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fix: Fixed: Preserved Persistent Smoother History on Resize
This commit is contained in:
Toh4iem9
@@ -1,9 +1,10 @@
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//+------------------------------------------------------------------+
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//| EScore_Calculator.mqh|
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//| Engine for Statistical E-Score (Ehlers Smoother Z-Score) |
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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 "1.10" // Upgraded with strict internal chronological sorting safeguards
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#property version "3.20" // Fixed: Preserved Persistent Smoother History on Resize
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#ifndef ESCORE_CALCULATOR_MQH
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#define ESCORE_CALCULATOR_MQH
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@@ -18,101 +19,256 @@ class CEScoreCalculator
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private:
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int m_period;
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ENUM_SMOOTHER_TYPE m_type;
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bool m_use_ha;
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ENUM_APPLIED_PRICE_HA_ALL m_source_price;
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CEhlersSmootherCalculator *m_smoother_calc;
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CHeikinAshi_Calculator m_ha_calc;
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double m_smooth_buf[];
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double m_price_buf[];
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double m_ha_open[], m_ha_high[], m_ha_low[], m_ha_close[];
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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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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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public:
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CEScoreCalculator();
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~CEScoreCalculator();
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CEScoreCalculator(void);
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~CEScoreCalculator(void);
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bool Init(int period, ENUM_SMOOTHER_TYPE type, bool use_ha);
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void Calculate(int rates_total, int prev_calculated, ENUM_APPLIED_PRICE price_type,
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const double &open[], const double &high[], const double &low[], const double &close[],
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double &out_escore[]);
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//--- Legacy Compatible Init (3 Parameters)
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bool Init(const int period, const ENUM_SMOOTHER_TYPE type, const bool use_ha)
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{
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ENUM_APPLIED_PRICE_HA_ALL src = use_ha ? PRICE_HA_CLOSE : PRICE_CLOSE_STD;
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return Init(period, type, src);
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}
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//--- Enhanced Pro Init (3 Parameters with Full Price Enum)
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bool Init(const int period, const ENUM_SMOOTHER_TYPE type, const ENUM_APPLIED_PRICE_HA_ALL price_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_escore[]);
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//--- Legacy Overload with price_type parameter
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void Calculate(const int rates_total, const int prev_calculated, const ENUM_APPLIED_PRICE price_type,
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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_escore[])
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{
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Calculate(rates_total, prev_calculated, open, high, low, close, out_escore);
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}
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int GetRequiredWarmup(void) const { return m_period + 3; }
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};
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//+------------------------------------------------------------------+
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//| Constructor |
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//+------------------------------------------------------------------+
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CEScoreCalculator::CEScoreCalculator() : m_period(20), m_type(SUPERSMOOTHER), m_use_ha(false), m_smoother_calc(NULL) {}
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CEScoreCalculator::CEScoreCalculator(void) : m_period(20),
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m_type(SUPERSMOOTHER),
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m_source_price(PRICE_CLOSE_STD),
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m_smoother_calc(NULL)
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{
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ArraySetAsSeries(m_smooth_buf, false);
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ArraySetAsSeries(m_price_buf, 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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CEScoreCalculator::~CEScoreCalculator()
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CEScoreCalculator::~CEScoreCalculator(void)
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{
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if(CheckPointer(m_smoother_calc) != POINTER_INVALID)
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{
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delete m_smoother_calc;
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m_smoother_calc = NULL;
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}
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}
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//+------------------------------------------------------------------+
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//| Init |
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//| Enhanced Pro Initialization |
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//+------------------------------------------------------------------+
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bool CEScoreCalculator::Init(int period, ENUM_SMOOTHER_TYPE type, bool use_ha)
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bool CEScoreCalculator::Init(const int period, const ENUM_SMOOTHER_TYPE type, const ENUM_APPLIED_PRICE_HA_ALL price_source)
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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_use_ha = use_ha;
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m_period = (period < 2) ? 2 : period;
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m_type = type;
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m_source_price = price_source;
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if(m_use_ha)
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m_smoother_calc = new CEhlersSmootherCalculator_HA();
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else
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m_smoother_calc = new CEhlersSmootherCalculator();
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if(CheckPointer(m_smoother_calc) != POINTER_INVALID)
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{
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delete m_smoother_calc;
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m_smoother_calc = NULL;
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}
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m_smoother_calc = new CEhlersSmootherCalculator();
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if(CheckPointer(m_smoother_calc) == POINTER_INVALID)
