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refactor: Upgraded with dynamic volume-weighted (VWMA) smoothing support

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Toh4iem9
2026-07-01 19:53:24 +02:00
parent 7808ba01a5
commit 5acc30770b
1 changed files with 34 additions and 9 deletions
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Include/MyIncludes/Stochastic_Adaptive_on_DMI_Calculator.mqh
+34 -9
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@@ -3,7 +3,7 @@
//| Copyright 2026, xxxxxxxx|
//+------------------------------------------------------------------+
#property copyright "Copyright 2026, xxxxxxxx"
#property version "2.20" // Upgraded with strict internal chronological sorting safeguards
#property version "2.30" // Upgraded with dynamic volume-weighted (VWMA) smoothing support
#ifndef STOCHASTIC_ADAPTIVE_ON_DMI_CALCULATOR_MQH
#define STOCHASTIC_ADAPTIVE_ON_DMI_CALCULATOR_MQH
@@ -41,6 +41,7 @@ protected:
// Persistent Buffers for internal states
double m_pDI[], m_nDI[];
double m_volume[]; // Persistent volume buffer to support VWMA
double m_dmi_osc[]; // DMI Oscillator Data
double m_er_buffer[]; // Efficiency Ratio of DMI
double m_nsp_buffer[]; // Dynamic Stochastic Period (Lookback)
@@ -55,11 +56,18 @@ public:
bool Init(double gamma, int dmi_p, ENUM_DMI_OSC_TYPE osc_type, 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);
// CRITICAL: Calculates state incrementally based on prev_calculated
//--- Standard Calculate (Without volume data) - Redirects to overloaded with dummy volume fallback
void Calculate(int rates_total, int prev_calculated,
const double &open[], const double &high[],
const double &low[], const double &close[],
double &out_k[], double &out_d[]);
//--- Overloaded Calculate with Volume (Specifically for VWMA support)
void Calculate(int rates_total, int prev_calculated,
const double &open[], const double &high[],
const double &low[], const double &close[],
const long &volume[],
double &out_k[], double &out_d[]);
};
//+------------------------------------------------------------------+
@@ -108,12 +116,27 @@ bool CStochAdaptiveOnDMICalculator::Init(double gamma, int dmi_p, ENUM_DMI_OSC_T
}
//+------------------------------------------------------------------+
//| Main Calculation (O(1) Engine) |
//| Standard Calculate (OHLC) - Dummy Volume Fallback Pattern |
//+------------------------------------------------------------------+
void CStochAdaptiveOnDMICalculator::Calculate(int rates_total, int prev_calculated,
const double &open[], const double &high[],
const double &low[], const double &close[],
double &out_k[], double &out_d[])
{
long dummy_vol[];
ArrayResize(dummy_vol, rates_total);
ArrayInitialize(dummy_vol, 1);
Calculate(rates_total, prev_calculated, open, high, low, close, dummy_vol, out_k, out_d);
}
//+------------------------------------------------------------------+
//| Overloaded Calculate (OHLC) with Volume |
//+------------------------------------------------------------------+
void CStochAdaptiveOnDMICalculator::Calculate(int rates_total, int prev_calculated,
const double &open[], const double &high[],
const double &low[], const double &close[],
const long &volume[],
double &out_k[], double &out_d[])
{
if(rates_total < m_dmi_p + m_er_p + m_max_stoch_p)
return;
@@ -129,6 +152,7 @@ void CStochAdaptiveOnDMICalculator::Calculate(int rates_total, int prev_calculat
{
ArrayResize(m_pDI, rates_total);
ArrayResize(m_nDI, rates_total);
ArrayResize(m_volume, rates_total);
ArrayResize(m_dmi_osc, rates_total);
ArrayResize(m_er_buffer, rates_total);
ArrayResize(m_nsp_buffer, rates_total);
@@ -136,6 +160,7 @@ void CStochAdaptiveOnDMICalculator::Calculate(int rates_total, int prev_calculat
ArraySetAsSeries(m_pDI, false);
ArraySetAsSeries(m_nDI, false);
ArraySetAsSeries(m_volume, false);
ArraySetAsSeries(m_dmi_osc, false);
ArraySetAsSeries(m_er_buffer, false);
ArraySetAsSeries(m_nsp_buffer, false);
@@ -149,6 +174,8 @@ void CStochAdaptiveOnDMICalculator::Calculate(int rates_total, int prev_calculat
int loop_start_dmi = MathMax(m_dmi_p, start_index);
for(int i = loop_start_dmi; i < rates_total; i++)
{
m_volume[i] = (double)volume[i]; // Copy and cast volume locally
if(m_osc_type == OSC_PDI_MINUS_NDI)
m_dmi_osc[i] = m_pDI[i] - m_nDI[i];
else
@@ -167,11 +194,10 @@ void CStochAdaptiveOnDMICalculator::Calculate(int rates_total, int prev_calculat
m_er_buffer[i] = (volatility > 1.0e-9) ? direction / volatility : 0.0;
}
// 5. Adaptive Period (NSP) Calculation (THE WINNING LOGIC)
// 5. Adaptive Period (NSP) Calculation
// Inverse logic: High ER (Trend) = Short Period; Low ER (Chop) = Long Period
for(int i = loop_start_er; i < rates_total; i++)
{
// Using MathRound for accuracy instead of rough casting
m_nsp_buffer[i] = MathRound(m_min_stoch_p + (1.0 - m_er_buffer[i]) * (m_max_stoch_p - m_min_stoch_p));
// Safety Limit: Stochastic mathematically breaks if period < 2 (Div by Zero)
@@ -206,11 +232,11 @@ void CStochAdaptiveOnDMICalculator::Calculate(int rates_total, int prev_calculat
m_raw_k[i] = (i > 0) ? m_raw_k[i-1] : 50.0; // Flatline prevention fallback
}
// 7. Final Smoothing (Engine handles O(1) internally)
m_slowing_engine.CalculateOnArray(rates_total, prev_calculated, m_raw_k, out_k, stoch_start);
// 7. Final Smoothing (Engine handles volume-weighted (VWMA) O(1) natively if volume buffer is passed)
m_slowing_engine.CalculateOnArray(rates_total, prev_calculated, m_raw_k, m_volume, out_k, stoch_start);
int d_offset = stoch_start + m_slowing_engine.GetPeriod() - 1;
m_signal_engine.CalculateOnArray(rates_total, prev_calculated, out_k, out_d, d_offset);
m_signal_engine.CalculateOnArray(rates_total, prev_calculated, out_k, m_volume, out_d, d_offset);
}
//+==================================================================+
@@ -221,7 +247,6 @@ class CStochAdaptiveOnDMICalculator_HA : public CStochAdaptiveOnDMICalculator
protected:
virtual void CreateDMIEngine() override
{
// Injects the HA version of the DMI engine (Polymorphism)
m_dmi_engine = new CDMIEngine_HA();
}
};