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refactor: SOURCE_MOMENTUM

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Toh4iem9
2025-10-28 12:09:31 +01:00
parent 1b3c7a845a
commit 91453ab216
1 changed files with 81 additions and 75 deletions
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Include/MyIncludes/Butterworth_Calculator.mqh
+81 -75
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@@ -1,28 +1,23 @@
//+------------------------------------------------------------------+
//| Butterworth_Calculator.mqh |
//| Calculation engine for the John Ehlers' Butterworth Filter. |
//| Can be applied to Price or Momentum. |
//| Copyright 2025, xxxxxxxx |
//+------------------------------------------------------------------+
#property copyright "Copyright 2025, xxxxxxxx"
#include <MyIncludes\HeikinAshi_Tools.mqh>
enum ENUM_BUTTERWORTH_POLES
{
POLES_TWO = 2,
POLES_THREE = 3
};
enum ENUM_BUTTERWORTH_POLES { POLES_TWO = 2, POLES_THREE = 3 };
enum ENUM_INPUT_SOURCE { SOURCE_PRICE, SOURCE_MOMENTUM };
//+==================================================================+
//| |
//| CLASS 1: CButterworthCalculator (Base Class) |
//| |
//+==================================================================+
class CButterworthCalculator
{
protected:
int m_period;
ENUM_BUTTERWORTH_POLES m_poles;
ENUM_INPUT_SOURCE m_source_type;
double m_price[];
virtual bool PreparePriceSeries(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[]);
@@ -31,15 +26,16 @@ public:
CButterworthCalculator(void) {};
virtual ~CButterworthCalculator(void) {};
bool Init(int period, ENUM_BUTTERWORTH_POLES poles);
bool Init(int period, ENUM_BUTTERWORTH_POLES poles, ENUM_INPUT_SOURCE source_type);
void Calculate(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[], double &filter_buffer[]);
};
//+------------------------------------------------------------------+
bool CButterworthCalculator::Init(int period, ENUM_BUTTERWORTH_POLES poles)
bool CButterworthCalculator::Init(int period, ENUM_BUTTERWORTH_POLES poles, ENUM_INPUT_SOURCE source_type)
{
m_period = (period < 2) ? 2 : period;
m_poles = poles;
m_source_type = source_type;
return true;
}
@@ -51,38 +47,31 @@ void CButterworthCalculator::Calculate(int rates_total, ENUM_APPLIED_PRICE price
if(!PreparePriceSeries(rates_total, price_type, open, high, low, close))
return;
// --- State variables for recursive calculation ---
double f1=0, f2=0, f3=0; // f[1], f[2], f[3]
double f1=0, f2=0, f3=0;
if(m_poles == POLES_TWO)
{
// --- Calculate coefficients for 2-pole filter ---
double a = exp(-1.414 * M_PI / m_period);
double b = 2.0 * a * cos(1.414 * M_PI / m_period); // MQL5 cos uses radians
double b = 2.0 * a * cos(1.414 * M_PI / m_period);
double c1 = (1.0 - b + a*a) / 4.0;
for(int i = 2; i < rates_total; i++)
{
double current_f = b * f1 - a * a * f2 + c1 * (m_price[i] + 2.0 * m_price[i-1] + m_price[i-2]);
filter_buffer[i] = current_f;
// Update state
f2 = f1;
f1 = current_f;
}
}
else // POLES_THREE
{
// --- Calculate coefficients for 3-pole filter ---
double a = exp(-M_PI / m_period);
double b = 2.0 * a * cos(1.738 * M_PI / m_period); // MQL5 cos uses radians
double b = 2.0 * a * cos(1.738 * M_PI / m_period);
double c = a * a;
double c1 = (1.0 - b + c) * (1.0 - c) / 8.0;
for(int i = 3; i < rates_total; i++)
{
double current_f = (b + c) * f1 - (c + b*c) * f2 + c*c * f3 + c1 * (m_price[i] + 3.0 * m_price[i-1] + 3.0 * m_price[i-2] + m_price[i-3]);
filter_buffer[i] = current_f;
// Update state
f3 = f2;
f2 = f1;
f1 = current_f;
@@ -94,34 +83,42 @@ void CButterworthCalculator::Calculate(int rates_total, ENUM_APPLIED_PRICE price
bool CButterworthCalculator::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)
if(m_source_type == SOURCE_PRICE)
{
case PRICE_CLOSE:
ArrayCopy(m_price, close, 0, 0, rates_total);
break;
case PRICE_OPEN:
ArrayCopy(m_price, open, 0, 0, rates_total);
break;
case PRICE_HIGH:
ArrayCopy(m_price, high, 0, 0, rates_total);
break;
case PRICE_LOW:
ArrayCopy(m_price, low, 0, 0, rates_total);
break;
case PRICE_MEDIAN:
for(int i=0; i<rates_total; i++)
m_price[i] = (high[i]+low[i])/2.0;
break;
case PRICE_TYPICAL:
for(int i=0; i<rates_total; i++)
m_price[i] = (high[i]+low[i]+close[i])/3.0;
break;
case PRICE_WEIGHTED:
for(int i=0; i<rates_total; i++)
m_price[i] = (high[i]+low[i]+close[i]+close[i])/4.0;
break;
default:
return false;
switch(price_type)
{
case PRICE_CLOSE:
ArrayCopy(m_price, close, 0, 0, rates_total);
break;
case PRICE_OPEN:
ArrayCopy(m_price, open, 0, 0, rates_total);
break;
case PRICE_HIGH:
ArrayCopy(m_price, high, 0, 0, rates_total);
break;
case PRICE_LOW:
ArrayCopy(m_price, low, 0, 0, rates_total);
break;
case PRICE_MEDIAN:
for(int i=0; i<rates_total; i++)
m_price[i] = (high[i]+low[i])/2.0;
break;
case PRICE_TYPICAL:
for(int i=0; i<rates_total; i++)
m_price[i] = (high[i]+low[i]+close[i])/3.0;
break;
case PRICE_WEIGHTED:
for(int i=0; i<rates_total; i++)
m_price[i] = (high[i]+low[i]+close[i]+close[i])/4.0;
break;
default:
return false;
}
}
else // SOURCE_MOMENTUM
{
for(int i=0; i<rates_total; i++)
m_price[i] = close[i] - open[i];
}
return true;
}
@@ -144,35 +141,44 @@ bool CButterworthCalculator_HA::PreparePriceSeries(int rates_total, ENUM_APPLIED
ArrayResize(ha_low, rates_total);
ArrayResize(ha_close, rates_total);
m_ha_calculator.Calculate(rates_total, open, high, low, close, ha_open, ha_high, ha_low, ha_close);
ArrayResize(m_price, rates_total);
switch(price_type)
if(m_source_type == SOURCE_PRICE)
{
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;
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;
}
}
else // SOURCE_MOMENTUM
{
for(int i=0; i<rates_total; i++)
m_price[i] = ha_close[i] - ha_open[i];
}
return true;
}