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feat: Strict Recursive State Preservation (Fixes Live Bar Flip-Flop)
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Toh4iem9
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//+------------------------------------------------------------------+
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//| ChaosWeightedRSI_Calculator.mqh |
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//| Engine for Fractal-Chaos-Weighted Relative Strength Index |
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//| Copyright 2026, xxxxxxxx|
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//+------------------------------------------------------------------+
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#property copyright "Copyright 2026, xxxxxxxx"
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#property version "2.20" // Enterprise: Strict Recursive State Preservation (Fixes Live Bar Flip-Flop)
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#property description "Mathematical engine for Chaos-Weighted RSI with Sevcik Fractal Dimension modulation."
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#ifndef CHAOS_WEIGHTED_RSI_CALCULATOR_MQH
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#define CHAOS_WEIGHTED_RSI_CALCULATOR_MQH
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#include <MyIncludes\HeikinAshi_Tools.mqh>
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//+==================================================================+
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//| CLASS: CChaosWeightedRSI_Calculator |
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//+==================================================================+
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class CChaosWeightedRSI_Calculator
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{
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private:
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int m_rsi_period;
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int m_fdi_period;
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double m_sensitivity;
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ENUM_APPLIED_PRICE_HA_ALL m_source_type;
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// Precalculated Invariants
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double m_base_alpha;
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double m_delta_x_sq;
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double m_log_fdi_denom;
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double m_inv_fdi_denom;
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// Persistent Buffers
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double m_price[];
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double m_avg_gain[];
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double m_avg_loss[];
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double m_wrsi[];
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// Heikin Ashi Buffers
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double m_ha_open[], m_ha_high[], m_ha_low[], m_ha_close[];
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CHeikinAshi_Calculator m_ha_engine;
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bool PreparePriceSeries(const int rates_total, const int start_index,
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const double &open[], const double &high[],
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const double &low[], const double &close[]);
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double CalculateChaosPoint(const int idx, const int length);
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public:
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CChaosWeightedRSI_Calculator(void);
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~CChaosWeightedRSI_Calculator(void);
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bool Init(const int rsi_period, const int fdi_period,
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const double sensitivity, const ENUM_APPLIED_PRICE_HA_ALL source);
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void Calculate(const int rates_total, const int prev_calculated,
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const double &open[], const double &high[],
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const double &low[], const double &close[],
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double &out_wrsi[], const int history_limit = 0);
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double GetWRSI(const int index) const;
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int GetWarmupBars(void) const { return MathMax(m_rsi_period, m_fdi_period) + 2; }
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};
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//+------------------------------------------------------------------+
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//| Constructor |
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//+------------------------------------------------------------------+
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CChaosWeightedRSI_Calculator::CChaosWeightedRSI_Calculator(void) :
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m_rsi_period(14),
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m_fdi_period(20),
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m_sensitivity(1.0),
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m_source_type(PRICE_CLOSE_STD),
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m_base_alpha(0.07142857),
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m_delta_x_sq(0.0),
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m_log_fdi_denom(1.0),
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m_inv_fdi_denom(1.0)
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{
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ArraySetAsSeries(m_price, false);
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ArraySetAsSeries(m_avg_gain, false);
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ArraySetAsSeries(m_avg_loss, false);
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ArraySetAsSeries(m_wrsi, false);
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ArraySetAsSeries(m_ha_open, false);
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ArraySetAsSeries(m_ha_high, false);
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ArraySetAsSeries(m_ha_low, false);
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ArraySetAsSeries(m_ha_close, false);
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}
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//+------------------------------------------------------------------+
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//| Destructor |
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//+------------------------------------------------------------------+
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CChaosWeightedRSI_Calculator::~CChaosWeightedRSI_Calculator(void)
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{
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ArrayFree(m_price);
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ArrayFree(m_avg_gain);
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ArrayFree(m_avg_loss);
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ArrayFree(m_wrsi);
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ArrayFree(m_ha_open);
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ArrayFree(m_ha_high);
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ArrayFree(m_ha_low);
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ArrayFree(m_ha_close);
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}
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//+------------------------------------------------------------------+
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//| Initialization |
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//+------------------------------------------------------------------+
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bool CChaosWeightedRSI_Calculator::Init(const int rsi_period, const int fdi_period,
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const double sensitivity, const ENUM_APPLIED_PRICE_HA_ALL source)
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{
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m_rsi_period = (rsi_period < 2) ? 2 : rsi_period;
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m_fdi_period = (fdi_period < 5) ? 5 : fdi_period;
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m_sensitivity = (sensitivity <= 0.0) ? 1.0 : sensitivity;
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m_source_type = source;
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m_base_alpha = 1.0 / (double)m_rsi_period;
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double delta_x = 1.0 / (double)(m_fdi_period - 1);
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m_delta_x_sq = delta_x * delta_x;
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m_log_fdi_denom = MathLog(2.0 * (double)(m_fdi_period - 1));
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m_inv_fdi_denom = (m_log_fdi_denom > 1.0e-9) ? (1.0 / m_log_fdi_denom) : 1.0;
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return true;
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}
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//+------------------------------------------------------------------+
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//| Prepare Price Series (Unified Standard / Heikin Ashi) |
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//+------------------------------------------------------------------+
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bool CChaosWeightedRSI_Calculator::PreparePriceSeries(const int rates_total, const int start_index,
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const double &open[], const double &high[],
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const double &low[], const double &close[])
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{
