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refactor: Optimized for incremental calculation
This commit is contained in:
Toh4iem9
@@ -1,6 +1,6 @@
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//+------------------------------------------------------------------+
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//| AMA_TrendActivity_Calculator.mqh |
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//| Calculation engine for Standard and Heikin Ashi AMA Activity. |
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//| VERSION 2.10: Optimized for incremental calculation. |
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//| Copyright 2025, xxxxxxxx |
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//+------------------------------------------------------------------+
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#property copyright "Copyright 2025, xxxxxxxx"
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@@ -8,9 +8,7 @@
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#include <MyIncludes\HeikinAshi_Tools.mqh>
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//+==================================================================+
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//| |
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//| CLASS 1: CActivityCalculator (Base Class) |
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//| |
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//+==================================================================+
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class CActivityCalculator
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{
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@@ -18,24 +16,28 @@ protected:
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int m_ama_period, m_fast_period, m_slow_period, m_atr_period, m_smoothing_period;
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double m_pi_div_2;
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//--- Internal buffers for source data
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//--- Persistent Buffers for Incremental Calculation
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double m_ama_price[];
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double m_atr_high[], m_atr_low[], m_atr_close[];
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//--- Virtual method for preparing all necessary source data series.
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virtual bool PrepareSourceData(int rates_total, const double &open[], const double &high[], const double &low[], const double &close[], ENUM_APPLIED_PRICE price_type);
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//--- Intermediate Calculation Buffers (Must persist state)
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double m_buffer_ama[];
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double m_buffer_atr[];
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double m_scaled_activity[];
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//--- Virtual method for preparing source data
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virtual bool PrepareSourceData(int rates_total, int start_index, const double &open[], const double &high[], const double &low[], const double &close[], ENUM_APPLIED_PRICE price_type);
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public:
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CActivityCalculator(void) {};
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virtual ~CActivityCalculator(void) {};
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//--- Public methods
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bool Init(int ama_p, int fast_p, int slow_p, int atr_p, int smooth_p);
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void Calculate(int rates_total, const double &open[], const double &high[], const double &low[], const double &close[], ENUM_APPLIED_PRICE price_type, double &activity_buffer[]);
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void Calculate(int rates_total, int prev_calculated, const double &open[], const double &high[], const double &low[], const double &close[], ENUM_APPLIED_PRICE price_type, double &activity_buffer[]);
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};
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//+------------------------------------------------------------------+
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//| CActivityCalculator: Initialization |
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//| Init |
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//+------------------------------------------------------------------+
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bool CActivityCalculator::Init(int ama_p, int fast_p, int slow_p, int atr_p, int smooth_p)
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{
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@@ -49,195 +51,225 @@ bool CActivityCalculator::Init(int ama_p, int fast_p, int slow_p, int atr_p, int
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}
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//+------------------------------------------------------------------+
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//| CActivityCalculator: Main Calculation Method (Shared Logic) |
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//| Main Calculation (Optimized) |
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//+------------------------------------------------------------------+
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void CActivityCalculator::Calculate(int rates_total, const double &open[], const double &high[], const double &low[], const double &close[], ENUM_APPLIED_PRICE price_type, double &activity_buffer[])
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void CActivityCalculator::Calculate(int rates_total, int prev_calculated, const double &open[], const double &high[], const double &low[], const double &close[], ENUM_APPLIED_PRICE price_type, double &activity_buffer[])
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{
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int start_pos = m_ama_period + m_atr_period + m_smoothing_period;
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if(rates_total <= start_pos)
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return;
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//--- STEP 1: Prepare all source data (delegated to virtual method)
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if(!PrepareSourceData(rates_total, open, high, low, close, price_type))
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//--- 1. Determine Start Index
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int start_index;
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if(prev_calculated == 0)
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start_index = 0;
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else
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start_index = prev_calculated - 1;
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//--- 2. Resize Buffers
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if(ArraySize(m_ama_price) != rates_total)
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{
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ArrayResize(m_ama_price, rates_total);
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ArrayResize(m_atr_high, rates_total);
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ArrayResize(m_atr_low, rates_total);
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ArrayResize(m_atr_close, rates_total);
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ArrayResize(m_buffer_ama, rates_total);
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ArrayResize(m_buffer_atr, rates_total);
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ArrayResize(m_scaled_activity, rates_total);
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}
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//--- 3. Prepare Source Data (Optimized)
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if(!PrepareSourceData(rates_total, start_index, open, high, low, close, price_type))