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return false;
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return m_smoother_calc.Init(m_period, m_type, SOURCE_PRICE);
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return m_smoother_calc.Init(m_period, m_type, SOURCE_PRICE, m_source_price);
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}
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//+------------------------------------------------------------------+
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//| Calculate |
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//| Prepare Price Series (Standard / Heikin Ashi) |
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//+------------------------------------------------------------------+
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void CEScoreCalculator::Calculate(int rates_total, int prev_calculated, ENUM_APPLIED_PRICE price_type,
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const double &open[], const double &high[], const double &low[], const double &close[],
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bool CEScoreCalculator::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_buf) != rates_total)
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{
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ArrayResize(m_price_buf, rates_total);
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ArraySetAsSeries(m_price_buf, false);
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}
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bool is_heikin_ashi = (m_source_price <= PRICE_HA_CLOSE);
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if(is_heikin_ashi)
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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);
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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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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_calc.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_price)
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{
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case PRICE_HA_OPEN:
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m_price_buf[i] = m_ha_open[i];
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break;
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case PRICE_HA_HIGH:
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m_price_buf[i] = m_ha_high[i];
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break;
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case PRICE_HA_LOW:
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m_price_buf[i] = m_ha_low[i];
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break;
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case PRICE_HA_MEDIAN:
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m_price_buf[i] = (m_ha_high[i] + m_ha_low[i]) / 2.0;
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break;
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case PRICE_HA_TYPICAL:
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m_price_buf[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_HA_WEIGHTED:
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m_price_buf[i] = (m_ha_high[i] + m_ha_low[i] + 2.0 * m_ha_close[i]) / 4.0;
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break;
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case PRICE_HA_CLOSE:
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default:
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m_price_buf[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_price)
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{
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case PRICE_OPEN_STD:
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m_price_buf[i] = open[i];
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break;
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case PRICE_HIGH_STD:
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m_price_buf[i] = high[i];
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break;
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case PRICE_LOW_STD:
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m_price_buf[i] = low[i];
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break;
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case PRICE_MEDIAN_STD:
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m_price_buf[i] = (high[i] + low[i]) / 2.0;
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break;
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case PRICE_TYPICAL_STD:
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m_price_buf[i] = (high[i] + low[i] + close[i]) / 3.0;
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break;
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case PRICE_WEIGHTED_STD:
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m_price_buf[i] = (high[i] + low[i] + 2.0 * close[i]) / 4.0;
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break;
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case PRICE_CLOSE_STD:
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default:
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m_price_buf[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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//| Main Incremental Calculation Loop |
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//+------------------------------------------------------------------+
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void CEScoreCalculator::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_escore[])
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{
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if(rates_total < m_period + 5)
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int warmup = GetRequiredWarmup();
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if(rates_total <= warmup || CheckPointer(m_smoother_calc) == POINTER_INVALID)
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return;
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if(CheckPointer(m_smoother_calc) == POINTER_INVALID)
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return;
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// Safe allocation of destination array without wiping history
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if(ArraySize(out_escore) != rates_total)
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{
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ArrayResize(out_escore, rates_total);
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ArraySetAsSeries(out_escore, false);
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}
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//--- Resize Internal Buffers and force strict chronological sorting
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// Safe allocation of internal smoother buffer (Preserves historical elements)
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if(ArraySize(m_smooth_buf) != rates_total)
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{
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ArrayResize(m_smooth_buf, rates_total);
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ArraySetAsSeries(m_smooth_buf, false); // Fixed: strict chronological safety on internal buffers
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ArraySetAsSeries(m_smooth_buf, false);
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}
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// 1. Prepare aligned source prices (Standard or Heikin Ashi)
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if(!PreparePriceSeries(rates_total, prev_calculated, price_type, open, high, low, close))
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int start_index = (prev_calculated > 0) ? (prev_calculated - 1) : 0;
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// 1. Prepare Price Data
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if(!PreparePriceSeries(rates_total, start_index, open, high, low, close))
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return;
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// 2. Calculate underlying Ehlers Smoother