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if(ArraySize(m_price) != rates_total)
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{
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ArrayResize(m_price, rates_total, 2048);
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ArraySetAsSeries(m_price, false);
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}
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bool is_ha = (m_source_type <= PRICE_HA_CLOSE);
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if(is_ha)
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{
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if(ArraySize(m_ha_open) != rates_total)
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{
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ArrayResize(m_ha_open, rates_total, 2048);
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ArrayResize(m_ha_high, rates_total, 2048);
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ArrayResize(m_ha_low, rates_total, 2048);
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ArrayResize(m_ha_close, rates_total, 2048);
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ArraySetAsSeries(m_ha_open, false);
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ArraySetAsSeries(m_ha_high, false);
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ArraySetAsSeries(m_ha_low, false);
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ArraySetAsSeries(m_ha_close, false);
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}
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m_ha_engine.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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for(int i = start_index; i < rates_total; i++)
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{
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switch(m_source_type)
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{
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case PRICE_HA_OPEN:
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m_price[i] = m_ha_open[i];
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break;
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case PRICE_HA_HIGH:
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m_price[i] = m_ha_high[i];
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break;
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case PRICE_HA_LOW:
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m_price[i] = m_ha_low[i];
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break;
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case PRICE_HA_MEDIAN:
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m_price[i] = (m_ha_high[i] + m_ha_low[i]) * 0.5;
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break;
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case PRICE_HA_TYPICAL:
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m_price[i] = (m_ha_high[i] + m_ha_low[i] + m_ha_close[i]) * 0.333333333333;
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break;
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case PRICE_HA_WEIGHTED:
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m_price[i] = (m_ha_high[i] + m_ha_low[i] + 2.0 * m_ha_close[i]) * 0.25;
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break;
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case PRICE_HA_CLOSE:
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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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}
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else
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{
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for(int i = start_index; i < rates_total; i++)
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{
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switch(m_source_type)
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{
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case PRICE_OPEN_STD:
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m_price[i] = open[i];
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break;
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case PRICE_HIGH_STD:
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m_price[i] = high[i];
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break;
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case PRICE_LOW_STD:
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m_price[i] = low[i];
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break;
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case PRICE_MEDIAN_STD:
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m_price[i] = (high[i] + low[i]) * 0.5;
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break;
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case PRICE_TYPICAL_STD:
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m_price[i] = (high[i] + low[i] + close[i]) * 0.333333333333;
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break;
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case PRICE_WEIGHTED_STD:
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m_price[i] = (high[i] + low[i] + 2.0 * close[i]) * 0.25;
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break;
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case PRICE_CLOSE_STD:
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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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return true;
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}
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//+------------------------------------------------------------------+
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//| Calculate Local Fractal Chaos Ratio [0.0, 1.0] |
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//+------------------------------------------------------------------+
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double CChaosWeightedRSI_Calculator::CalculateChaosPoint(const int idx, const int length)
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{
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if(idx < length - 1)
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return 0.5;
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int win_start = idx - length + 1;
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double max_val = m_price[win_start];
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double min_val = m_price[win_start];
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for(int k = 1; k < length; k++)
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{
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double p = m_price[win_start + k];
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if(p > max_val)
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max_val = p;
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if(p < min_val)
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min_val = p;
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}
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double price_range = max_val - min_val;
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double path_length = 0.0;
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if(price_range > 1.0e-9)
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{
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double inv_range = 1.0 / price_range;
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for(int k = 1; k < length; k++)
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{
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double diff_y = (m_price[win_start + k] - m_price[win_start + k - 1]) * inv_range;
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path_length += MathSqrt(m_delta_x_sq + (diff_y * diff_y));
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}
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}
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else
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{
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path_length = 1.0;
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}
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if(path_length <= 1.0e-9)
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path_length = 1.0e-9;
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double fdi = 1.0 + (MathLog(path_length) * m_inv_fdi_denom);
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double chaos = (fdi - 1.0) / 0.5;
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return MathMax(0.0, MathMin(1.0, chaos));
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}
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//+------------------------------------------------------------------+
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//| Main Incremental Calculation Engine (O(1) on live ticks) |
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//+------------------------------------------------------------------+
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void CChaosWeightedRSI_Calculator::Calculate(const int rates_total, const int prev_calculated,
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const double &open[], const double &high[],
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const double &low[], const double &close[],
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double &out_wrsi[], const int history_limit)
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{
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int warmup = GetWarmupBars();
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if(rates_total < warmup)
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return;
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if(ArraySize(out_wrsi) != rates_total)
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{
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ArrayResize(out_wrsi, rates_total, 2048);
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ArraySetAsSeries(out_wrsi, false);
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}
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// STATE PRESERVATION: Allocate arrays without wiping historical recursive registers!
