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refactor: Added DEMA and TEMA for lag reduction

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Toh4iem9
2025-11-16 14:04:05 +01:00
parent 6b875b2bd3
commit 71d3bdefc9
1 changed files with 95 additions and 44 deletions
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Include/MyIncludes/MovingAverage_Engine.mqh
+95 -44
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@@ -1,6 +1,6 @@
//+------------------------------------------------------------------+
//| MovingAverage_Engine.mqh |
//| VERSION 1.20: Added Triangular Moving Average (TMA). |
//| VERSION 1.30: Added DEMA and TEMA for lag reduction. |
//| Copyright 2025, xxxxxxxx |
//+------------------------------------------------------------------+
#property copyright "Copyright 2025, xxxxxxxx"
@@ -14,7 +14,9 @@ enum ENUM_MA_TYPE
EMA,
SMMA,
LWMA,
TMA // New type added
TMA,
DEMA,
TEMA
};
//+==================================================================+
@@ -26,6 +28,7 @@ protected:
double m_price[];
virtual bool PreparePriceSeries(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[]);
void CalculateEMA(int rates_total, int period, const double &source[], double &dest[]);
public:
CMovingAverageCalculator(void) {};
@@ -72,12 +75,17 @@ void CMovingAverageCalculator::Calculate(int rates_total, ENUM_APPLIED_PRICE pri
return;
int start_pos = m_period - 1;
for(int i = start_pos; i < rates_total; i++)
for(int i = 0; i < rates_total; i++) // Clear all values initially
ma_buffer[i] = EMPTY_VALUE;
switch(m_ma_type)
{
switch(m_ma_type)
{
case EMA:
case SMMA:
case EMA:
CalculateEMA(rates_total, m_period, m_price, ma_buffer);
break;
case SMMA:
for(int i = start_pos; i < rates_total; i++)
{
if(i == start_pos)
{
double sum=0;
@@ -86,17 +94,11 @@ void CMovingAverageCalculator::Calculate(int rates_total, ENUM_APPLIED_PRICE pri
ma_buffer[i]=sum/m_period;
}
else
{
if(m_ma_type==EMA)
{
double pr=2.0/(m_period+1.0);
ma_buffer[i]=m_price[i]*pr+ma_buffer[i-1]*(1.0-pr);
}
else
ma_buffer[i]=(ma_buffer[i-1]*(m_period-1)+m_price[i])/m_period;
}
break;
case LWMA:
ma_buffer[i]=(ma_buffer[i-1]*(m_period-1)+m_price[i])/m_period;
}
break;
case LWMA:
for(int i = start_pos; i < rates_total; i++)
{
double sum=0, w_sum=0;
for(int j=0; j<m_period; j++)
@@ -109,34 +111,56 @@ void CMovingAverageCalculator::Calculate(int rates_total, ENUM_APPLIED_PRICE pri
ma_buffer[i]=sum/w_sum;
}
break;
case TMA:
case TMA:
{
double sma1_buffer[];
ArrayResize(sma1_buffer, rates_total);
int period1 = (int)ceil((m_period + 1.0) / 2.0);
for(int i = period1 - 1; i < rates_total; i++)
{
// A TMA is a double-smoothed SMA. This is the most common and efficient calculation method.
// First SMA period
int period1 = (int)ceil((m_period + 1.0) / 2.0);
// Second SMA period
int period2 = m_period - period1 + 1;
// Calculate first SMA pass
double sum1 = 0;
double sum = 0;
for(int j = 0; j < period1; j++)
sum1 += m_price[i - j];
double sma1 = sum1 / period1;
// Calculate second SMA pass on the results of the first
// We need to calculate the previous SMA1 values as well
double sum2 = 0;
for(int k=0; k<period2; k++)
{
double temp_sum1 = 0;
for(int j=0; j<period1; j++)
temp_sum1 += m_price[i - k - j];
sum2 += temp_sum1 / period1;
}
ma_buffer[i] = sum2 / period2;
break;
sum += m_price[i-j];
sma1_buffer[i] = sum / period1;
}
default: // SMA
int period2 = m_period - period1 + 1;
for(int i = period1 + period2 - 2; i < rates_total; i++)
{
double sum = 0;
for(int j = 0; j < period2; j++)
sum += sma1_buffer[i-j];
ma_buffer[i] = sum / period2;
}
}
break;
case DEMA:
{
double ema1[], ema2[];
ArrayResize(ema1, rates_total);
ArrayResize(ema2, rates_total);
CalculateEMA(rates_total, m_period, m_price, ema1);
CalculateEMA(rates_total, m_period, ema1, ema2);
for(int i = (m_period - 1) * 2; i < rates_total; i++)
ma_buffer[i] = 2 * ema1[i] - ema2[i];
break;
}
case TEMA:
{
double ema1[], ema2[], ema3[];
ArrayResize(ema1, rates_total);
ArrayResize(ema2, rates_total);
ArrayResize(ema3, rates_total);
CalculateEMA(rates_total, m_period, m_price, ema1);
CalculateEMA(rates_total, m_period, ema1, ema2);
CalculateEMA(rates_total, m_period, ema2, ema3);
for(int i = (m_period - 1) * 3; i < rates_total; i++)
ma_buffer[i] = 3 * ema1[i] - 3 * ema2[i] + ema3[i];
break;
}
default: // SMA
for(int i = start_pos; i < rates_total; i++)
{
double sum=0;
for(int j=0; j<m_period; j++)
@@ -144,7 +168,34 @@ void CMovingAverageCalculator::Calculate(int rates_total, ENUM_APPLIED_PRICE pri
ma_buffer[i]=sum/m_period;
}
break;
}
}
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
void CMovingAverageCalculator::CalculateEMA(int rates_total, int period, const double &source[], double &dest[])
{
if(rates_total < period)
return;
int start_pos = period - 1;
double pr = 2.0 / (double)(period + 1.0);
for(int i=0; i<start_pos; i++)
dest[i] = EMPTY_VALUE;
double sum=0;
for(int j=0; j<period; j++)
if(source[start_pos-j] != EMPTY_VALUE)
sum += source[start_pos-j];
dest[start_pos] = sum / period;
for(int i = start_pos + 1; i < rates_total; i++)
{
if(source[i] != EMPTY_VALUE)
dest[i] = source[i] * pr + dest[i-1] * (1.0 - pr);
else
dest[i] = dest[i-1];
}
}