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refactor: calculation

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This commit is contained in:
Toh4iem9
2025-10-01 12:18:59 +02:00
parent cea0ebc960
commit 85ee9b0bee
1 changed files with 94 additions and 73 deletions
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Include/MyIncludes/TDI_Calculator.mqh
+94 -73
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@@ -9,27 +9,16 @@
//+==================================================================+
//| |
//| CLASS 1: CTDICalculator (Standard) |
//| CLASS 1: CTDICalculator (Base Class) |
//| |
//+==================================================================+
class CTDICalculator
{
protected:
int m_rsi_period;
int m_price_period;
int m_signal_period;
int m_base_period;
int m_rsi_period, m_price_period, m_signal_period, m_base_period;
double m_std_dev;
double m_price[];
double m_rsi_buffer[];
double m_price_line[];
double m_signal_line[];
double m_base_line[];
double m_upper_band[];
double m_lower_band[];
double CalculateSMA(int position, int period, const double &source_buffer[]);
virtual bool PreparePriceSeries(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[]);
public:
@@ -38,8 +27,8 @@ public:
bool Init(int rsi_p, int price_p, int signal_p, int base_p, double dev);
void Calculate(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[],
double &price_line_out[], double &signal_line_out[], double &base_line_out[],
double &upper_band_out[], double &lower_band_out[]);
double &price_line_out[], double &signal_line_out[], double &base_line_out[],
double &upper_band_out[], double &lower_band_out[]);
};
//+------------------------------------------------------------------+
@@ -47,83 +36,99 @@ public:
//+------------------------------------------------------------------+
bool CTDICalculator::Init(int rsi_p, int price_p, int signal_p, int base_p, double dev)
{
m_rsi_period = (rsi_p < 1) ? 1 : rsi_p;
m_price_period = (price_p < 1) ? 1 : price_p;
m_rsi_period = (rsi_p < 1) ? 1 : rsi_p;
m_price_period = (price_p < 1) ? 1 : price_p;
m_signal_period = (signal_p < 1) ? 1 : signal_p;
m_base_period = (base_p < 1) ? 1 : base_p;
m_std_dev = (dev <= 0) ? 1.618 : dev;
m_base_period = (base_p < 1) ? 1 : base_p;
m_std_dev = (dev <= 0) ? 1.618 : dev;
return true;
}
//+------------------------------------------------------------------+
//| CTDICalculator: Main Calculation Method |
//| CTDICalculator: Main Calculation Method (Definition-True) |
//+------------------------------------------------------------------+
void CTDICalculator::Calculate(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[],
double &price_line_out[], double &signal_line_out[], double &base_line_out[],
double &upper_band_out[], double &lower_band_out[])
{
if(rates_total <= m_rsi_period)
if(rates_total <= m_rsi_period + m_base_period)
return;
ArrayResize(m_price, rates_total);
ArrayResize(m_rsi_buffer, rates_total);
ArrayResize(m_price_line, rates_total);
ArrayResize(m_signal_line, rates_total);
ArrayResize(m_base_line, rates_total);
ArrayResize(m_upper_band, rates_total);
ArrayResize(m_lower_band, rates_total);
if(!PreparePriceSeries(rates_total, price_type, open, high, low, close))
return;
double rsi_buffer[];
ArrayResize(rsi_buffer, rates_total);
//--- STEP 1: Calculate RSI (Wilder's smoothing)
double sum_pos = 0, sum_neg = 0;
for(int 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)));
rsi_buffer[i] = 100.0 - (100.0 / (1.0 + (sum_pos / sum_neg)));
else
m_rsi_buffer[i] = 100.0;
rsi_buffer[i] = 100.0;
}
}
for(int i = m_rsi_period + m_price_period; i < rates_total; i++)
m_price_line[i] = CalculateSMA(i, m_price_period, m_rsi_buffer);
for(int i = m_rsi_period + m_price_period + m_signal_period; i < rates_total; i++)
m_signal_line[i] = CalculateSMA(i, m_signal_period, m_price_line);
for(int i = m_rsi_period + m_price_period + m_base_period; i < rates_total; i++)
m_base_line[i] = CalculateSMA(i, m_base_period, m_price_line);
for(int i = m_rsi_period + m_price_period + m_base_period; i < rates_total; i++)
//--- STEP 2: Calculate Price Line (SMA on RSI)
for(int i = m_rsi_period + m_price_period - 2; i < rates_total; i++)
{
double std_dev_val = 0, sum_sq = 0;
for(int j = 0; j < m_base_period; j++)
sum_sq += pow(m_price_line[i-j] - m_base_line[i], 2);
std_dev_val = sqrt(sum_sq / m_base_period);
m_upper_band[i] = m_base_line[i] + m_std_dev * std_dev_val;
m_lower_band[i] = m_base_line[i] - m_std_dev * std_dev_val;
double sum=0;
for(int j=0; j<m_price_period; j++)
sum+=rsi_buffer[i-j];
price_line_out[i]=sum/m_price_period;
}
ArrayCopy(price_line_out, m_price_line, 0, 0, rates_total);
ArrayCopy(signal_line_out, m_signal_line, 0, 0, rates_total);
ArrayCopy(base_line_out, m_base_line, 0, 0, rates_total);
ArrayCopy(upper_band_out, m_upper_band, 0, 0, rates_total);
ArrayCopy(lower_band_out, m_lower_band, 0, 0, rates_total);
//--- STEP 3: Calculate Signal Line (SMA on Price Line)
for(int i = m_rsi_period + m_price_period + m_signal_period - 3; i < rates_total; i++)
{
double sum=0;
for(int j=0; j<m_signal_period; j++)
sum+=price_line_out[i-j];
signal_line_out[i]=sum/m_signal_period;
}
//--- STEP 4: Calculate Base Line (SMA on Price Line)
for(int i = m_rsi_period + m_price_period + m_base_period - 3; i < rates_total; i++)
{
double sum=0;
for(int j=0; j<m_base_period; j++)
sum+=price_line_out[i-j];
base_line_out[i]=sum/m_base_period;
}
//--- STEP 5: Calculate Volatility Bands (Bollinger Bands on Base Line, using RSI data for StdDev)
int bands_start = m_rsi_period + m_base_period - 2; // BBands on RSI, centered on Base Line
for(int i = bands_start; i < rates_total; i++)
{
double std_dev = 0, sum_sq = 0;
// The standard deviation for TDI bands is calculated on the RSI, not the base line itself.
