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refactor(indicators): Optimized for incremental calculation
This commit is contained in:
Toh4iem9
@@ -1,6 +1,7 @@
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//+------------------------------------------------------------------+
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//| DSMA_Calculator.mqh |
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//| Calculation engine for the John Ehlers' DSMA. |
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//| VERSION 2.00: 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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@@ -8,26 +9,33 @@
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#include <MyIncludes\HeikinAshi_Tools.mqh>
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//+==================================================================+
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//| |
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//| CLASS 1: CDSMACalculator (Base Class) |
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//| |
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//+==================================================================+
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class CDSMACalculator
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{
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protected:
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int m_period;
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double m_price[];
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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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//--- Persistent Buffers for Incremental Calculation
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double m_price[];
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double m_zeros[]; // Zeros oscillator
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double m_filt[]; // Smoothed Zeros
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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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CDSMACalculator(void) {};
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virtual ~CDSMACalculator(void) {};
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bool Init(int 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 &dsma_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 &dsma_buffer[]);
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};
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//+------------------------------------------------------------------+
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//| Init |
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//+------------------------------------------------------------------+
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bool CDSMACalculator::Init(int period)
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{
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@@ -36,160 +44,198 @@ bool CDSMACalculator::Init(int period)
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}
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//+------------------------------------------------------------------+
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void CDSMACalculator::Calculate(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[], double &dsma_buffer[])
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//| Main Calculation (Optimized) |
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//+------------------------------------------------------------------+
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void CDSMACalculator::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 &dsma_buffer[])
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{
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if(rates_total < m_period + 2)
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return;
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if(!PreparePriceSeries(rates_total, price_type, open, high, low, close))
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return;
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// --- Intermediate buffers ---
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double zeros_buffer[], filt_buffer[];
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ArrayResize(zeros_buffer, rates_total);
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ArrayResize(filt_buffer, rates_total);
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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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// --- Step 1: Calculate "Zeros" oscillator ---
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for(int i = 2; i < rates_total; i++)
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//--- 2. Resize Buffers
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if(ArraySize(m_price) != rates_total)
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{
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zeros_buffer[i] = m_price[i] - m_price[i-2];
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ArrayResize(m_price, rates_total);
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ArrayResize(m_zeros, rates_total);
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ArrayResize(m_filt, rates_total);
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}
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// --- Step 2: Smooth "Zeros" with a SuperSmoother ---
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// Coefficients for SuperSmoother with Period/2
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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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//--- 4. Calculate "Zeros" oscillator (Incremental)
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int loop_start_zeros = MathMax(2, start_index);
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for(int i = loop_start_zeros; i < rates_total; i++)
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{
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m_zeros[i] = m_price[i] - m_price[i-2];
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}
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//--- 5. Smooth "Zeros" with a SuperSmoother (Incremental)
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int ss_period = m_period / 2;
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double arg = 1.414 * M_PI / ss_period;
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double arg = M_SQRT2 * M_PI / ss_period;
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double a1 = exp(-arg);
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double b1 = 2.0 * a1 * cos(arg);
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double c2 = b1;
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double c3 = -a1 * a1;
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double c1 = 1.0 - c2 - c3;
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double filt1=0, filt2=0; // Previous values for SuperSmoother
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for(int i = 2; i < rates_total; i++)
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int loop_start_filt = MathMax(2, start_index);
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if(loop_start_filt == 2)
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{
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filt_buffer[i] = c1 * (zeros_buffer[i] + zeros_buffer[i-1]) / 2.0 + c2 * filt1 + c3 * filt2;
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filt2 = filt1;
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filt1 = filt_buffer[i];
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m_filt[0] = 0;
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m_filt[1] = 0;
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}
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// --- Steps 3-6: Calculate RMS, Alpha, and final DSMA ---
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double dsma_prev = 0;
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for(int i = m_period + 1; i < rates_total; i++)
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for(int i = loop_start_filt; i < rates_total; i++)
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{
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// Recursive calculation using persistent buffer [i-1], [i-2]
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m_filt[i] = c1 * (m_zeros[i] + m_zeros[i-1]) / 2.0 + c2 * m_filt[i-1] + c3 * m_filt[i-2];
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}
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//--- 6. Calculate DSMA (Incremental)
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int loop_start_dsma = MathMax(m_period + 1, start_index);
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if(prev_calculated == 0)
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{
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// Initialize first value
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dsma_buffer[m_period] = m_price[m_period];
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}
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for(int i = loop_start_dsma; i < rates_total; i++)
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{
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// Step 3: Compute RMS (Standard Deviation)
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double rms = 0;
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// Optimization: For large periods, a sliding window sum of squares would be faster.
