diff --git a/Include/MyIncludes/LinearRegression_Calculator.mqh b/Include/MyIncludes/LinearRegression_Calculator.mqh index 9f4c1f3..45a609f 100644 --- a/Include/MyIncludes/LinearRegression_Calculator.mqh +++ b/Include/MyIncludes/LinearRegression_Calculator.mqh @@ -1,9 +1,9 @@ //+------------------------------------------------------------------+ //| LinearRegression_Calculator.mqh | -//| VERSION 3.10: Supports both Moving and Static Channels. | -//| Copyright 2025, xxxxxxxx | +//| VERSION 4.00: Integrated R-Squared and Slope calculation. | +//| Copyright 2026, xxxxxxxx | //+------------------------------------------------------------------+ -#property copyright "Copyright 2025, xxxxxxxx" +#property copyright "Copyright 2026, xxxxxxxx" #include @@ -23,6 +23,10 @@ protected: ENUM_CHANNEL_MODE m_channel_mode; double m_deviations; + // Precalc for optimization + double m_sum_x, m_sum_x2; + double m_denom_x; + //--- Persistent Buffer double m_price[]; @@ -32,7 +36,10 @@ public: CLinearRegressionCalculator(void) {}; virtual ~CLinearRegressionCalculator(void) {}; + // Init 1: Full (For Channels) bool Init(int period, ENUM_CHANNEL_MODE mode, double deviations); + // Init 2: Simple (For R2/Slope only) + bool Init(int period); //--- Method 1: Moving Regression (The "Wavy" line) void CalculateMoving(int rates_total, int prev_calculated, const double &open[], const double &high[], const double &low[], const double &close[], ENUM_APPLIED_PRICE price_type, @@ -41,19 +48,42 @@ public: //--- Method 2: Static Channel (The "Straight" segment for current bars) void CalculateStaticChannel(int rates_total, const double &open[], const double &high[], const double &low[], const double &close[], ENUM_APPLIED_PRICE price_type, double &middle_buffer[], double &upper_buffer[], double &lower_buffer[]); + + //--- Method 3: Rolling Statistics (R-Squared & Slope) - NEW + void CalculateState(int rates_total, int prev_calculated, const double &open[], const double &high[], const double &low[], const double &close[], ENUM_APPLIED_PRICE price_type, + double &out_slope[], double &out_r2[], double &out_forecast[]); }; //+------------------------------------------------------------------+ -//| Init | +//| Init (Full) | //+------------------------------------------------------------------+ bool CLinearRegressionCalculator::Init(int period, ENUM_CHANNEL_MODE mode, double deviations) { m_period = (period < 2) ? 2 : period; m_channel_mode = mode; m_deviations = (deviations <= 0) ? 2.0 : deviations; + +// Pre-calc X sums (0..N-1) + m_sum_x = 0; + m_sum_x2 = 0; + for(int k = 0; k < m_period; k++) + { + m_sum_x += k; + m_sum_x2 += k * k; + } + m_denom_x = m_period * m_sum_x2 - m_sum_x * m_sum_x; + return true; } +//+------------------------------------------------------------------+ +//| Init (Simple) | +//+------------------------------------------------------------------+ +bool CLinearRegressionCalculator::Init(int period) + { + return Init(period, DEVIATION_STANDARD, 2.0); // Delegate with defaults + } + //+------------------------------------------------------------------+ //| Method 1: Moving Regression (Wavy) | //+------------------------------------------------------------------+ @@ -206,6 +236,66 @@ void CLinearRegressionCalculator::CalculateStaticChannel(int rates_total, const } } +//+------------------------------------------------------------------+ +//| Method 3: Rolling Statistics (NEW) | +//+------------------------------------------------------------------+ +void CLinearRegressionCalculator::CalculateState(int rates_total, int prev_calculated, const double &open[], const double &high[], const double &low[], const double &close[], ENUM_APPLIED_PRICE price_type, + double &out_slope[], double &out_r2[], double &out_forecast[]) + { + if(rates_total < m_period) + return; + + int start_index = (prev_calculated == 0) ? 0 : prev_calculated - 1; + + if(ArraySize(m_price) != rates_total) + ArrayResize(m_price, rates_total); + if(!PreparePriceSeries(rates_total, start_index, price_type, open, high, low, close)) + return; + + int loop_start = MathMax(m_period - 1, start_index); + + for(int i = loop_start; i < rates_total; i++) + { + double sum_y = 0, sum_xy = 0, sum_y2 = 0; + + for(int k = 0; k < m_period; k++) + { + double price = m_price[i - m_period + 1 + k]; + double x = k; // Map x to 0..N-1 + + sum_y += price; + sum_xy += x * price; + sum_y2 += price * price; + } + + double b = 0; + if(m_denom_x != 0) + b = (m_period * sum_xy - m_sum_x * sum_y) / m_denom_x; // Slope + + double a = (sum_y - b * m_sum_x) / m_period; // Intercept + double forecast = a + b * (m_period - 1); // Current Value + + // R-Squared Calc + // SST = Total Sum of Squares = Sum(y^2) - (Sum(y)^2)/N + // SSR = Regression Sum of Squares = b * (Sum(xy) - Sum(x)Sum(y)/N) + // R2 = SSR / SST + + // Alternative standard formula: R2 = (N*SumXY - SumX*SumY)^2 / (DenomX * DenomY) + double denom_y = (m_period * sum_y2) - (sum_y * sum_y); + double r2 = 0; + + if(m_denom_x > 0 && denom_y > 0) + { + double num = (m_period * sum_xy - m_sum_x * sum_y); + r2 = (num * num) / (m_denom_x * denom_y); + } + + out_slope[i] = b; + out_r2[i] = r2; + out_forecast[i] = forecast; // Same as 'middle_buffer' in Moving mode + } + } + //+------------------------------------------------------------------+ //| Prepare Price (Standard) | //+------------------------------------------------------------------+