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refactor: Optimized for incremental calculation
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Toh4iem9
@@ -1,6 +1,6 @@
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//+------------------------------------------------------------------+
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//| Ehlers_Smoother_Calculator.mqh |
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//| VERSION 2.31: Added public GetPeriod() method. |
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//| VERSION 2.40: 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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@@ -17,49 +17,71 @@ protected:
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int m_period;
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ENUM_SMOOTHER_TYPE m_type;
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ENUM_INPUT_SOURCE m_source_type;
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double m_price[];
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double m_f1, m_f2;
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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 Buffer for Price
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double m_price[];
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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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CEhlersSmootherCalculator(void) : m_f1(0), m_f2(0) {};
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CEhlersSmootherCalculator(void) {};
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virtual ~CEhlersSmootherCalculator(void) {};
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bool Init(int period, ENUM_SMOOTHER_TYPE type, ENUM_INPUT_SOURCE source_type);
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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 &filter_buffer[]);
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//--- NEW: Public getter for the period
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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 &filter_buffer[]);
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int GetPeriod(void) const { return m_period; }
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};
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//+------------------------------------------------------------------+
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//| Init |
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//+------------------------------------------------------------------+
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bool CEhlersSmootherCalculator::Init(int period, ENUM_SMOOTHER_TYPE type, ENUM_INPUT_SOURCE source_type)
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{
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m_period = (period < 2) ? 2 : period;
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m_type = type;
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m_source_type = source_type;
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m_f1 = 0;
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m_f2 = 0; // Reset state on init
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return true;
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}
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//+------------------------------------------------------------------+
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void CEhlersSmootherCalculator::Calculate(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[], double &filter_buffer[])
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//| Main Calculation (Optimized) |
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//+------------------------------------------------------------------+
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void CEhlersSmootherCalculator::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[])
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{
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if(rates_total < 4)
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return;
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if(!PreparePriceSeries(rates_total, price_type, open, high, low, close))
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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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//--- 2. Resize Internal Buffer
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if(ArraySize(m_price) != rates_total)
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ArrayResize(m_price, rates_total);
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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 Coefficients
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double a1 = exp(-M_SQRT2 * M_PI / m_period);
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double b1 = 2.0 * a1 * cos(M_SQRT2 * M_PI / m_period);
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double c2 = b1;
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double c3 = -a1 * a1;
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double c1 = (m_type == SUPERSMOOTHER) ? (1.0 - c2 - c3) : ((1.0 + c2 - c3) / 4.0);
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//--- Robust initialization on first run
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if(ArraySize(filter_buffer) == 0 || filter_buffer[0] == 0)
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//--- 5. Calculate Filter (Incremental Loop)
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int i = start_index;
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// Initialization for the first few bars
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if(i < 3)
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{
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if(rates_total > 0)
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filter_buffer[0] = m_price[0];
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@@ -67,126 +89,142 @@ void CEhlersSmootherCalculator::Calculate(int rates_total, ENUM_APPLIED_PRICE pr
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filter_buffer[1] = m_price[1];
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if(rates_total > 2)
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filter_buffer[2] = m_price[2];
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m_f2 = filter_buffer[1];
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m_f1 = filter_buffer[2];
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i = 3;
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}
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for(int i = 3; i < rates_total; i++)
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for(; i < rates_total; i++)
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{
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double current_f = 0;
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// We use filter_buffer[i-1] and [i-2] which are persistent
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double f1 = filter_buffer[i-1];
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double f2 = filter_buffer[i-2];
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if(m_type == SUPERSMOOTHER)
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current_f = c1 * (m_price[i] + m_price[i-1]) / 2.0 + c2 * m_f1 + c3 * m_f2;
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else
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current_f = (1.0 - c1) * m_price[i] + (2.0 * c1 - c2) * m_price[i-1] - (c1 + c3) * m_price[i-2] + c2 * m_f1 + c3 * m_f2;
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current_f = c1 * (m_price[i] + m_price[i-1]) / 2.0 + c2 * f1 + c3 * f2;
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else // ULTIMATESMOOTHER
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current_f = (1.0 - c1) * m_price[i] + (2.0 * c1 - c2) * m_price[i-1] - (c1 + c3) * m_price[i-2] + c2 * f1 + c3 * f2;
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filter_buffer[i] = current_f;
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m_f2 = m_f1;
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m_f1 = current_f;
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}
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}
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//+------------------------------------------------------------------+
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bool CEhlersSmootherCalculator::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 CEhlersSmootherCalculator::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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if(m_source_type == SOURCE_PRICE)
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// Optimized copy loop
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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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if(m_source_type == SOURCE_PRICE)
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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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}
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else // SOURCE_MOMENTUM
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{
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for(int i=0; i<rates_total; i++)
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else // SOURCE_MOMENTUM
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{
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m_price[i] = close[i] - open[i];
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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: CEhlersSmootherCalculator_HA |
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//+==================================================================+
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class CEhlersSmootherCalculator_HA : public CEhlersSmootherCalculator
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{
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private:
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CHeikinAshi_Calculator m_ha_calculator;
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// Internal HA buffers
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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 CEhlersSmootherCalculator_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 CEhlersSmootherCalculator_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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if(m_source_type == SOURCE_PRICE)
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// Resize internal HA buffers
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if(ArraySize(m_ha_open) != rates_total)
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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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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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}
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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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else // SOURCE_MOMENTUM
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//--- STRICT CALL: Use the optimized 10-param HA calculation
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m_ha_calculator.Calculate(rates_total, start_index, open, high, low, close,
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m_ha_open, m_ha_high, m_ha_low, m_ha_close);
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//--- Copy to m_price (Optimized loop)
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for(int i = start_index; i < rates_total; i++)
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{
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for(int i=0; i<rates_total; i++)
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m_price[i] = ha_close[i] - ha_open[i];
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if(m_source_type == SOURCE_PRICE)
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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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else // SOURCE_MOMENTUM
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{
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m_price[i] = m_ha_close[i] - m_ha_open[i];
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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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