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refactor: Fixed RSI Drift (Added internal buffers)

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Toh4iem9
2025-12-23 14:27:47 +01:00
parent 2667db8729
commit 782ebcf27e
1 changed files with 78 additions and 97 deletions
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Include/MyIncludes/RSI_Pro_Calculator.mqh
+78 -97
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@@ -1,11 +1,12 @@
//+------------------------------------------------------------------+
//| RSI_Pro_Calculator.mqh |
//| Calculation engine for Standard and Heikin Ashi RSI Pro. |
//| VERSION 3.10: Fixed RSI Drift (Added internal buffers). |
//| Copyright 2025, xxxxxxxx |
//+------------------------------------------------------------------+
#property copyright "Copyright 2025, xxxxxxxx"
#include <MyIncludes\HeikinAshi_Tools.mqh>
#include <MyIncludes\MovingAverage_Engine.mqh>
//+==================================================================+
//| CLASS 1: CRSIProCalculator (Base Class) |
@@ -16,7 +17,9 @@ protected:
int m_rsi_period;
int m_ma_period;
double m_deviation;
ENUM_MA_METHOD m_ma_method;
//--- Engine for Signal Line
CMovingAverageCalculator m_ma_engine;
//--- Persistent Buffers for Incremental Calculation
double m_price[];
@@ -25,9 +28,9 @@ protected:
double m_upper_band[];
double m_lower_band[];
//--- Persistent State for Wilder's Smoothing
double m_sum_pos;
double m_sum_neg;
//--- NEW: Persistent Buffers for Wilder's Smoothing (Fixes Drift)
double m_avg_gain[];
double m_avg_loss[];
//--- Updated: Accepts start_index
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[]);
@@ -36,7 +39,8 @@ public:
CRSIProCalculator(void);
virtual ~CRSIProCalculator(void) {};
bool Init(int rsi_p, int ma_p, ENUM_MA_METHOD ma_m, double dev);
//--- Init now takes ENUM_MA_TYPE
bool Init(int rsi_p, int ma_p, ENUM_MA_TYPE ma_m, double dev);
//--- Updated: Accepts prev_calculated
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[],
@@ -46,21 +50,23 @@ public:
//+------------------------------------------------------------------+
//| Constructor |
//+------------------------------------------------------------------+
CRSIProCalculator::CRSIProCalculator(void) : m_sum_pos(0), m_sum_neg(0)
CRSIProCalculator::CRSIProCalculator(void)
{
}
//+------------------------------------------------------------------+
//| Init |
//+------------------------------------------------------------------+
bool CRSIProCalculator::Init(int rsi_p, int ma_p, ENUM_MA_METHOD ma_m, double dev)
bool CRSIProCalculator::Init(int rsi_p, int ma_p, ENUM_MA_TYPE ma_m, double dev)
{
m_rsi_period = (rsi_p < 1) ? 1 : rsi_p;
m_ma_period = (ma_p < 1) ? 1 : ma_p;
m_ma_method = ma_m;
m_deviation = dev;
m_sum_pos = 0;
m_sum_neg = 0;
// Initialize MA Engine
if(!m_ma_engine.Init(m_ma_period, ma_m))
return false;
return true;
}
@@ -76,11 +82,7 @@ void CRSIProCalculator::Calculate(int rates_total, int prev_calculated, ENUM_APP
//--- 1. Determine Start Index
int start_index;
if(prev_calculated == 0)
{
start_index = 0;
m_sum_pos = 0;
m_sum_neg = 0;
}
else
start_index = prev_calculated - 1;
