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refactor: Optimized for incremental calculation

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Toh4iem9
2025-12-21 14:32:27 +01:00
parent 39e420ce3c
commit 5d9f92c6ae
1 changed files with 123 additions and 93 deletions
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Include/MyIncludes/Gaussian_Filter_Calculator.mqh
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@@ -1,50 +1,53 @@
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
//| Gaussian_Filter_Calculator.mqh | //| Gaussian_Filter_Calculator.mqh |
//| Calculation engine for the John Ehlers' Gaussian Filter. | //| Calculation engine for the John Ehlers' Gaussian Filter. |
//| VERSION 2.10: Corrected state management & centralized enums| //| VERSION 3.00: Optimized for incremental calculation. |
//| Copyright 2025, xxxxxxxx | //| Copyright 2025, xxxxxxxx |
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
#property copyright "Copyright 2025, xxxxxxxx" #property copyright "Copyright 2025, xxxxxxxx"
#include <MyIncludes\HeikinAshi_Tools.mqh> #include <MyIncludes\HeikinAshi_Tools.mqh>
//--- Enums are now centralized here to be available for all consumers ---
enum ENUM_CANDLE_SOURCE { SOURCE_STD, SOURCE_HA };
enum ENUM_INPUT_SOURCE { SOURCE_PRICE, SOURCE_MOMENTUM }; enum ENUM_INPUT_SOURCE { SOURCE_PRICE, SOURCE_MOMENTUM };
//+==================================================================+
//| CLASS 1: CGaussianFilterCalculator |
//+==================================================================+ //+==================================================================+
class CGaussianFilterCalculator class CGaussianFilterCalculator
{ {
protected: protected:
int m_period; int m_period;
ENUM_INPUT_SOURCE m_source_type; ENUM_INPUT_SOURCE m_source_type;
//--- Persistent Buffer for Price
double m_price[]; double m_price[];
//--- Filter coefficients //--- Filter coefficients
double c0, a1, a2; double c0, a1, a2;
//--- State variables for the recursive filter (CRITICAL FIX) //--- Updated: Accepts start_index
double m_f1, m_f2; 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[]);
virtual bool PreparePriceSeries(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[]);
public: public:
CGaussianFilterCalculator(void) : m_f1(0), m_f2(0) {}; // Initialize state CGaussianFilterCalculator(void) {};
virtual ~CGaussianFilterCalculator(void) {}; virtual ~CGaussianFilterCalculator(void) {};
bool Init(int period, ENUM_INPUT_SOURCE source_type); bool Init(int period, ENUM_INPUT_SOURCE source_type);
void Calculate(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[], double &filter_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 &filter_buffer[]);
}; };
//+------------------------------------------------------------------+
//| Init |
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
bool CGaussianFilterCalculator::Init(int period, ENUM_INPUT_SOURCE source_type) bool CGaussianFilterCalculator::Init(int period, ENUM_INPUT_SOURCE source_type)
{ {
m_period = (period < 2) ? 2 : period; m_period = (period < 2) ? 2 : period;
m_source_type = source_type; m_source_type = source_type;
m_f1 = 0;
m_f2 = 0; // Reset state on init
double beta = 2.451 * (1.0 - cos(2.0 * M_PI / m_period)); // Calculate coefficients (Ehlers' formula)
double beta = 2.415 * (1.0 - cos(2.0 * M_PI / m_period));
double alpha = -beta + sqrt(beta * beta + 2.0 * beta); double alpha = -beta + sqrt(beta * beta + 2.0 * beta);
c0 = alpha * alpha; c0 = alpha * alpha;
@@ -55,126 +58,153 @@ bool CGaussianFilterCalculator::Init(int period, ENUM_INPUT_SOURCE source_type)
} }
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
void CGaussianFilterCalculator::Calculate(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[], double &filter_buffer[]) //| Main Calculation (Optimized) |
//+------------------------------------------------------------------+
void CGaussianFilterCalculator::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 &filter_buffer[])
{ {
if(rates_total < 3) if(rates_total < 3)
return; return;
if(!PreparePriceSeries(rates_total, price_type, open, high, low, close))
int start_index;
if(prev_calculated == 0)
start_index = 0;
else
start_index = prev_calculated - 1;
// Resize internal buffer
if(ArraySize(m_price) != rates_total)
ArrayResize(m_price, rates_total);
if(!PreparePriceSeries(rates_total, start_index, price_type, open, high, low, close))
return; return;
//--- On the very first calculation, initialize the first few values robustly //--- Incremental Loop
if(ArraySize(filter_buffer) == 0 || filter_buffer[0] == 0) // We start at index 2 because we need i-1 and i-2
int loop_start = MathMax(2, start_index);
// Initialization for the very first bars
if(loop_start == 2)
{ {
filter_buffer[0] = m_price[0]; filter_buffer[0] = m_price[0];
filter_buffer[1] = m_price[1]; filter_buffer[1] = m_price[1];
m_f1 = filter_buffer[1];
m_f2 = filter_buffer[0];
} }
for(int i = 2; i < rates_total; i++) for(int i = loop_start; i < rates_total; i++)
{ {
double current_f = c0 * m_price[i] + a1 * m_f1 + a2 * m_f2; // Recursive calculation: f[i] = c0*price[i] + a1*f[i-1] + a2*f[i-2]
filter_buffer[i] = current_f; // We use filter_buffer directly for f[i-1] and f[i-2] because it persists between ticks.