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m_smoother_calc.Calculate(rates_total, prev_calculated, price_type, open, high, low, close, m_smooth_buf);
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// 2. Compute Underlying Ehlers Smoother
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m_smoother_calc.Calculate(rates_total, prev_calculated, open, high, low, close, m_smooth_buf);
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// 3. Compute rolling Z-Score of the difference (m_price_buf - m_smooth_buf)
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int start = (prev_calculated > m_period) ? prev_calculated - 1 : m_period;
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// 3. Clean invalid initial range strictly on fresh calculation
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if(prev_calculated == 0)
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{
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for(int i = 0; i < warmup; i++)
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out_escore[i] = 0.0;
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}
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int start = (prev_calculated > warmup) ? (prev_calculated - 1) : warmup;
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if(start < warmup)
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start = warmup;
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// 4. Compute Rolling Z-Score of difference (m_price_buf - m_smooth_buf)
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for(int i = start; i < rates_total; i++)
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{
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double current_smooth = m_smooth_buf[i];
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double p = m_price_buf[i];
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if(current_smooth == 0.0 || current_smooth == EMPTY_VALUE)
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current_smooth = p;
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{
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out_escore[i] = 0.0;
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continue;
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}
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double sum_sq_diff = 0;
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double sum_sq_diff = 0.0;
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for(int k = 0; k < m_period; k++)
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{
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int idx = i - k;
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@@ -126,7 +282,7 @@ void CEScoreCalculator::Calculate(int rates_total, int prev_calculated, ENUM_APP
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sum_sq_diff += diff * diff;
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}
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double std_dev = MathSqrt(sum_sq_diff / m_period);
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double std_dev = MathSqrt(sum_sq_diff / (double)m_period);
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if(std_dev > 1.0e-9)
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out_escore[i] = (p - current_smooth) / std_dev;
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@@ -135,101 +291,5 @@ void CEScoreCalculator::Calculate(int rates_total, int prev_calculated, ENUM_APP
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}
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}
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//+------------------------------------------------------------------+
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//| PreparePriceSeries |
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//+------------------------------------------------------------------+
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bool CEScoreCalculator::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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int start = (start_index == 0) ? 0 : start_index;
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if(ArraySize(m_price_buf) != rates_total)
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{
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ArrayResize(m_price_buf, rates_total);
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ArraySetAsSeries(m_price_buf, false); // Fixed: strict chronological safety on internal buffers
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}
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if(m_use_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);
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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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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_calc.Calculate(rates_total, start, open, high, low, close, m_ha_open, m_ha_high, m_ha_low, m_ha_close);
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for(int i = start; i < rates_total; i++)
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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_buf[i] = m_ha_close[i];
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break;
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case PRICE_OPEN:
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m_price_buf[i] = m_ha_open[i];
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break;
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case PRICE_HIGH:
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m_price_buf[i] = m_ha_high[i];
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break;
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case PRICE_LOW:
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m_price_buf[i] = m_ha_low[i];
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break;
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case PRICE_MEDIAN:
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m_price_buf[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_buf[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_buf[i] = (m_ha_high[i] + m_ha_low[i] + 2.0 * m_ha_close[i]) / 4.0;
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break;
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default:
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m_price_buf[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; i < rates_total; i++)
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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_buf[i] = close[i];
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break;
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case PRICE_OPEN:
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m_price_buf[i] = open[i];
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break;
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case PRICE_HIGH:
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m_price_buf[i] = high[i];
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break;
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case PRICE_LOW:
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m_price_buf[i] = low[i];
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break;
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case PRICE_MEDIAN:
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m_price_buf[i] = (high[i] + low[i]) / 2.0;
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break;
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case PRICE_TYPICAL:
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m_price_buf[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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m_price_buf[i] = (high[i] + low[i] + 2.0 * close[i]) / 4.0;
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break;
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default:
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m_price_buf[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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#endif // ESCORE_CALCULATOR_MQH
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//+------------------------------------------------------------------+
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