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refactor: Optimized for incremental calculation

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This commit is contained in:
Toh4iem9
2025-11-29 13:18:58 +01:00
parent a2526aa532
commit 8fd721cea0
1 changed files with 69 additions and 127 deletions
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Include/MyIncludes/MACD_SuperSmoother_Histogram_Calculator.mqh
+69 -127
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@@ -1,6 +1,6 @@
//+------------------------------------------------------------------+
//| MACD_SuperSmoother_Histogram_Calculator.mqh|
//| VERSION 1.10: Added selectable signal line. |
//| VERSION 1.20: Optimized for incremental calculation. |
//| Copyright 2025, xxxxxxxx |
//+------------------------------------------------------------------+
#property copyright "Copyright 2025, xxxxxxxx"
@@ -24,23 +24,29 @@ protected:
int m_fast_period, m_slow_period, m_signal_period;
ENUM_SMOOTHING_METHOD m_signal_ma_type;
CEhlersSmootherCalculator *m_fast_smoother, *m_slow_smoother;
double m_sig_f1, m_sig_f2;
//--- Engines
CEhlersSmootherCalculator *m_fast_smoother;
CEhlersSmootherCalculator *m_slow_smoother;
CEhlersSmootherCalculator *m_signal_smoother;
CMovingAverageCalculator *m_signal_ma_engine;
//--- Persistent buffers for intermediate calculations
double m_fast_buffer[];
double m_slow_buffer[];
virtual CEhlersSmootherCalculator *CreateSmootherInstance(void);
void CalculateMA(const double &source_array[], double &dest_array[], int period, ENUM_SMOOTHING_METHOD method, int start_pos);
public:
CMACDSuperSmootherHistogramCalculator(void);
virtual ~CMACDSuperSmootherHistogramCalculator(void);
bool Init(int fast_p, int slow_p, int signal_p, ENUM_SMOOTHING_METHOD signal_type);
void Calculate(int rates_total, const double &open[], const double &high[], const double &low[], const double &close[], ENUM_APPLIED_PRICE price_type,
//--- Updated: Accepts prev_calculated
void Calculate(int rates_total, int prev_calculated, const double &open[], const double &high[], const double &low[], const double &close[], ENUM_APPLIED_PRICE price_type,
double &histogram[]);
};
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
class CMACDSuperSmootherHistogramCalculator_HA : public CMACDSuperSmootherHistogramCalculator
{
@@ -50,7 +56,7 @@ protected:
//+==================================================================+
//| METHOD IMPLEMENTATIONS |
//+================================----------------==================+
//+==================================================================+
//+------------------------------------------------------------------+
//| |
@@ -59,8 +65,8 @@ CMACDSuperSmootherHistogramCalculator::CMACDSuperSmootherHistogramCalculator(voi
{
m_fast_smoother = NULL;
m_slow_smoother = NULL;
m_sig_f1 = 0;
m_sig_f2 = 0;
m_signal_smoother = NULL;
m_signal_ma_engine = NULL;
}
//+------------------------------------------------------------------+
@@ -72,6 +78,10 @@ CMACDSuperSmootherHistogramCalculator::~CMACDSuperSmootherHistogramCalculator(vo
delete m_fast_smoother;
if(CheckPointer(m_slow_smoother) != POINTER_INVALID)
delete m_slow_smoother;
if(CheckPointer(m_signal_smoother) != POINTER_INVALID)
delete m_signal_smoother;
if(CheckPointer(m_signal_ma_engine) != POINTER_INVALID)
delete m_signal_ma_engine;
}
//+------------------------------------------------------------------+
@@ -95,8 +105,6 @@ bool CMACDSuperSmootherHistogramCalculator::Init(int fast_p, int slow_p, int sig
m_slow_period = slow_p;
m_signal_period = (signal_p < 1) ? 1 : signal_p;
m_signal_ma_type = signal_type;
m_sig_f1 = 0;
m_sig_f2 = 0;
m_fast_smoother = CreateSmootherInstance();
m_slow_smoother = CreateSmootherInstance();
@@ -105,136 +113,70 @@ bool CMACDSuperSmootherHistogramCalculator::Init(int fast_p, int slow_p, int sig
CheckPointer(m_slow_smoother) == POINTER_INVALID || !m_slow_smoother.Init(m_slow_period, SUPERSMOOTHER, SOURCE_PRICE))
return false;
if(m_signal_ma_type == SMOOTH_SuperSmoother)
{
m_signal_smoother = new CEhlersSmootherCalculator();
if(!m_signal_smoother.Init(m_signal_period, SUPERSMOOTHER, SOURCE_PRICE))
return false;
}
else
{
m_signal_ma_engine = new CMovingAverageCalculator();
ENUM_MA_TYPE ma_type = (ENUM_MA_TYPE)m_signal_ma_type;
if(!m_signal_ma_engine.Init(m_signal_period, ma_type))