double base_line_ma_on_rsi = 0;
double sum_rsi = 0;
for(int j=0; j<m_base_period; j++)
sum_rsi += rsi_buffer[i-j];
base_line_ma_on_rsi = sum_rsi / m_base_period;
for(int j = 0; j < m_base_period; j++)
sum_sq += MathPow(rsi_buffer[i-j] - base_line_ma_on_rsi, 2);
std_dev = MathSqrt(sum_sq / m_base_period);
upper_band_out[i] = base_line_out[i] + m_std_dev * std_dev;
lower_band_out[i] = base_line_out[i] - m_std_dev * std_dev;
}
}
//+------------------------------------------------------------------+
//| CTDICalculator: Prepares the source price series. |
//| CTDICalculator: Prepares the standard source price series. |
//+------------------------------------------------------------------+
bool CTDICalculator::PreparePriceSeries(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[])
{
ArrayResize(m_price, rates_total);
switch(price_type)
{
case PRICE_CLOSE:
@@ -156,17 +161,6 @@ bool CTDICalculator::PreparePriceSeries(int rates_total, ENUM_APPLIED_PRICE pric
return true;
}
//+------------------------------------------------------------------+
//| CTDICalculator: Helper to calculate SMA on an internal buffer |
//+------------------------------------------------------------------+
double CTDICalculator::CalculateSMA(int position, int period, const double &source_buffer[])
{
double sum = 0;
for(int i = 0; i < period; i++)
sum += source_buffer[position - i];
return (period > 0) ? sum / period : 0;
}
//+==================================================================+
//| |
//| CLASS 2: CTDICalculator_HA (Heikin Ashi) |
@@ -176,13 +170,12 @@ class CTDICalculator_HA : public CTDICalculator
{
private:
CHeikinAshi_Calculator m_ha_calculator;
protected:
virtual bool PreparePriceSeries(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[]);
virtual bool PreparePriceSeries(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[]) override;
};
//+------------------------------------------------------------------+
//| CTDICalculator_HA: Prepares the source price series. |
//| CTDICalculator_HA: Prepares the Heikin Ashi source price. |
//+------------------------------------------------------------------+
bool CTDICalculator_HA::PreparePriceSeries(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[])
{
@@ -193,8 +186,36 @@ bool CTDICalculator_HA::PreparePriceSeries(int rates_total, ENUM_APPLIED_PRICE p
ArrayResize(ha_close, rates_total);
m_ha_calculator.Calculate(rates_total, open, high, low, close, ha_open, ha_high, ha_low, ha_close);
//--- The HA version ALWAYS uses the HA Close price for the RSI calculation
ArrayCopy(m_price, ha_close, 0, 0, rates_total);
ArrayResize(m_price, rates_total);
switch(price_type)
{
case PRICE_CLOSE:
ArrayCopy(m_price, ha_close, 0, 0, rates_total);
break;
case PRICE_OPEN:
ArrayCopy(m_price, ha_open, 0, 0, rates_total);
break;
case PRICE_HIGH:
ArrayCopy(m_price, ha_high, 0, 0, rates_total);
break;
case PRICE_LOW:
ArrayCopy(m_price, ha_low, 0, 0, rates_total);
break;
case PRICE_MEDIAN:
for(int i=0; i<rates_total; i++)
m_price[i] = (ha_high[i]+ha_low[i])/2.0;
break;
case PRICE_TYPICAL:
for(int i=0; i<rates_total; i++)
m_price[i] = (ha_high[i]+ha_low[i]+ha_close[i])/3.0;
break;
case PRICE_WEIGHTED:
for(int i=0; i<rates_total; i++)
m_price[i] = (ha_high[i]+ha_low[i]+ha_close[i]+ha_close[i])/4.0;
break;
default:
return false;
}
return true;
}
//+------------------------------------------------------------------+