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refactor: Optimized for incremental calculation

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Toh4iem9
2025-12-21 00:27:26 +01:00
parent c08f0a0ef6
commit 57e3282f93
1 changed files with 154 additions and 193 deletions
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Include/MyIncludes/Stochastic_Adaptive_Calculator.mqh
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@@ -1,98 +1,120 @@
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
//| Stochastic_Adaptive_Calculator.mqh | //| Stochastic_Adaptive_Calculator.mqh |
//| Engine for Frank Key's Variable-Length Stochastic. | //| VERSION 2.00: Optimized for incremental calculation. |
//| Copyright 2025, xxxxxxxx | //| Copyright 2025, xxxxxxxx |
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
#property copyright "Copyright 2025, xxxxxxxx" #property copyright "Copyright 2025, xxxxxxxx"
#include <MyIncludes\MovingAverage_Engine.mqh> // For ENUM_MA_TYPE #include <MyIncludes\MovingAverage_Engine.mqh>
#include <MyIncludes\HeikinAshi_Tools.mqh> #include <MyIncludes\HeikinAshi_Tools.mqh>
//+==================================================================+
//| CLASS 1: CStochasticAdaptiveCalculator |
//+==================================================================+ //+==================================================================+
class CStochasticAdaptiveCalculator class CStochasticAdaptiveCalculator
{ {
protected: protected:
int m_er_period, m_min_period, m_max_period, m_slowing_period, m_d_period; int m_er_period, m_min_period, m_max_period;
ENUM_MA_TYPE m_d_ma_type;
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[]); //--- Engines for Smoothing
void CalculateMA(const double &source_array[], double &dest_array[], int period, ENUM_MA_TYPE method, int start_pos); CMovingAverageCalculator m_slowing_engine;
CMovingAverageCalculator m_signal_engine;
//--- Persistent Buffers
double m_price[];
double m_er_buffer[];
double m_nsp_buffer[];
double m_raw_k[];
//--- 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[]);
public: public:
CStochasticAdaptiveCalculator(void) {}; CStochasticAdaptiveCalculator(void) {};
virtual ~CStochasticAdaptiveCalculator(void) {}; virtual ~CStochasticAdaptiveCalculator(void) {};
bool Init(int er_p, int min_p, int max_p, int slow_p, int d_p, ENUM_MA_TYPE d_ma); //--- Init now takes ENUM_MA_TYPE
void Calculate(int rates_total, const double &open[], const double &high[], const double &low[], const double &close[], ENUM_APPLIED_PRICE price_type, bool Init(int er_p, int min_p, int max_p, int slow_p, ENUM_MA_TYPE slow_ma, int d_p, ENUM_MA_TYPE d_ma);
//--- Updated: Accepts prev_calculated
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 &k_buffer[], double &d_buffer[]); double &k_buffer[], double &d_buffer[]);
}; };
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
//| | //| Init |
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
class CStochasticAdaptiveCalculator_HA : public CStochasticAdaptiveCalculator bool CStochasticAdaptiveCalculator::Init(int er_p, int min_p, int max_p, int slow_p, ENUM_MA_TYPE slow_ma, int d_p, ENUM_MA_TYPE d_ma)
{ {
private: m_er_period = (er_p < 1) ? 1 : er_p;
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;
};
//+==================================================================+
//| METHOD IMPLEMENTATIONS |
//+==================================================================+
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
bool CStochasticAdaptiveCalculator::Init(int er_p, int min_p, int max_p, int slow_p, int d_p, ENUM_MA_TYPE d_ma)
{
m_er_period = (er_p < 1) ? 1 : er_p;
m_min_period = (min_p < 1) ? 1 : min_p; m_min_period = (min_p < 1) ? 1 : min_p;
m_max_period = (max_p <= m_min_period) ? m_min_period + 1 : max_p; m_max_period = (max_p <= m_min_period) ? m_min_period + 1 : max_p;
m_slowing_period = (slow_p < 1) ? 1 : slow_p;
m_d_period = (d_p < 1) ? 1 : d_p; // Initialize Engines
m_d_ma_type = d_ma; if(!m_slowing_engine.Init(slow_p, slow_ma))
return false;
if(!m_signal_engine.Init(d_p, d_ma))
return false;
return true; return true;
} }
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
//| | //| Main Calculation (Optimized) |
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