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return;
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//--- STEP 2: Calculate AMA
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double buffer_ama[];
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ArrayResize(buffer_ama, rates_total);
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//--- 4. Calculate AMA (Incremental)
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double fast_sc = 2.0 / (m_fast_period + 1.0);
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double slow_sc = 2.0 / (m_slow_period + 1.0);
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for(int i = 1; i < rates_total; i++)
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int loop_start_ama = MathMax(m_ama_period, start_index);
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for(int i = loop_start_ama; i < rates_total; i++)
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{
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if(i == m_ama_period)
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{
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buffer_ama[i] = m_ama_price[i];
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m_buffer_ama[i] = m_ama_price[i];
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continue;
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}
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if(i > m_ama_period)
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{
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double direction = MathAbs(m_ama_price[i] - m_ama_price[i - m_ama_period]);
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double volatility = 0;
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for(int j = 0; j < m_ama_period; j++)
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volatility += MathAbs(m_ama_price[i - j] - m_ama_price[i - j - 1]);
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double er = (volatility > 0) ? direction / volatility : 0;
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double ssc = er * (fast_sc - slow_sc) + slow_sc;
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buffer_ama[i] = buffer_ama[i-1] + (ssc*ssc) * (m_ama_price[i] - buffer_ama[i-1]);
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}
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double direction = MathAbs(m_ama_price[i] - m_ama_price[i - m_ama_period]);
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double volatility = 0;
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for(int j = 0; j < m_ama_period; j++)
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volatility += MathAbs(m_ama_price[i - j] - m_ama_price[i - j - 1]);
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double er = (volatility > 0) ? direction / volatility : 0;
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double ssc = er * (fast_sc - slow_sc) + slow_sc;
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// Recursive AMA using persistent buffer
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m_buffer_ama[i] = m_buffer_ama[i-1] + (ssc*ssc) * (m_ama_price[i] - m_buffer_ama[i-1]);
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}
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//--- STEP 3: Calculate ATR
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double buffer_atr[], tr[];
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ArrayResize(buffer_atr, rates_total);
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ArrayResize(tr, rates_total);
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for(int i = 1; i < rates_total; i++)
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tr[i] = MathMax(m_atr_high[i], m_atr_close[i-1]) - MathMin(m_atr_low[i], m_atr_close[i-1]);
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for(int i = 1; i < rates_total; i++)
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//--- 5. Calculate ATR (Incremental)
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int loop_start_atr = MathMax(m_atr_period, start_index);
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for(int i = loop_start_atr; i < rates_total; i++)
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{
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double tr = MathMax(m_atr_high[i], m_atr_close[i-1]) - MathMin(m_atr_low[i], m_atr_close[i-1]);
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if(i == m_atr_period)
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{
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double sum_tr = 0;
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for(int j = 1; j <= m_atr_period; j++)
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sum_tr += tr[j];
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buffer_atr[i] = sum_tr / m_atr_period;
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for(int k = 0; k < m_atr_period; k++)
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{
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int idx = i - k;
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double t = MathMax(m_atr_high[idx], m_atr_close[idx-1]) - MathMin(m_atr_low[idx], m_atr_close[idx-1]);
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sum_tr += t;
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}
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m_buffer_atr[i] = sum_tr / m_atr_period;
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}
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else
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if(i > m_atr_period)
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buffer_atr[i] = (buffer_atr[i-1] * (m_atr_period - 1) + tr[i]) / m_atr_period;
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}
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//--- STEP 4: Calculate Raw Activity and Scale it using MathArctan
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double scaled_activity[];
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ArrayResize(scaled_activity, rates_total);
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for(int i = m_ama_period + 1; i < rates_total; i++)
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{
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if(buffer_atr[i] > 0)
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{
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double raw_activity = MathAbs(buffer_ama[i] - buffer_ama[i-1]) / buffer_atr[i];
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scaled_activity[i] = MathArctan(raw_activity) / m_pi_div_2;
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// RMA (Wilder's Smoothing)
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m_buffer_atr[i] = (m_buffer_atr[i-1] * (m_atr_period - 1) + tr) / m_atr_period;
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}
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}
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//--- STEP 5: Calculate Final Oscillator (SMA of Scaled Activity)
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double sum = 0;
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//--- 6. Calculate Raw Activity and Scale (Incremental)
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int loop_start_act = MathMax(m_ama_period + 1, start_index);
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for(int i = loop_start_act; i < rates_total; i++)
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{
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if(m_buffer_atr[i] > 0)
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{
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double raw_activity = MathAbs(m_buffer_ama[i] - m_buffer_ama[i-1]) / m_buffer_atr[i];
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m_scaled_activity[i] = MathArctan(raw_activity) / m_pi_div_2;
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}
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else
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{
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m_scaled_activity[i] = 0;
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}
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}
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//--- 7. Calculate Final SMA (Incremental)