@@ -92,6 +94,10 @@ void CRSIProCalculator::Calculate(int rates_total, int prev_calculated, ENUM_APP
ArrayResize(m_ma_buffer, rates_total);
ArrayResize(m_upper_band, rates_total);
ArrayResize(m_lower_band, rates_total);
// Resize internal averaging buffers
ArrayResize(m_avg_gain, rates_total);
ArrayResize(m_avg_loss, rates_total);
}
//--- 3. Prepare Price (Optimized)
@@ -101,88 +107,73 @@ void CRSIProCalculator::Calculate(int rates_total, int prev_calculated, ENUM_APP
//--- 4. Calculate RSI (Incremental)
int i = start_index;
if(i == 0)
i = 1; // Skip first bar for diff
{
m_avg_gain[0] = 0;
m_avg_loss[0] = 0;
m_rsi_buffer[0] = 0;
i = 1;
}
for(; i < rates_total; i++)
{
double diff = m_price[i] - m_price[i-1];
}
double pos = (diff > 0 ? diff : 0);
double neg = (diff < 0 ? -diff : 0);
// Reset sums for full loop
double sum_pos = 0;
double sum_neg = 0;
for(i = 1; i < rates_total; i++)
{
double diff = m_price[i] - m_price[i-1];
sum_pos = (sum_pos * (m_rsi_period - 1) + (diff > 0 ? diff : 0)) / m_rsi_period;
sum_neg = (sum_neg * (m_rsi_period - 1) + (diff < 0 ? -diff : 0)) / m_rsi_period;
if(i >= m_rsi_period)
if(i <= m_rsi_period)
{
if(sum_neg > 0)
m_rsi_buffer[i] = 100.0 - (100.0 / (1.0 + (sum_pos / sum_neg)));
// First value (at index period) is SMA.
// Subsequent values are RMA.
if(i < m_rsi_period)
{
// Accumulate
m_avg_gain[i] = m_avg_gain[i-1] + pos;
m_avg_loss[i] = m_avg_loss[i-1] + neg;
m_rsi_buffer[i] = 0;
}
else // i == m_rsi_period
{
// Calculate initial SMA
// Add current value to sum
double sum_g = m_avg_gain[i-1] + pos;
double sum_l = m_avg_loss[i-1] + neg;
m_avg_gain[i] = sum_g / m_rsi_period;
m_avg_loss[i] = sum_l / m_rsi_period;
if(m_avg_loss[i] > 0)
m_rsi_buffer[i] = 100.0 - (100.0 / (1.0 + (m_avg_gain[i] / m_avg_loss[i])));
else
m_rsi_buffer[i] = 100.0;
}
}
else
{
// Normal Phase: Wilder's Smoothing (RMA)
// Avg[i] = (Avg[i-1] * (N-1) + Val[i]) / N
// We use the persistent buffer values from [i-1], which are stable!
m_avg_gain[i] = (m_avg_gain[i-1] * (m_rsi_period - 1) + pos) / m_rsi_period;
m_avg_loss[i] = (m_avg_loss[i-1] * (m_rsi_period - 1) + neg) / m_rsi_period;
if(m_avg_loss[i] > 0)
m_rsi_buffer[i] = 100.0 - (100.0 / (1.0 + (m_avg_gain[i] / m_avg_loss[i])));
else
m_rsi_buffer[i] = 100.0;
}
else
m_rsi_buffer[i] = 0;
}
//--- 5. Calculate Moving Average on RSI (Optimized)
int ma_start_pos = m_rsi_period + m_ma_period - 1;
int loop_start_ma = MathMax(ma_start_pos, start_index);
for(i = loop_start_ma; i < rates_total; i++)
{
switch(m_ma_method)
{
case MODE_EMA:
case MODE_SMMA:
if(i == ma_start_pos)
{
double sum = 0;
for(int j = 0; j < m_ma_period; j++)
sum += m_rsi_buffer[i-j];
m_ma_buffer[i] = sum / m_ma_period;
}
else
{
if(m_ma_method == MODE_EMA)
{
double pr = 2.0 / (m_ma_period + 1.0);
m_ma_buffer[i] = m_rsi_buffer[i] * pr + m_ma_buffer[i-1] * (1.0 - pr);
}
else
m_ma_buffer[i] = (m_ma_buffer[i-1] * (m_ma_period - 1) + m_rsi_buffer[i]) / m_ma_period;
}
break;
case MODE_LWMA:
{
double lwma_sum = 0, weight_sum = 0;
for(int j = 0; j < m_ma_period; j++)
{
int weight = m_ma_period - j;
lwma_sum += m_rsi_buffer[i-j] * weight;
weight_sum += weight;
}
