gavindiaz/mql5
1
0
Fork 0
mirror of https://github.com/softwaredevelop/mql5.git synced 2026-07-27 20:47:44 +00:00
Code Issues Packages Projects Releases Wiki Activity

new files added

Browse Source
This commit is contained in:
Toh4iem9
2025-10-25 18:08:41 +02:00
parent 5d94465aa3
commit 5766a79895
1 changed files with 185 additions and 0 deletions
Download Patch File Download Diff File Expand all files Collapse all files
Include/MyIncludes/Roofing_Filter_Calculator.mqh
+185
View File
@@ -0,0 +1,185 @@
//+------------------------------------------------------------------+
//| Roofing_Filter_Calculator.mqh |
//| Calculation engine for the John Ehlers' Roofing Filter. |
//| Copyright 2025, xxxxxxxx |
//+------------------------------------------------------------------+
#property copyright "Copyright 2025, xxxxxxxx"
#include <MyIncludes\HeikinAshi_Tools.mqh>
//+==================================================================+
//| |
//| CLASS 1: CRoofingFilterCalculator (Base Class) |
//| |
//+==================================================================+
class CRoofingFilterCalculator
{
protected:
int m_hp_period; // High-Pass Period
int m_ss_period; // SuperSmoother Period
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[]);
public:
CRoofingFilterCalculator(void) {};
virtual ~CRoofingFilterCalculator(void) {};
bool Init(int hp_period, int ss_period);
void Calculate(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[], double &roofing_buffer[]);
};
//+------------------------------------------------------------------+
bool CRoofingFilterCalculator::Init(int hp_period, int ss_period)
{
m_hp_period = (hp_period < 10) ? 10 : hp_period;
m_ss_period = (ss_period < 2) ? 2 : ss_period;
return true;
}
//+------------------------------------------------------------------+
void CRoofingFilterCalculator::Calculate(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[], double &roofing_buffer[])
{
if(rates_total < 10)
return;
if(!PreparePriceSeries(rates_total, price_type, open, high, low, close))
return;
// --- Intermediate buffer for the High-Pass filter output ---
double hp_buffer[];
ArrayResize(hp_buffer, rates_total);
// --- High-Pass Filter Coefficients ---
double arg_hp = 0.707 * 2 * M_PI / m_hp_period;
double alpha1_hp = (cos(arg_hp) + sin(arg_hp) - 1.0) / cos(arg_hp);
// --- SuperSmoother Filter Coefficients ---
double arg_ss = 1.414 * M_PI / m_ss_period;
double a1_ss = exp(-arg_ss);
double b1_ss = 2.0 * a1_ss * cos(arg_ss);
double c2_ss = b1_ss;
double c3_ss = -a1_ss * a1_ss;
double c1_ss = 1.0 - c2_ss - c3_ss;
// --- State variables for recursive calculations ---
double hp1=0, hp2=0; // High-Pass previous values
double filt1=0, filt2=0; // SuperSmoother (Filt) previous values
// --- Full recalculation loop ---
for(int i = 0; i < rates_total; i++)
{
// Initialization period
if(i < 3)
{
hp_buffer[i] = 0;
roofing_buffer[i] = 0;
continue;
}
// --- Step 1: Calculate High-Pass filter value ---
double term1_hp = pow(1.0 - alpha1_hp / 2.0, 2) * (m_price[i] - 2.0 * m_price[i-1] + m_price[i-2]);
double term2_hp = 2.0 * (1.0 - alpha1_hp) * hp1;
double term3_hp = pow(1.0 - alpha1_hp, 2) * hp2;
double current_hp = term1_hp + term2_hp - term3_hp;
hp_buffer[i] = current_hp;
// --- Step 2: Calculate SuperSmoother on the High-Pass output ---
double current_filt = c1_ss * (hp_buffer[i] + hp_buffer[i-1]) / 2.0 + c2_ss * filt1 + c3_ss * filt2;
roofing_buffer[i] = current_filt;
// --- Update state variables for next iteration ---
hp2 = hp1;
hp1 = current_hp;
filt2 = filt1;
filt1 = current_filt;
}
}
//+------------------------------------------------------------------+
bool CRoofingFilterCalculator::PreparePriceSeries(int rates_total, 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)
{
case PRICE_CLOSE:
ArrayCopy(m_price, close, 0, 0, rates_total);
break;
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++)
m_price[i] = (high[i]+low[i])/2.0;
break;
case PRICE_TYPICAL:
for(int i=0; i<rates_total; i++)
m_price[i] = (high[i]+low[i]+close[i])/3.0;
break;
case PRICE_WEIGHTED:
for(int i=0; i<rates_total; i++)
m_price[i] = (high[i]+low[i]+close[i]+close[i])/4.0;
break;
default:
return false;
}
return true;
}
//+==================================================================+
class CRoofingFilterCalculator_HA : public CRoofingFilterCalculator
{
private:
CHeikinAshi_Calculator m_ha_calculator;
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;
};
//+------------------------------------------------------------------+
bool CRoofingFilterCalculator_HA::PreparePriceSeries(int rates_total, 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)
{
case PRICE_CLOSE:
ArrayCopy(m_price, ha_close, 0, 0, rates_total);
break;
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]+ha_close[i]+ha_close[i])/4.0;
break;
default:
return false;
}
return true;
}
//+------------------------------------------------------------------+
//+------------------------------------------------------------------+