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int final_start_pos = m_ama_period + m_smoothing_period;
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for(int i = m_ama_period + 1; i < rates_total; i++)
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int loop_start_final = MathMax(final_start_pos, start_index);
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for(int i = loop_start_final; i < rates_total; i++)
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{
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sum += scaled_activity[i];
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if(i >= final_start_pos)
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{
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if(i > final_start_pos)
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sum -= scaled_activity[i - m_smoothing_period];
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activity_buffer[i] = sum / m_smoothing_period;
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}
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double sum = 0;
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for(int j = 0; j < m_smoothing_period; j++)
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sum += m_scaled_activity[i-j];
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activity_buffer[i] = sum / m_smoothing_period;
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}
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}
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//+------------------------------------------------------------------+
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//| CActivityCalculator: Prepares the standard source data series. |
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//| Prepare Source Data (Standard - Optimized) |
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//+------------------------------------------------------------------+
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bool CActivityCalculator::PrepareSourceData(int rates_total, const double &open[], const double &high[], const double &low[], const double &close[], ENUM_APPLIED_PRICE price_type)
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bool CActivityCalculator::PrepareSourceData(int rates_total, int start_index, const double &open[], const double &high[], const double &low[], const double &close[], ENUM_APPLIED_PRICE price_type)
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{
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//--- Prepare AMA source price
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ArrayResize(m_ama_price, rates_total);
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switch(price_type)
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for(int i = start_index; i < rates_total; i++)
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{
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case PRICE_OPEN:
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ArrayCopy(m_ama_price, open, 0, 0, rates_total);
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break;
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case PRICE_HIGH:
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ArrayCopy(m_ama_price, high, 0, 0, rates_total);
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break;
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case PRICE_LOW:
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ArrayCopy(m_ama_price, low, 0, 0, rates_total);
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break;
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case PRICE_MEDIAN:
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for(int i=0; i<rates_total; i++)
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// AMA Price
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switch(price_type)
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{
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case PRICE_OPEN:
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m_ama_price[i] = open[i];
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break;
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case PRICE_HIGH:
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m_ama_price[i] = high[i];
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break;
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case PRICE_LOW:
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m_ama_price[i] = low[i];
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break;
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case PRICE_MEDIAN:
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m_ama_price[i] = (high[i]+low[i])/2.0;
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break;
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case PRICE_TYPICAL:
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for(int i=0; i<rates_total; i++)
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break;
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case PRICE_TYPICAL:
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m_ama_price[i] = (high[i]+low[i]+close[i])/3.0;
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break;
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case PRICE_WEIGHTED:
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for(int i=0; i<rates_total; i++)
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break;
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case PRICE_WEIGHTED:
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m_ama_price[i] = (high[i]+low[i]+2*close[i])/4.0;
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break;
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default:
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ArrayCopy(m_ama_price, close, 0, 0, rates_total);
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break;
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break;
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default:
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m_ama_price[i] = close[i];
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break;
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}
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// ATR Data
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m_atr_high[i] = high[i];
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m_atr_low[i] = low[i];
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m_atr_close[i] = close[i];
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}
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//--- Prepare ATR source candles (standard candles)
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ArrayResize(m_atr_high, rates_total);
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ArrayResize(m_atr_low, rates_total);
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ArrayResize(m_atr_close, rates_total);
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ArrayCopy(m_atr_high, high, 0, 0, rates_total);
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ArrayCopy(m_atr_low, low, 0, 0, rates_total);
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ArrayCopy(m_atr_close, close, 0, 0, rates_total);
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return true;
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}
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//+==================================================================+
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//| |
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//| CLASS 2: CActivityCalculator_HA (Heikin Ashi) |
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//| |
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//| CLASS 2: CActivityCalculator_HA (Heikin Ashi) |
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//+==================================================================+
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class CActivityCalculator_HA : public CActivityCalculator
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{
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private:
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CHeikinAshi_Calculator m_ha_calculator;