void CStochasticAdaptiveCalculator::Calculate(int rates_total, const double &open[], const double &high[], const double &low[], const double &close[], ENUM_APPLIED_PRICE price_type, void CStochasticAdaptiveCalculator::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 &k_buffer[], double &d_buffer[]) double &k_buffer[], double &d_buffer[])
{ {
// Minimum bars check
if(rates_total <= m_er_period + m_max_period) if(rates_total <= m_er_period + m_max_period)
return; return;
if(!PreparePriceSeries(rates_total, price_type, open, high, low, close))
int start_index = (prev_calculated == 0) ? 0 : prev_calculated - 1;
// Resize Buffers
if(ArraySize(m_price) != rates_total)
{
ArrayResize(m_price, rates_total);
ArrayResize(m_er_buffer, rates_total);
ArrayResize(m_nsp_buffer, rates_total);
ArrayResize(m_raw_k, rates_total);
}
if(!PreparePriceSeries(rates_total, start_index, price_type, open, high, low, close))
return; return;
double er_buffer[], nsp_buffer[], raw_k[]; //--- 1. Calculate Efficiency Ratio (ER)
ArrayResize(er_buffer, rates_total); int loop_start_er = MathMax(m_er_period, start_index);
ArrayResize(nsp_buffer, rates_total);
ArrayResize(raw_k, rates_total);
for(int i = m_er_period; i < rates_total; i++) for(int i = loop_start_er; i < rates_total; i++)
{ {
double direction = MathAbs(m_price[i] - m_price[i - m_er_period]); double direction = MathAbs(m_price[i] - m_price[i - m_er_period]);
double volatility = 0; double volatility = 0;
for(int j = 0; j < m_er_period; j++) for(int j = 0; j < m_er_period; j++)
volatility += MathAbs(m_price[i - j] - m_price[i - j - 1]); volatility += MathAbs(m_price[i - j] - m_price[i - j - 1]);
er_buffer[i] = (volatility > 0.000001) ? direction / volatility : 0;
m_er_buffer[i] = (volatility > 0.000001) ? direction / volatility : 0;
} }
for(int i = m_er_period; i < rates_total; i++) //--- 2. Calculate Adaptive Period (NSP)
for(int i = loop_start_er; i < rates_total; i++)
{ {
nsp_buffer[i] = (int)(er_buffer[i] * (m_max_period - m_min_period) + m_min_period); m_nsp_buffer[i] = (int)(m_er_buffer[i] * (m_max_period - m_min_period) + m_min_period);
if(nsp_buffer[i] < 1) if(m_nsp_buffer[i] < 1)
nsp_buffer[i] = 1; m_nsp_buffer[i] = 1;
} }
for(int i = m_er_period + m_max_period - 1; i < rates_total; i++) //--- 3. Calculate Raw %K (Adaptive)
int raw_k_start = m_er_period + m_max_period - 1;
int loop_start_k = MathMax(raw_k_start, start_index);
for(int i = loop_start_k; i < rates_total; i++)
{ {
int current_nsp = (int)nsp_buffer[i]; int current_nsp = (int)m_nsp_buffer[i];
double highest = m_price[i], lowest = m_price[i]; double highest = m_price[i];
double lowest = m_price[i];
// Lookback based on dynamic period
for(int j = 1; j < current_nsp; j++) for(int j = 1; j < current_nsp; j++)
{ {
if(i-j < 0) if(i-j < 0)
@@ -100,178 +122,117 @@ void CStochasticAdaptiveCalculator::Calculate(int rates_total, const double &ope
highest = MathMax(highest, m_price[i-j]); highest = MathMax(highest, m_price[i-j]);
lowest = MathMin(lowest, m_price[i-j]); lowest = MathMin(lowest, m_price[i-j]);
} }
double range = highest - lowest; double range = highest - lowest;
if(range > 0.000001) if(range > 0.000001)
raw_k[i] = (m_price[i] - lowest) / range * 100.0; m_raw_k[i] = (m_price[i] - lowest) / range * 100.0;
else else
raw_k[i] = (i > 0) ? raw_k[i-1] : 50.0; m_raw_k[i] = (i > 0) ? m_raw_k[i-1] : 50.0;
} }
int k_slow_start = m_er_period + m_max_period + m_slowing_period - 2; //--- 4. Calculate Slow %K (Main Line) using Slowing Engine
CalculateMA(raw_k, k_buffer, m_slowing_period, SMA, k_slow_start); // Offset: raw_k_start
int d_start = k_slow_start + m_d_period - 1; m_slowing_engine.CalculateOnArray(rates_total, prev_calculated, m_raw_k, k_buffer, raw_k_start);
CalculateMA(k_buffer, d_buffer, m_d_period, m_d_ma_type, d_start);
//--- 5. Calculate %D (Signal Line) using Signal Engine
// Offset: raw_k_start + slowing_period - 1
int d_offset = raw_k_start + m_slowing_engine.GetPeriod() - 1;
m_signal_engine.CalculateOnArray(rates_total, prev_calculated, k_buffer, d_buffer, d_offset);
} }
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
//| | //| Prepare Price (Standard - Optimized) |
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
void CStochasticAdaptiveCalculator::CalculateMA(const double &source_array[], double &dest_array[], int period, ENUM_MA_TYPE method, int start_pos) bool CStochasticAdaptiveCalculator::PreparePriceSeries(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_pos; i < ArraySize(source_array); i++) for(int i = start_index; i < rates_total; i++)