return false;
}
return true;
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
void CMACDSuperSmootherHistogramCalculator::Calculate(int rates_total, const double &open[], const double &high[], const double &low[], const double &close[], ENUM_APPLIED_PRICE price_type,
void CMACDSuperSmootherHistogramCalculator::Calculate(int rates_total, int prev_calculated, const double &open[], const double &high[], const double &low[], const double &close[], ENUM_APPLIED_PRICE price_type,
double &histogram[])
{
if(rates_total < m_slow_period + m_signal_period)
return;
double macd_line[], signal_line[];
//--- Resize persistent internal buffers
if(ArraySize(m_fast_buffer) != rates_total)
ArrayResize(m_fast_buffer, rates_total);
if(ArraySize(m_slow_buffer) != rates_total)
ArrayResize(m_slow_buffer, rates_total);
//--- Calculate Fast and Slow Smoothers (Incremental)
m_fast_smoother.Calculate(rates_total, prev_calculated, price_type, open, high, low, close, m_fast_buffer);
m_slow_smoother.Calculate(rates_total, prev_calculated, price_type, open, high, low, close, m_slow_buffer);
//--- Calculate MACD Line
double macd_line[];
ArrayResize(macd_line, rates_total);
int start_index = (prev_calculated > 0) ? prev_calculated - 1 : 0;
for(int i = start_index; i < rates_total; i++)
macd_line[i] = m_fast_buffer[i] - m_slow_buffer[i];
//--- Calculate Signal Line
double signal_line[];
ArrayResize(signal_line, rates_total);
double fast_buffer[], slow_buffer[];
ArrayResize(fast_buffer, rates_total);
ArrayResize(slow_buffer, rates_total);
m_fast_smoother.Calculate(rates_total, price_type, open, high, low, close, fast_buffer);
m_slow_smoother.Calculate(rates_total, price_type, open, high, low, close, slow_buffer);
for(int i = 0; i < rates_total; i++)
macd_line[i] = fast_buffer[i] - slow_buffer[i];
if(m_signal_ma_type == SMOOTH_SuperSmoother)
{
m_signal_smoother.Calculate(rates_total, prev_calculated, PRICE_CLOSE,
macd_line, macd_line, macd_line, macd_line,
signal_line);
}
else
{
m_signal_ma_engine.Calculate(rates_total, prev_calculated, PRICE_CLOSE,
macd_line, macd_line, macd_line, macd_line,
signal_line);
}
CalculateMA(macd_line, signal_line, m_signal_period, m_signal_ma_type, m_slow_period + m_signal_period - 1);
for(int i = 0; i < rates_total; i++)
//--- Calculate Histogram
for(int i = start_index; i < rates_total; i++)
histogram[i] = macd_line[i] - signal_line[i];
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
void CMACDSuperSmootherHistogramCalculator::CalculateMA(const double &source_array[], double &dest_array[], int period, ENUM_SMOOTHING_METHOD method, int start_pos)
{
for(int i = start_pos; i < ArraySize(source_array); i++)
{
switch(method)
{
case SMOOTH_SuperSmoother:
{
double a1 = exp(-M_SQRT2 * M_PI / period);
double b1 = 2.0 * a1 * cos(M_SQRT2 * M_PI / period);
double c2 = b1, c3 = -a1 * a1, c1 = 1.0 - c2 - c3;
if(i==start_pos)
{
double sum=0;
int count=0;
for(int j=0; j<period; j++)
{
if(source_array[i-j] != EMPTY_VALUE)
{
sum+=source_array[i-j];
count++;
}
}
if(count > 0)
dest_array[i] = sum/count;
m_sig_f1 = dest_array[i];
m_sig_f2 = (i > 0 && dest_array[i-1] != EMPTY_VALUE) ? dest_array[i-1] : dest_array[i];
}
else
{
dest_array[i] = c1 * (source_array[i] + source_array[i-1]) / 2.0 + c2 * m_sig_f1 + c3 * m_sig_f2;
m_sig_f2 = m_sig_f1;
m_sig_f1 = dest_array[i];
}
break;
}
case SMOOTH_EMA:
case SMOOTH_SMMA:
if(i == start_pos)
{
double sum=0;
int count=0;
for(int j=0; j<period; j++)
{
if(source_array[i-j] != EMPTY_VALUE)
{
sum+=source_array[i-j];
count++;
}
}
if(count > 0)
dest_array[i]=sum/count;
}
else
{
if(method==SMOOTH_EMA)
{
double pr=2.0/(period+1.0);
dest_array[i]=source_array[i]*pr+dest_array[i-1]*(1.0-pr);
}
else
dest_array[i]=(dest_array[i-1]*(period-1)+source_array[i])/period;
}
break;
case SMOOTH_LWMA:
{
double sum=0, w_sum=0;
for(int j=0; j<period; j++)
{
if(source_array[i-j] == EMPTY_VALUE)
continue;
int w=period-j;
sum+=source_array[i-j]*w;
w_sum+=w;
}
if(w_sum>0)
dest_array[i]=sum/w_sum;
}
break;
default: // SMOOTH_SMA
{
double sum=0;
int count=0;
for(int j=0; j<period; j++)
{
if(source_array[i-j] != EMPTY_VALUE)
{
sum+=source_array[i-j];
count++;
}
}
if(count > 0)
dest_array[i]=sum/count;
}
break;
}
}
}
//+------------------------------------------------------------------+
//+------------------------------------------------------------------+