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refactor: Optimized for incremental calculation

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Toh4iem9
2025-12-07 13:27:44 +01:00
parent 3964787fbd
commit 5afefc51d3
1 changed files with 124 additions and 93 deletions
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Include/MyIncludes/ALMA_Calculator.mqh
+91 -60
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@@ -1,6 +1,6 @@
//+------------------------------------------------------------------+
//| ALMA_Calculator.mqh |
//| Calculation engine for Standard and Heikin Ashi ALMA. |
//| VERSION 3.10: Optimized for incremental calculation. |
//| Copyright 2025, xxxxxxxx |
//+------------------------------------------------------------------+
#property copyright "Copyright 2025, xxxxxxxx"
@@ -8,9 +8,7 @@
#include <MyIncludes\HeikinAshi_Tools.mqh>
//+==================================================================+
//| |
//| CLASS 1: CALMACalculator (Base Class) |
//| |
//+==================================================================+
class CALMACalculator
{
@@ -19,24 +17,25 @@ protected:
double m_alma_offset;
double m_alma_sigma;
//--- Internal buffer for the selected source price
//--- Persistent Buffer for Incremental Calculation
double m_price[];
//--- Virtual method for preparing the price series. Base class handles standard prices.
virtual bool PreparePriceSeries(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[]);
//--- 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:
CALMACalculator(void) {};
virtual ~CALMACalculator(void) {};
//--- Public methods
bool Init(int period, double offset, double sigma);
int GetPeriod(void) const { return m_alma_period; }
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[]);
//--- Updated: Accepts prev_calculated
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[]);
};
//+------------------------------------------------------------------+
//| CALMACalculator: Initialization |
//| Init |
//+------------------------------------------------------------------+
bool CALMACalculator::Init(int period, double offset, double sigma)
{
@@ -47,33 +46,60 @@ bool CALMACalculator::Init(int period, double offset, double sigma)
}
//+------------------------------------------------------------------+
//| CALMACalculator: Main Calculation Method (Shared Logic) |
//| Main Calculation (Optimized) |
//+------------------------------------------------------------------+
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[])
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[])
{
if(rates_total < m_alma_period)
return;
//--- STEP 1: Prepare the source price array (delegated to virtual method)
if(!PreparePriceSeries(rates_total, price_type, open, high, low, close))
//--- 1. Determine Start Index
int start_index;
if(prev_calculated == 0)
start_index = 0;
else
start_index = prev_calculated - 1;
//--- 2. Resize Buffer
if(ArraySize(m_price) != rates_total)
ArrayResize(m_price, rates_total);
//--- 3. Prepare Price (Optimized)
if(!PreparePriceSeries(rates_total, start_index, price_type, open, high, low, close))
return;
//--- STEP 2: Core ALMA calculation using the prepared m_price[] array
//--- 4. Calculate ALMA (Incremental Loop)
double m = m_alma_offset * (m_alma_period - 1.0);
double s = (double)m_alma_period / m_alma_sigma;
for(int i = m_alma_period - 1; i < rates_total; i++)
// Pre-calculate weights (Optimization)
// Since weights depend only on period/offset/sigma, we could cache them in Init.
// But for simplicity and robustness, we calc inside loop or use a local array.
// Let's use a local array for weights to avoid re-calculating exp() inside the inner loop.
double weights[];
ArrayResize(weights, m_alma_period);
for(int j=0; j<m_alma_period; j++)
weights[j] = MathExp(-1 * MathPow(j - m, 2) / (2 * s * s));
int loop_start = MathMax(m_alma_period - 1, start_index);
for(int i = loop_start; i < rates_total; i++)
{
double sum = 0.0;
double norm = 0.0;
for(int j = 0; j < m_alma_period; j++)
{
double weight = MathExp(-1 * MathPow(j - m, 2) / (2 * s * s));
int price_index = i - (m_alma_period - 1) + j;
// ALMA formula: sum(price[i - (N-1) + j] * weight[j])
// j goes from 0 to N-1.
