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refactor: Optimized for incremental calculation
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Toh4iem9
@@ -1,6 +1,6 @@
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//+------------------------------------------------------------------+
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//| ALMA_Calculator.mqh |
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//| Calculation engine for Standard and Heikin Ashi ALMA. |
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//| VERSION 3.10: 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: CALMACalculator (Base Class) |
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//| |
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//+==================================================================+
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class CALMACalculator
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{
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@@ -19,24 +17,25 @@ protected:
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double m_alma_offset;
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double m_alma_sigma;
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//--- Internal buffer for the selected source price
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//--- Persistent Buffer for Incremental Calculation
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double m_price[];
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//--- Virtual method for preparing the price series. Base class handles standard prices.
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virtual bool PreparePriceSeries(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[]);
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//--- Updated: Accepts start_index
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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[]);
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public:
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CALMACalculator(void) {};
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virtual ~CALMACalculator(void) {};
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//--- Public methods
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bool Init(int period, double offset, double sigma);
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int GetPeriod(void) const { return m_alma_period; }
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void Calculate(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[], double &alma_buffer[]);
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//--- Updated: Accepts prev_calculated
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void Calculate(int rates_total, int prev_calculated, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[], double &alma_buffer[]);
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};
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//+------------------------------------------------------------------+
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//| CALMACalculator: Initialization |
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//| Init |
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//+------------------------------------------------------------------+
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bool CALMACalculator::Init(int period, double offset, double sigma)
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{
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@@ -47,33 +46,60 @@ bool CALMACalculator::Init(int period, double offset, double sigma)
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}
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//+------------------------------------------------------------------+
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//| CALMACalculator: Main Calculation Method (Shared Logic) |
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//| Main Calculation (Optimized) |
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//+------------------------------------------------------------------+
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void CALMACalculator::Calculate(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[], double &alma_buffer[])
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void CALMACalculator::Calculate(int rates_total, int prev_calculated, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[], double &alma_buffer[])
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{
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if(rates_total < m_alma_period)
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return;
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//--- STEP 1: Prepare the source price array (delegated to virtual method)
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if(!PreparePriceSeries(rates_total, price_type, open, high, low, close))
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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 Buffer
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if(ArraySize(m_price) != rates_total)
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ArrayResize(m_price, rates_total);
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//--- 3. Prepare Price (Optimized)
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if(!PreparePriceSeries(rates_total, start_index, price_type, open, high, low, close))
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return;
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//--- STEP 2: Core ALMA calculation using the prepared m_price[] array
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//--- 4. Calculate ALMA (Incremental Loop)
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double m = m_alma_offset * (m_alma_period - 1.0);
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double s = (double)m_alma_period / m_alma_sigma;
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for(int i = m_alma_period - 1; i < rates_total; i++)
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// Pre-calculate weights (Optimization)
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// Since weights depend only on period/offset/sigma, we could cache them in Init.
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// But for simplicity and robustness, we calc inside loop or use a local array.
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// Let's use a local array for weights to avoid re-calculating exp() inside the inner loop.
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double weights[];
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ArrayResize(weights, m_alma_period);
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for(int j=0; j<m_alma_period; j++)
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weights[j] = MathExp(-1 * MathPow(j - m, 2) / (2 * s * s));
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int loop_start = MathMax(m_alma_period - 1, start_index);
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for(int i = loop_start; i < rates_total; i++)
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{
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double sum = 0.0;
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double norm = 0.0;
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for(int j = 0; j < m_alma_period; j++)
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{
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double weight = MathExp(-1 * MathPow(j - m, 2) / (2 * s * s));
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int price_index = i - (m_alma_period - 1) + j;
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// ALMA formula: sum(price[i - (N-1) + j] * weight[j])
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// j goes from 0 to N-1.
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// When j=0, index = i - (N-1) (oldest)
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// When j=N-1, index = i (newest)
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sum += m_price[price_index] * weight;
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norm += weight;
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int price_index = i - (m_alma_period - 1) + j;
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double w = weights[j];
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sum += m_price[price_index] * w;
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norm += w;
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}
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if(norm > 0)
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@@ -84,102 +110,107 @@ void CALMACalculator::Calculate(int rates_total, ENUM_APPLIED_PRICE price_type,
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}
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//+------------------------------------------------------------------+
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//| CALMACalculator: Prepares the standard source price series. |
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//| Prepare Price (Standard - Optimized) |
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//+------------------------------------------------------------------+
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bool CALMACalculator::PreparePriceSeries(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[])
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bool CALMACalculator::PreparePriceSeries(int rates_total, int start_index, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[])
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{
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ArrayResize(m_price, rates_total);
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switch(price_type)
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// Optimized copy loop
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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_price, open, 0, 0, rates_total);
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break;
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case PRICE_HIGH:
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ArrayCopy(m_price, high, 0, 0, rates_total);
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break;
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case PRICE_LOW:
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ArrayCopy(m_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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m_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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m_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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m_price[i] = (high[i] + low[i] + 2 * close[i]) / 4.0;
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break;
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default: // PRICE_CLOSE
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ArrayCopy(m_price, close, 0, 0, rates_total);
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break;
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switch(price_type)
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{
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case PRICE_CLOSE:
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m_price[i] = close[i];
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break;
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case PRICE_OPEN:
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m_price[i] = open[i];
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break;
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case PRICE_HIGH:
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m_price[i] = high[i];
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break;
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case PRICE_LOW:
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m_price[i] = low[i];
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break;
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case PRICE_MEDIAN:
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m_price[i] = (high[i]+low[i])/2.0;
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break;
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case PRICE_TYPICAL:
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m_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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m_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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m_price[i] = close[i];
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break;
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}
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}
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return true;
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}
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//+==================================================================+
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//| |
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//| CLASS 2: CALMACalculator_HA (Heikin Ashi) |
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//| |
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//+==================================================================+
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class CALMACalculator_HA : public CALMACalculator
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{
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private:
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CHeikinAshi_Calculator m_ha_calculator; // Instance of the HA calculator tool
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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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//--- Overridden method to prepare Heikin Ashi price series
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virtual bool PreparePriceSeries(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[]) override;
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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;
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};
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//+------------------------------------------------------------------+
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//| CALMACalculator_HA: Prepares the Heikin Ashi source price series.|
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//| Prepare Price (Heikin Ashi - Optimized) |
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//+------------------------------------------------------------------+
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bool CALMACalculator_HA::PreparePriceSeries(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[])
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bool CALMACalculator_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[])
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{
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//--- Intermediate buffers for 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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//--- Calculate the HA candles first
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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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//--- Now, populate the m_price array from the calculated HA candles
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ArrayResize(m_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_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_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_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_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_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_price[i] = (ha_high[i] + ha_low[i] + 2 * ha_close[i]) / 4.0;
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break;
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default: // PRICE_CLOSE
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ArrayCopy(m_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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//--- Copy to m_price (Optimized loop)
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for(int i = start_index; i < rates_total; i++)
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{
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switch(price_type)
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{
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case PRICE_CLOSE:
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m_price[i] = m_ha_close[i];
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break;
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case PRICE_OPEN:
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m_price[i] = m_ha_open[i];
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break;
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case PRICE_HIGH:
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m_price[i] = m_ha_high[i];
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break;
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case PRICE_LOW:
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m_price[i] = m_ha_low[i];
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break;
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case PRICE_MEDIAN:
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m_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_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_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_price[i] = m_ha_close[i];
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break;
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}
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}
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return true;
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}
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//+------------------------------------------------------------------+
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//+------------------------------------------------------------------+
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