{ {
switch(method) switch(price_type)
{ {
case EMA: case PRICE_CLOSE:
case SMMA: m_price[i] = close[i];
if(i == start_pos) break;
{ case PRICE_OPEN:
double sum=0; m_price[i] = open[i];
int count=0; break;
for(int j=0; j<period; j++) case PRICE_HIGH:
{ m_price[i] = high[i];
if(source_array[i-j] != EMPTY_VALUE) break;
{ case PRICE_LOW:
sum+=source_array[i-j]; m_price[i] = low[i];
count++; break;
} case PRICE_MEDIAN:
} m_price[i] = (high[i]+low[i])/2.0;
if(count > 0) break;
dest_array[i]=sum/count; case PRICE_TYPICAL:
} m_price[i] = (high[i]+low[i]+close[i])/3.0;
else break;
{ case PRICE_WEIGHTED:
if(method==EMA) m_price[i] = (high[i]+low[i]+2*close[i])/4.0;
{ break;
double pr=2.0/(period+1.0); default:
dest_array[i]=source_array[i]*pr+dest_array[i-1]*(1.0-pr); m_price[i] = close[i];
}
else
dest_array[i]=(dest_array[i-1]*(period-1)+source_array[i])/period;
}
break; break;
case LWMA:
{
double sum=0, w_sum=0;
for(int j=0; j<period; j++)
{
if(source_array[i-j] == EMPTY_VALUE)
continue;
int w=period-j;
sum+=source_array[i-j]*w;
w_sum+=w;
}
if(w_sum>0)
dest_array[i]=sum/w_sum;
}
break;
default: // SMA
{
double sum=0;
int count=0;
for(int j=0; j<period; j++)
{
if(source_array[i-j] != EMPTY_VALUE)
{
sum+=source_array[i-j];
count++;
}
}
if(count > 0)
dest_array[i]=sum/count;
}
break;
} }
} }
return true;
} }
//+==================================================================+
//| CLASS 2: CStochasticAdaptiveCalculator_HA |
//+==================================================================+
class CStochasticAdaptiveCalculator_HA : public CStochasticAdaptiveCalculator
{
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;
};
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
//| | //| |
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
bool CStochasticAdaptiveCalculator::PreparePriceSeries(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[]) bool CStochasticAdaptiveCalculator_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[])
{ {
if(ArraySize(m_price) != rates_total) if(ArraySize(m_ha_open) != rates_total)
if(ArrayResize(m_price, rates_total) != rates_total)
return false;
switch(price_type)
{ {
case PRICE_CLOSE: ArrayResize(m_ha_open, rates_total);
ArrayCopy(m_price, close, 0, 0, rates_total); ArrayResize(m_ha_high, rates_total);
break; ArrayResize(m_ha_low, rates_total);
case PRICE_OPEN: ArrayResize(m_ha_close, rates_total);
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; m_ha_calculator.Calculate(rates_total, start_index, open, high, low, close, m_ha_open, m_ha_high, m_ha_low, m_ha_close);
} for(int i = start_index; i < rates_total; i++)
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
bool CStochasticAdaptiveCalculator_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);
if(ArraySize(m_price) != rates_total)
if(ArrayResize(m_price, rates_total) != rates_total)
return false;
switch(price_type)
{ {
case PRICE_CLOSE: switch(price_type)
ArrayCopy(m_price, ha_close, 0, 0, rates_total); {
break; case PRICE_CLOSE:
case PRICE_OPEN: m_price[i] = m_ha_close[i];
ArrayCopy(m_price, ha_open, 0, 0, rates_total); break;
break; case PRICE_OPEN:
case PRICE_HIGH: m_price[i] = m_ha_open[i];
ArrayCopy(m_price, ha_high, 0, 0, rates_total); break;
break; case PRICE_HIGH:
case PRICE_LOW: m_price[i] = m_ha_high[i];
ArrayCopy(m_price, ha_low, 0, 0, rates_total); break;
break; case PRICE_LOW:
case PRICE_MEDIAN: m_price[i] = m_ha_low[i];
for(int i=0; i<rates_total; i++) break;
m_price[i] = (ha_high[i]+ha_low[i])/2.0; case PRICE_MEDIAN:
break; m_price[i] = (m_ha_high[i]+m_ha_low[i])/2.0;
case PRICE_TYPICAL: break;
for(int i=0; i<rates_total; i++) case PRICE_TYPICAL:
m_price[i] = (ha_high[i]+ha_low[i]+ha_close[i])/3.0; m_price[i] = (m_ha_high[i]+m_ha_low[i]+m_ha_close[i])/3.0;
break; break;
case PRICE_WEIGHTED: case PRICE_WEIGHTED:
for(int i=0; i<rates_total; i++) m_price[i] = (m_ha_high[i]+m_ha_low[i]+2*m_ha_close[i])/4.0;
m_price[i] = (ha_high[i]+ha_low[i]+ha_close[i]+ha_close[i])/4.0; break;
break; default:
default: m_price[i] = m_ha_close[i];
return false; break;
}
} }
return true; return true;
} }
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
//+------------------------------------------------------------------+