if(weight_sum > 0)
m_ma_buffer[i] = lwma_sum / weight_sum;
break;
}
default: // MODE_SMA
{
double sum = 0;
for(int j = 0; j < m_ma_period; j++)
sum += m_rsi_buffer[i-j];
m_ma_buffer[i] = sum / m_ma_period;
break;
}
}
}
//--- 5. Calculate Moving Average on RSI (Using Engine)
// RSI is valid from index: m_rsi_period
int rsi_offset = m_rsi_period;
m_ma_engine.CalculateOnArray(rates_total, prev_calculated, m_rsi_buffer, m_ma_buffer, rsi_offset);
//--- 6. Calculate Bollinger Bands (Optimized)
for(i = loop_start_ma; i < rates_total; i++)
// Bands are based on the MA, so they start where MA starts
int ma_start_pos = rsi_offset + m_ma_period - 1;
int loop_start_bands = MathMax(ma_start_pos, start_index);
for(i = loop_start_bands; i < rates_total; i++)
{
double std_dev_val = 0, sum_sq = 0;
for(int j = 0; j < m_ma_period; j++)
@@ -194,7 +185,6 @@ void CRSIProCalculator::Calculate(int rates_total, int prev_calculated, ENUM_APP
}
//--- 7. Copy to Output
// We copy everything to be safe, ArrayCopy is fast
ArrayCopy(rsi_out, m_rsi_buffer, 0, 0, rates_total);
ArrayCopy(ma_out, m_ma_buffer, 0, 0, rates_total);
ArrayCopy(upper_out, m_upper_band, 0, 0, rates_total);
@@ -206,7 +196,6 @@ void CRSIProCalculator::Calculate(int rates_total, int prev_calculated, ENUM_APP
//+------------------------------------------------------------------+
bool CRSIProCalculator::PreparePriceSeries(int rates_total, int start_index, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[])
{
// Optimized copy loop
for(int i = start_index; i < rates_total; i++)
{
switch(price_type)
@@ -230,7 +219,7 @@ bool CRSIProCalculator::PreparePriceSeries(int rates_total, int start_index, ENU
m_price[i] = (high[i]+low[i]+close[i])/3.0;
break;
case PRICE_WEIGHTED:
m_price[i] = (high[i]+low[i]+close[i]+close[i])/4.0;
m_price[i] = (high[i]+low[i]+2*close[i])/4.0;
break;
default:
m_price[i] = close[i];
@@ -247,19 +236,16 @@ class CRSIProCalculator_HA : public CRSIProCalculator
{
private:
CHeikinAshi_Calculator m_ha_calculator;
// Internal HA buffers
double m_ha_open[], m_ha_high[], m_ha_low[], m_ha_close[];
protected:
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;
};
//+------------------------------------------------------------------+
//| Prepare Price (Heikin Ashi - Optimized) |
//| |
//+------------------------------------------------------------------+
bool CRSIProCalculator_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[])
{
// Resize internal HA buffers
if(ArraySize(m_ha_open) != rates_total)
{
ArrayResize(m_ha_open, rates_total);
@@ -267,12 +253,7 @@ bool CRSIProCalculator_HA::PreparePriceSeries(int rates_total, int start_index,
ArrayResize(m_ha_low, rates_total);
ArrayResize(m_ha_close, rates_total);
}
//--- STRICT CALL: Use the optimized 10-param HA calculation
m_ha_calculator.Calculate(rates_total, start_index, open, high, low, close,
m_ha_open, m_ha_high, m_ha_low, m_ha_close);
//--- Copy to m_price (Optimized loop)
m_ha_calculator.Calculate(rates_total, start_index, open, high, low, close, m_ha_open, m_ha_high, m_ha_low, m_ha_close);
for(int i = start_index; i < rates_total; i++)
{
switch(price_type)