refactor: Optimized with incremental benchmark alignment

This commit is contained in:
Toh4iem9
2026-06-07 20:11:12 +02:00
parent b5333529a2
commit 62c44987bd
+61 -43
View File
@@ -4,8 +4,8 @@
//| Copyright 2026, xxxxxxxx |
//+------------------------------------------------------------------+
#property copyright "Copyright 2026, xxxxxxxx"
#property version "1.20" // Fixed Display Logic using Unified Buffer
#property description "Rolling Alpha (Excess Return) or Beta (Volatility)."
#property version "1.30" // Optimized with incremental benchmark alignment
#property description "Rolling Alpha (Excess Return) or Beta (Volatility) aligned incrementally."
#property indicator_separate_window
#property indicator_buffers 2
@@ -32,6 +32,9 @@ input string InpForexBench = "DX"; // Forex Bench
double BufDisplay[]; // The Visible Output
double BufColors[]; // The Color Index
//--- Aligned benchmark close prices array
double g_bench_close[];
CMathStatisticsCalculator *g_stats;
string g_bench_symbol;
@@ -53,7 +56,6 @@ int OnInit()
PlotIndexSetInteger(0, PLOT_DRAW_TYPE, DRAW_COLOR_HISTOGRAM);
PlotIndexSetString(0, PLOT_LABEL, "Alpha");
// Levels
IndicatorSetDouble(INDICATOR_LEVELVALUE, 0, 0.0);
}
else // BETA
@@ -63,7 +65,6 @@ int OnInit()
PlotIndexSetInteger(0, PLOT_DRAW_TYPE, DRAW_COLOR_LINE);
PlotIndexSetString(0, PLOT_LABEL, "Beta");
// Levels
IndicatorSetDouble(INDICATOR_LEVELVALUE, 0, 1.0);
}
@@ -76,68 +77,86 @@ int OnInit()
return(INIT_SUCCEEDED);
}
void OnDeinit(const int r) { if(CheckPointer(g_stats)==POINTER_DYNAMIC) delete g_stats; }
//+------------------------------------------------------------------+
//| Deinit |
//+------------------------------------------------------------------+
void OnDeinit(const int r)
{
if(CheckPointer(g_stats) == POINTER_DYNAMIC)
delete g_stats;
}
//+------------------------------------------------------------------+
//| Calculate |
//+------------------------------------------------------------------+
int OnCalculate(const int rates_total, const int prev_calculated, const datetime &time[], const double &open[], const double &high[], const double &low[], const double &close[], const long &tick_volume[], const long &volume[], const int &spread[])
int OnCalculate(const int rates_total,
const int prev_calculated,
const datetime &time[],
const double &open[],
const double &high[],
const double &low[],
const double &close[],
const long &tick_volume[],
const long &volume[],
const int &spread[])
{
if(rates_total < InpLookback + 5)
return 0;
//--- 1. Incremental Benchmark Price Alignment (O(1) complexity per tick)
ArrayResize(g_bench_close, rates_total);
int loop_start_sync = (prev_calculated == 0) ? 0 : prev_calculated - 1;
if(loop_start_sync < 0)
loop_start_sync = 0;
for(int i = loop_start_sync; i < rates_total; i++)
{
int shift = iBarShift(g_bench_symbol, _Period, time[i], false);
if(shift >= 0)
{
g_bench_close[i] = iClose(g_bench_symbol, _Period, shift);
}
else
{
g_bench_close[i] = (i > 0) ? g_bench_close[i-1] : close[i];
}
}
//--- 2. Main Stats Calculation
int start = (prev_calculated > InpLookback) ? prev_calculated - 1 : InpLookback;
for(int i = start; i < rates_total; i++)
{
// 1. Fetch Local Data
// Extract Local Data (Optimized via lightning-fast ArrayCopy)
double asset_sub[];
ArrayResize(asset_sub, InpLookback);
for(int k=0; k<InpLookback; k++)
asset_sub[k] = close[i - InpLookback + 1 + k];
// 2. Fetch Bench Data
double bench_sub[];
ArrayResize(bench_sub, InpLookback);
bool data_ok = true;
for(int k=0; k<InpLookback; k++)
if(ArrayCopy(asset_sub, close, 0, i - InpLookback + 1, InpLookback) < InpLookback)
{
datetime t = time[i - InpLookback + 1 + k];
int b_idx = iBarShift(g_bench_symbol, Period(), t, false);
if(b_idx < 0)
{
data_ok=false;
break;
}
double vals[1];
if(CopyClose(g_bench_symbol, Period(), b_idx, 1, vals)<=0)
{
data_ok=false;
break;
}
bench_sub[k] = vals[0];
}
if(!data_ok)
{
BufDisplay[i]=0;
BufDisplay[i] = 0.0;
continue;
}
// 3. Calc Returns
// Extract Bench Data from pre-synchronized array (No redundant file/cache access!)
double bench_sub[];
ArrayResize(bench_sub, InpLookback);
if(ArrayCopy(bench_sub, g_bench_close, 0, i - InpLookback + 1, InpLookback) < InpLookback)
{
BufDisplay[i] = 0.0;
continue;
}
// Calc Returns
double asset_ret[], bench_ret[];
g_stats.ComputeReturns(asset_sub, asset_ret);
g_stats.ComputeReturns(bench_sub, bench_ret);
double beta = g_stats.CalculateBeta(asset_ret, bench_ret);
// 4. Output Logic
// Output Logic
if(InpMode == MODE_BETA)
{
BufDisplay[i] = beta;
// Color Logic for Beta Line: Gold normally, maybe Red/Green if extreme?
// Let's stick to Gold (Index 3 from property list)
BufColors[i] = 3.0;
BufColors[i] = 3.0; // Gold line
}
else // ALPHA
{
@@ -148,12 +167,12 @@ int OnCalculate(const int rates_total, const int prev_calculated, const datetime
BufDisplay[i] = alpha;
if(alpha > 0)
BufColors[i] = 1.0; // Lime
BufColors[i] = 1.0; // Lime
else
if(alpha < 0)
BufColors[i] = 2.0; // Red
else
BufColors[i] = 0.0;
BufColors[i] = 0.0; // Gray
}
}
@@ -161,11 +180,10 @@ int OnCalculate(const int rates_total, const int prev_calculated, const datetime
}
//+------------------------------------------------------------------+
//| |
//| IsForexPair |
//+------------------------------------------------------------------+
bool IsForexPair(string sym)
{
// Safety: If symbol IS one of the benchmarks, we don't classify it as generic forex pair here
if(sym == InpBenchmark || sym == InpForexBench)
return false;