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if(ArraySize(m_avg_gain) != rates_total)
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{
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int old_sz = ArraySize(m_avg_gain);
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ArrayResize(m_avg_gain, rates_total, 2048);
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ArrayResize(m_avg_loss, rates_total, 2048);
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ArrayResize(m_wrsi, rates_total, 2048);
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ArraySetAsSeries(m_avg_gain, false);
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ArraySetAsSeries(m_avg_loss, false);
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ArraySetAsSeries(m_wrsi, false);
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if(old_sz == 0 || prev_calculated == 0)
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{
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// Cold startup clean initialization
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ArrayInitialize(m_avg_gain, EMPTY_VALUE);
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ArrayInitialize(m_avg_loss, EMPTY_VALUE);
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ArrayInitialize(m_wrsi, 50.0);
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}
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else
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{
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// Append only: initialize newly added elements, NEVER wipe historical memory!
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for(int k = old_sz; k < rates_total; k++)
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{
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m_avg_gain[k] = EMPTY_VALUE;
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m_avg_loss[k] = EMPTY_VALUE;
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m_wrsi[k] = 50.0;
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}
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}
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}
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int start_prep = (prev_calculated > 0) ? (prev_calculated - 1) : 0;
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if(!PreparePriceSeries(rates_total, start_prep, open, high, low, close))
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return;
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int start = (prev_calculated > 0) ? (prev_calculated - 1) : 1;
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int actual_start = 1;
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if(history_limit > 0 && prev_calculated == 0)
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{
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int limit_start = rates_total - history_limit;
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if(limit_start > start)
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{
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start = limit_start;
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actual_start = limit_start;
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}
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}
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if(prev_calculated == 0)
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{
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for(int i = 0; i < start; i++)
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{
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out_wrsi[i] = 50.0;
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m_avg_gain[i] = EMPTY_VALUE;
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m_avg_loss[i] = EMPTY_VALUE;
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m_wrsi[i] = 50.0;
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}
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}
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for(int i = start; i < rates_total; i++)
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{
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double chaos = CalculateChaosPoint(i, m_fdi_period);
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// Dynamically modulated smoothing factor
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double adjusted_alpha = m_base_alpha * MathPow(1.0 - chaos, m_sensitivity);
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adjusted_alpha = MathMax(0.001, MathMin(1.0, adjusted_alpha));
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double change = m_price[i] - m_price[i - 1];
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double gain = MathMax(change, 0.0);
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double loss = MathMax(-change, 0.0);
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// Safe seeding that does not rely on deleted memory
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if(i == actual_start || m_avg_gain[i - 1] == EMPTY_VALUE || m_avg_loss[i - 1] == EMPTY_VALUE)
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{
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m_avg_gain[i] = gain;
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m_avg_loss[i] = loss;
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}
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else
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{
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m_avg_gain[i] = m_avg_gain[i - 1] + adjusted_alpha * (gain - m_avg_gain[i - 1]);
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m_avg_loss[i] = m_avg_loss[i - 1] + adjusted_alpha * (loss - m_avg_loss[i - 1]);
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}
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if(m_avg_loss[i] <= 1.0e-12)
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{
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out_wrsi[i] = 100.0;
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}
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else
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{
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double rs = m_avg_gain[i] / m_avg_loss[i];
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out_wrsi[i] = 100.0 - (100.0 / (1.0 + rs));
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}
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m_wrsi[i] = out_wrsi[i];
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}
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}
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//+------------------------------------------------------------------+
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//| Accessor: Direct WRSI element query |
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//+------------------------------------------------------------------+
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double CChaosWeightedRSI_Calculator::GetWRSI(const int index) const
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{
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if(index >= 0 && index < ArraySize(m_wrsi))
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return m_wrsi[index];
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return 50.0;
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}
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#endif // CHAOS_WEIGHTED_RSI_CALCULATOR_MQH
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//+------------------------------------------------------------------+
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