
// The only edge case is the very first calculation.
// If starting from the very beginning (or before valid data), initialize first value
if(i == start_pos)
for(int i = start_index; i < rates_total; i++)
{
double sum=0;
for(int j=0; j<period; j++)
if(source[start_pos-j] != EMPTY_VALUE)
sum += source[start_pos-j];
dest[start_pos] = sum / period;
i++; // Move to next
}
// Check if we have a valid previous value to recurse on
bool has_prev = (i > 0 && dest[i-1] != 0.0 && dest[i-1] != EMPTY_VALUE);
for(; i < rates_total; i++)
{
if(source[i] != EMPTY_VALUE)
// Recursive calculation uses dest[i-1] which is safe due to persistence
dest[i] = source[i] * pr + dest[i-1] * (1.0 - pr);
if(has_prev)
{
if(source[i] != EMPTY_VALUE)
dest[i] = source[i]*pr + dest[i-1]*(1.0-pr);
else
dest[i] = dest[i-1];
}
else
dest[i] = dest[i-1];
{
// Initialization (SMA)
// We need 'period' valid bars ending at i.
// source[i], source[i-1] ... source[i-period+1]
double sum=0;
int count=0;
for(int j=0; j<period; j++)
{
if(source[i-j]!=EMPTY_VALUE)
{
sum+=source[i-j];
count++;
}
}
if(count > 0)
dest[i] = sum/count;
else
dest[i] = 0; // Should not happen if start_index is correct
}
}
}
@@ -261,7 +298,6 @@ void CMovingAverageCalculator::CalculateEMA(int rates_total, int start_index, in
//+------------------------------------------------------------------+
bool CMovingAverageCalculator::PreparePriceSeries(int rates_total, int start_index, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[])
{
// Optimized copy loop
for(int i = start_index; i < rates_total; i++)
{
switch(price_type)
@@ -285,19 +321,34 @@ bool CMovingAverageCalculator::PreparePriceSeries(int rates_total, int start_ind
m_price[i] = (high[i]+low[i]+close[i])/3.0;
break;
case PRICE_WEIGHTED:
m_price[i] = (high[i]+low[i]+close[i]+close[i])/4.0;
m_price[i] = (high[i]+low[i]+2*close[i])/4.0;
break;
default:
m_price[i] = close[i];
break;
}
}
return true;
}
//+==================================================================+
//| CLASS 2: CMovingAverageCalculator_HA |
//+==================================================================+
class CMovingAverageCalculator_HA : public CMovingAverageCalculator
{
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, int start_index, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[]) override;
};
//+------------------------------------------------------------------+
//| Prepare Price (Heikin Ashi - Optimized) |
//+------------------------------------------------------------------+
bool CMovingAverageCalculator_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[])
{
// Resize internal HA buffers
if(ArraySize(m_ha_open) != rates_total)
{
ArrayResize(m_ha_open, rates_total);
@@ -306,11 +357,9 @@ bool CMovingAverageCalculator_HA::PreparePriceSeries(int rates_total, int start_
ArrayResize(m_ha_close, rates_total);
}
//--- STRICT CALL: Use the optimized 10-param HA calculation
m_ha_calculator.Calculate(rates_total, start_index, open, high, low, close,
m_ha_open, m_ha_high, m_ha_low, m_ha_close);
//--- Copy to m_price (Optimized loop)
for(int i = start_index; i < rates_total; i++)
{
switch(price_type)
@@ -334,7 +383,10 @@ bool CMovingAverageCalculator_HA::PreparePriceSeries(int rates_total, int start_
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]+m_ha_close[i]+m_ha_close[i])/4.0;
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;
}
}