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// But for standard periods (40), a loop is acceptable.
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double sum_sq = 0;
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for(int j = 0; j < m_period; j++)
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{
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rms += filt_buffer[i-j] * filt_buffer[i-j];
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sum_sq += m_filt[i-j] * m_filt[i-j];
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}
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rms = sqrt(rms / m_period);
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double rms = sqrt(sum_sq / m_period);
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// Step 4: Rescale Filt in terms of Standard Deviations
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// Step 4: Rescale Filt
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double scaled_filt = 0;
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if(rms != 0)
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scaled_filt = filt_buffer[i] / rms;
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scaled_filt = m_filt[i] / rms;
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// Step 5: Calculate adaptive alpha
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double alpha1 = fabs(scaled_filt) * 5.0 / m_period;
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// Clamp alpha to prevent instability
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// Clamp alpha
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if(alpha1 > 1.0)
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alpha1 = 1.0;
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if(alpha1 < 2.0 / (m_period + 1.0))
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alpha1 = 2.0 / (m_period + 1.0); // Prevent it from being too slow
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// Prevent it from being too slow (optional, but recommended by Ehlers)
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// if(alpha1 < 2.0 / (m_period + 1.0)) alpha1 = 2.0 / (m_period + 1.0);
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// Step 6: Calculate final DSMA value
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if(i == m_period + 1)
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dsma_prev = m_price[i]; // Initialize first value
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dsma_buffer[i] = alpha1 * m_price[i] + (1.0 - alpha1) * dsma_prev;
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dsma_prev = dsma_buffer[i];
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// Step 6: Calculate final DSMA value (Recursive EMA)
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// Use dsma_buffer[i-1] which is persistent
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dsma_buffer[i] = alpha1 * m_price[i] + (1.0 - alpha1) * dsma_buffer[i-1];
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}
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}
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//+------------------------------------------------------------------+
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bool CDSMACalculator::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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//| Prepare Price (Standard - Optimized) |
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//+------------------------------------------------------------------+
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bool CDSMACalculator::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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for(int i = start_index; i < rates_total; i++)
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{
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case PRICE_CLOSE:
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ArrayCopy(m_price, close, 0, 0, rates_total);
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break;
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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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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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for(int i=0; i<rates_total; i++)
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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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for(int i=0; i<rates_total; i++)
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m_price[i] = (high[i]+low[i]+close[i]+close[i])/4.0;
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break;
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default:
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return false;
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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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//| CLASS 2: CDSMACalculator_HA (Heikin Ashi) |
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//+==================================================================+
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class CDSMACalculator_HA : public CDSMACalculator
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{
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private:
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CHeikinAshi_Calculator m_ha_calculator;
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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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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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bool CDSMACalculator_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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//| Prepare Price (Heikin Ashi - Optimized) |
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//+------------------------------------------------------------------+
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bool CDSMACalculator_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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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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m_ha_calculator.Calculate(rates_total, open, high, low, close, ha_open, ha_high, ha_low, ha_close);
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ArrayResize(m_price, rates_total);
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switch(price_type)
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if(ArraySize(m_ha_open) != rates_total)
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{
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case PRICE_CLOSE:
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ArrayCopy(m_price, ha_close, 0, 0, rates_total);
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break;
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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]+ha_close[i]+ha_close[i])/4.0;
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break;
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default:
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return false;
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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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m_ha_calculator.Calculate(rates_total, start_index, open, high, low, close, m_ha_open, m_ha_high, m_ha_low, m_ha_close);
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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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