m_f2 = m_f1; filter_buffer[i] = c0 * m_price[i] + a1 * filter_buffer[i-1] + a2 * filter_buffer[i-2];
m_f1 = current_f;
} }
} }
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
bool CGaussianFilterCalculator::PreparePriceSeries(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[]) //| Prepare Price (Standard - Optimized) |
//+------------------------------------------------------------------+
bool CGaussianFilterCalculator::PreparePriceSeries(int rates_total, int start_index, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[])
{ {
ArrayResize(m_price, rates_total); for(int i = start_index; i < rates_total; i++)
if(m_source_type == SOURCE_PRICE)
{ {
switch(price_type) if(m_source_type == SOURCE_PRICE)
{ {
case PRICE_OPEN: switch(price_type)
ArrayCopy(m_price, open, 0, 0, rates_total); {
break; case PRICE_CLOSE:
case PRICE_HIGH: m_price[i] = close[i];
ArrayCopy(m_price, high, 0, 0, rates_total); break;
break; case PRICE_OPEN:
case PRICE_LOW: m_price[i] = open[i];
ArrayCopy(m_price, low, 0, 0, rates_total); break;
break; case PRICE_HIGH:
case PRICE_MEDIAN: m_price[i] = high[i];
for(int i=0; i<rates_total; i++) break;
case PRICE_LOW:
m_price[i] = low[i];
break;
case PRICE_MEDIAN:
m_price[i] = (high[i]+low[i])/2.0; m_price[i] = (high[i]+low[i])/2.0;
break; break;
case PRICE_TYPICAL: case PRICE_TYPICAL:
for(int i=0; i<rates_total; i++)
m_price[i] = (high[i]+low[i]+close[i])/3.0; m_price[i] = (high[i]+low[i]+close[i])/3.0;
break; break;
case PRICE_WEIGHTED: case PRICE_WEIGHTED:
for(int i=0; i<rates_total; i++)
m_price[i] = (high[i]+low[i]+2*close[i])/4.0; m_price[i] = (high[i]+low[i]+2*close[i])/4.0;
break; break;
default: default:
ArrayCopy(m_price, close, 0, 0, rates_total); m_price[i] = close[i];
break; break;
}
} }
} else // SOURCE_MOMENTUM
else // SOURCE_MOMENTUM {
{
for(int i=0; i<rates_total; i++)
m_price[i] = close[i] - open[i]; m_price[i] = close[i] - open[i];
}
} }
return true; return true;
} }
//+==================================================================+
//| CLASS 2: CGaussianFilterCalculator_HA |
//+==================================================================+ //+==================================================================+
class CGaussianFilterCalculator_HA : public CGaussianFilterCalculator class CGaussianFilterCalculator_HA : public CGaussianFilterCalculator
{ {
private: private:
CHeikinAshi_Calculator m_ha_calculator; CHeikinAshi_Calculator m_ha_calculator;
double m_ha_open[], m_ha_high[], m_ha_low[], m_ha_close[];
protected: 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; 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 CGaussianFilterCalculator_HA::PreparePriceSeries(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[]) //| |
//+------------------------------------------------------------------+
bool CGaussianFilterCalculator_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[])
{ {
double ha_open[], ha_high[], ha_low[], ha_close[]; if(ArraySize(m_ha_open) != rates_total)
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);
if(m_source_type == SOURCE_PRICE)
{ {
switch(price_type) ArrayResize(m_ha_open, rates_total);
{ ArrayResize(m_ha_high, rates_total);
case PRICE_OPEN: ArrayResize(m_ha_low, rates_total);
ArrayCopy(m_price, ha_open, 0, 0, rates_total); ArrayResize(m_ha_close, 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]+2*ha_close[i])/4.0;
break;
default:
ArrayCopy(m_price, ha_close, 0, 0, rates_total);
break;
}
} }
else // SOURCE_MOMENTUM 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++)
{ {
for(int i=0; i<rates_total; i++) if(m_source_type == SOURCE_PRICE)
m_price[i] = ha_close[i] - ha_open[i]; {
switch(price_type)
{
case PRICE_CLOSE:
m_price[i] = m_ha_close[i];
break;
case PRICE_OPEN:
m_price[i] = m_ha_open[i];
break;
case PRICE_HIGH:
m_price[i] = m_ha_high[i];
break;
case PRICE_LOW:
m_price[i] = m_ha_low[i];
break;
case PRICE_MEDIAN:
m_price[i] = (m_ha_high[i]+m_ha_low[i])/2.0;
break;
case PRICE_TYPICAL:
m_price[i] = (m_ha_high[i]+m_ha_low[i]+m_ha_close[i])/3.0;
break;
case PRICE_WEIGHTED:
m_price[i] = (m_ha_high[i]+m_ha_low[i]+2*m_ha_close[i])/4.0;
break;
default:
m_price[i] = m_ha_close[i];
break;
}
}
else // SOURCE_MOMENTUM
{
m_price[i] = m_ha_close[i] - m_ha_open[i];
}
} }
return true; return true;
} }
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
//+------------------------------------------------------------------+