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// Internal HA buffers
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double m_ha_open[], m_ha_high[], m_ha_low[], m_ha_close[];
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protected:
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virtual bool PrepareSourceData(int rates_total, const double &open[], const double &high[], const double &low[], const double &close[], ENUM_APPLIED_PRICE price_type) override;
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virtual bool PrepareSourceData(int rates_total, int start_index, const double &open[], const double &high[], const double &low[], const double &close[], ENUM_APPLIED_PRICE price_type) override;
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};
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//+------------------------------------------------------------------+
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//| CActivityCalculator_HA: Prepares the Heikin Ashi source data. |
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//| Prepare Source Data (Heikin Ashi - Optimized) |
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//+------------------------------------------------------------------+
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bool CActivityCalculator_HA::PrepareSourceData(int rates_total, const double &open[], const double &high[], const double &low[], const double &close[], ENUM_APPLIED_PRICE price_type)
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bool CActivityCalculator_HA::PrepareSourceData(int rates_total, int start_index, const double &open[], const double &high[], const double &low[], const double &close[], ENUM_APPLIED_PRICE price_type)
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{
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//--- First, calculate the HA candles
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double ha_open[], ha_high[], ha_low[], ha_close[];
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ArrayResize(ha_open, rates_total);
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ArrayResize(ha_high, rates_total);
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ArrayResize(ha_low, rates_total);
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ArrayResize(ha_close, rates_total);
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m_ha_calculator.Calculate(rates_total, open, high, low, close, ha_open, ha_high, ha_low, ha_close);
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//--- Prepare AMA source price from HA candles
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ArrayResize(m_ama_price, rates_total);
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switch(price_type)
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// Resize internal HA buffers
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if(ArraySize(m_ha_open) != rates_total)
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{
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case PRICE_OPEN:
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ArrayCopy(m_ama_price, ha_open, 0, 0, rates_total);
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break;
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case PRICE_HIGH:
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ArrayCopy(m_ama_price, ha_high, 0, 0, rates_total);
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break;
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case PRICE_LOW:
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ArrayCopy(m_ama_price, ha_low, 0, 0, rates_total);
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break;
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case PRICE_MEDIAN:
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for(int i=0; i<rates_total; i++)
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m_ama_price[i] = (ha_high[i]+ha_low[i])/2.0;
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break;
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case PRICE_TYPICAL:
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for(int i=0; i<rates_total; i++)
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m_ama_price[i] = (ha_high[i]+ha_low[i]+ha_close[i])/3.0;
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break;
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case PRICE_WEIGHTED:
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for(int i=0; i<rates_total; i++)
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m_ama_price[i] = (ha_high[i]+ha_low[i]+2*ha_close[i])/4.0;
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break;
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default:
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ArrayCopy(m_ama_price, ha_close, 0, 0, rates_total);
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break;
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ArrayResize(m_ha_open, rates_total);
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ArrayResize(m_ha_high, rates_total);
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ArrayResize(m_ha_low, rates_total);
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ArrayResize(m_ha_close, rates_total);
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}
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//--- STRICT CALL: Use the optimized 10-param HA calculation
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m_ha_calculator.Calculate(rates_total, start_index, open, high, low, close,
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m_ha_open, m_ha_high, m_ha_low, m_ha_close);
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for(int i = start_index; i < rates_total; i++)
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{
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// AMA Price from HA
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switch(price_type)
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{
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case PRICE_OPEN:
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m_ama_price[i] = m_ha_open[i];
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break;
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case PRICE_HIGH:
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m_ama_price[i] = m_ha_high[i];
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break;
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case PRICE_LOW:
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m_ama_price[i] = m_ha_low[i];
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break;
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case PRICE_MEDIAN:
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m_ama_price[i] = (m_ha_high[i]+m_ha_low[i])/2.0;
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break;
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case PRICE_TYPICAL:
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m_ama_price[i] = (m_ha_high[i]+m_ha_low[i]+m_ha_close[i])/3.0;
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break;
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case PRICE_WEIGHTED:
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m_ama_price[i] = (m_ha_high[i]+m_ha_low[i]+2*m_ha_close[i])/4.0;
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break;
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default:
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m_ama_price[i] = m_ha_close[i];
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break;
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||||
}
|
||||
|
||||
// ATR Data from HA
|
||||
m_atr_high[i] = m_ha_high[i];
|
||||
m_atr_low[i] = m_ha_low[i];
|
||||
m_atr_close[i] = m_ha_close[i];
|
||||
}
|
||||
//--- Prepare ATR source candles from HA candles
|
||||
ArrayResize(m_atr_high, rates_total);
|
||||
ArrayResize(m_atr_low, rates_total);
|
||||
ArrayResize(m_atr_close, rates_total);
|
||||
ArrayCopy(m_atr_high, ha_high, 0, 0, rates_total);
|
||||
ArrayCopy(m_atr_low, ha_low, 0, 0, rates_total);
|
||||
ArrayCopy(m_atr_close, ha_close, 0, 0, rates_total);
|
||||
return true;
|
||||
}
|
||||
//+------------------------------------------------------------------+
|
||||
|
||||
Reference in New Issue
Block a user