// When j=0, index = i - (N-1) (oldest)
// When j=N-1, index = i (newest)
sum += m_price[price_index] * weight;
norm += weight;
int price_index = i - (m_alma_period - 1) + j;
double w = weights[j];
sum += m_price[price_index] * w;
norm += w;
}
if(norm > 0)
@@ -84,102 +110,107 @@ void CALMACalculator::Calculate(int rates_total, ENUM_APPLIED_PRICE price_type,
}
//+------------------------------------------------------------------+
//| CALMACalculator: Prepares the standard source price series. |
//| Prepare Price (Standard - Optimized) |
//+------------------------------------------------------------------+
bool CALMACalculator::PreparePriceSeries(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[])
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[])
{
// Optimized copy loop
for(int i = start_index; i < rates_total; i++)
{
ArrayResize(m_price, rates_total);
switch(price_type)
{
case PRICE_CLOSE:
m_price[i] = close[i];
break;
case PRICE_OPEN:
ArrayCopy(m_price, open, 0, 0, rates_total);
m_price[i] = open[i];
break;
case PRICE_HIGH:
ArrayCopy(m_price, high, 0, 0, rates_total);
m_price[i] = high[i];
break;
case PRICE_LOW:
ArrayCopy(m_price, low, 0, 0, rates_total);
m_price[i] = low[i];
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]+2*close[i])/4.0;
break;
default: // PRICE_CLOSE
ArrayCopy(m_price, close, 0, 0, rates_total);
default:
m_price[i] = close[i];
break;
}
}
return true;
}
//+==================================================================+
//| |
//| CLASS 2: CALMACalculator_HA (Heikin Ashi) |
//| |
//+==================================================================+
class CALMACalculator_HA : public CALMACalculator
{
private:
CHeikinAshi_Calculator m_ha_calculator; // Instance of the HA calculator tool
CHeikinAshi_Calculator m_ha_calculator;
// Internal HA buffers
double m_ha_open[], m_ha_high[], m_ha_low[], m_ha_close[];
protected:
//--- Overridden method to prepare Heikin Ashi price series
virtual bool PreparePriceSeries(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[]) override;
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;
};
//+------------------------------------------------------------------+
//| CALMACalculator_HA: Prepares the Heikin Ashi source price series.|
//| Prepare Price (Heikin Ashi - Optimized) |
//+------------------------------------------------------------------+
bool CALMACalculator_HA::PreparePriceSeries(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[])
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[])
{
//--- Intermediate buffers for HA candles
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);
// Resize internal HA buffers
if(ArraySize(m_ha_open) != rates_total)
{
ArrayResize(m_ha_open, rates_total);
ArrayResize(m_ha_high, rates_total);
ArrayResize(m_ha_low, rates_total);
ArrayResize(m_ha_close, rates_total);
}
//--- Calculate the HA candles first
m_ha_calculator.Calculate(rates_total, open, high, low, close, ha_open, ha_high, ha_low, ha_close);
//--- STRICT CALL: Use the optimized 10-param HA calculation
m_ha_calculator.Calculate(rates_total, start_index, open, high, low, close,
m_ha_open, m_ha_high, m_ha_low, m_ha_close);
//--- Now, populate the m_price array from the calculated HA candles
ArrayResize(m_price, rates_total);
//--- Copy to m_price (Optimized loop)
for(int i = start_index; i < rates_total; i++)
{
switch(price_type)
{
case PRICE_CLOSE:
m_price[i] = m_ha_close[i];
break;
case PRICE_OPEN:
ArrayCopy(m_price, ha_open, 0, 0, rates_total);
m_price[i] = m_ha_open[i];
break;
case PRICE_HIGH:
ArrayCopy(m_price, ha_high, 0, 0, rates_total);
m_price[i] = m_ha_high[i];
break;
case PRICE_LOW:
ArrayCopy(m_price, ha_low, 0, 0, rates_total);
m_price[i] = m_ha_low[i];
break;
case PRICE_MEDIAN:
for(int i = 0; i < rates_total; i++)
m_price[i] = (ha_high[i] + ha_low[i]) / 2.0;
m_price[i] = (m_ha_high[i]+m_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;
m_price[i] = (m_ha_high[i]+m_ha_low[i]+m_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] + 2 * ha_close[i]) / 4.0;
m_price[i] = (m_ha_high[i]+m_ha_low[i]+2*m_ha_close[i])/4.0;
break;
default: // PRICE_CLOSE
ArrayCopy(m_price, ha_close, 0, 0, rates_total);
default:
m_price[i] = m_ha_close[i];
break;
}
}
return true;
}
//+------------------------------------------------------------------+
//+------------------------------------------------------------------+