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Include/MyIncludes/Roofing_Filter_Calculator.mqh

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+//+------------------------------------------------------------------+
+//|                                   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;
+  }
+//+------------------------------------------------------------------+
+//+------------------------------------------------------------------+