mirror of
https://github.com/softwaredevelop/mql5.git
synced 2026-08-13 12:28:05 +00:00
feat(indicators): Safety checks refined
This commit is contained in:
Toh4iem9
@@ -1,102 +1,139 @@
|
||||
//+------------------------------------------------------------------+
|
||||
//| RSI_Adaptive_Calculator.mqh |
|
||||
//| Engine for a variable-length RSI (Dynamic Momentum Index). |
|
||||
//| VERSION 3.01: Safety checks refined. |
|
||||
//| Copyright 2025, xxxxxxxx |
|
||||
//+------------------------------------------------------------------+
|
||||
#property copyright "Copyright 2025, xxxxxxxx"
|
||||
|
||||
#include <MyIncludes\HeikinAshi_Tools.mqh>
|
||||
|
||||
enum ENUM_ADAPTIVE_SOURCE_RSI
|
||||
{
|
||||
ADAPTIVE_SOURCE_RSI_STANDARD, // Calculate Volatility on Standard Price
|
||||
ADAPTIVE_SOURCE_RSI_HEIKIN_ASHI // Calculate Volatility on Heikin Ashi Price
|
||||
};
|
||||
|
||||
//+==================================================================+
|
||||
//| CLASS 1: CAdaptiveRSICalculator (Base Class) |
|
||||
//+==================================================================+
|
||||
class CAdaptiveRSICalculator
|
||||
{
|
||||
protected:
|
||||
int m_pivotal_period, m_vola_short, m_vola_long;
|
||||
double m_price[];
|
||||
ENUM_ADAPTIVE_SOURCE_RSI m_adaptive_source;
|
||||
|
||||
virtual bool PreparePriceSeries(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[]);
|
||||
//--- Persistent Buffers
|
||||
double m_price[]; // Used for Volatility calculation
|
||||
double m_rsi_source[]; // Used for RSI calculation
|
||||
double m_vola_sum[];
|
||||
double m_vola_avg[];
|
||||
double m_nsp_buffer[];
|
||||
|
||||
virtual 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[]);
|
||||
|
||||
public:
|
||||
CAdaptiveRSICalculator(void) {};
|
||||
virtual ~CAdaptiveRSICalculator(void) {};
|
||||
|
||||
bool Init(int pivotal_p, int vola_s, int vola_l);
|
||||
void Calculate(int rates_total, const double &open[], const double &high[], const double &low[], const double &close[], ENUM_APPLIED_PRICE price_type,
|
||||
bool Init(int pivotal_p, int vola_s, int vola_l, ENUM_ADAPTIVE_SOURCE_RSI adapt_src);
|
||||
|
||||
void Calculate(int rates_total, int prev_calculated, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[],
|
||||
double &rsi_buffer[]);
|
||||
};
|
||||
|
||||
//+------------------------------------------------------------------+
|
||||
//| |
|
||||
//| Init |
|
||||
//+------------------------------------------------------------------+
|
||||
class CAdaptiveRSICalculator_HA : public CAdaptiveRSICalculator
|
||||
{
|
||||
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[]) override;
|
||||
};
|
||||
|
||||
//+==================================================================+
|
||||
//| METHOD IMPLEMENTATIONS |
|
||||
//+==================================================================+
|
||||
|
||||
//+------------------------------------------------------------------+
|
||||
//| |
|
||||
//+------------------------------------------------------------------+
|
||||
bool CAdaptiveRSICalculator::Init(int pivotal_p, int vola_s, int vola_l)
|
||||
bool CAdaptiveRSICalculator::Init(int pivotal_p, int vola_s, int vola_l, ENUM_ADAPTIVE_SOURCE_RSI adapt_src)
|
||||
{
|
||||
m_pivotal_period = (pivotal_p < 2) ? 2 : pivotal_p;
|
||||
m_vola_short = (vola_s < 1) ? 1 : vola_s;
|
||||
m_vola_long = (vola_l <= m_vola_short) ? m_vola_short + 1 : vola_l;
|
||||
m_adaptive_source = adapt_src;
|
||||
return true;
|
||||
}
|
||||
|
||||
//+------------------------------------------------------------------+
|
||||
//| |
|
||||
//| Main Calculation (Optimized) |
|
||||
//+------------------------------------------------------------------+
|
||||
void CAdaptiveRSICalculator::Calculate(int rates_total, const double &open[], const double &high[], const double &low[], const double &close[], ENUM_APPLIED_PRICE price_type,
|
||||
void CAdaptiveRSICalculator::Calculate(int rates_total, int prev_calculated, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[],
|
||||
double &rsi_buffer[])
|
||||
{
|
||||
if(rates_total <= m_vola_long + m_pivotal_period)
|
||||
return;
|
||||
if(!PreparePriceSeries(rates_total, price_type, open, high, low, close))
|
||||
// Safety Check: Ensure we have enough bars for the longest possible lookback
|
||||
// Max lookback = VolaLong + Max possible RSI Period (approx 2 * Pivotal)
|
||||
if(rates_total <= m_vola_long + m_pivotal_period * 2)
|
||||
return;
|
||||
|
||||
double vola_sum[], vola_avg[], nsp_buffer[];
|
||||
ArrayResize(vola_sum, rates_total);
|
||||
ArrayResize(vola_avg, rates_total);
|
||||
ArrayResize(nsp_buffer, rates_total);
|
||||
int start_index;
|
||||
if(prev_calculated == 0)
|
||||
start_index = 0;
|
||||
else
|
||||
start_index = prev_calculated - 1;
|
||||
|
||||
//--- Step 1: Calculate Volatility Ratio and Adaptive Period (NSP)
|
||||
for(int i = m_vola_short; i < rates_total; i++)
|
||||
if(ArraySize(m_price) != rates_total)
|
||||
{
|
||||
for(int j = 0; j < m_vola_short; j++)
|
||||
vola_sum[i] += MathAbs(m_price[i-j] - m_price[i-j-1]);
|
||||
ArrayResize(m_price, rates_total);
|
||||
ArrayResize(m_rsi_source, rates_total);
|
||||
ArrayResize(m_vola_sum, rates_total);
|
||||
ArrayResize(m_vola_avg, rates_total);
|
||||
ArrayResize(m_nsp_buffer, rates_total);
|
||||
}
|
||||
for(int i = m_vola_short + m_vola_long - 1; i < rates_total; i++)
|
||||
|
||||
if(!PreparePriceSeries(rates_total, start_index, price_type, open, high, low, close))
|
||||
return;
|
||||
|
||||
//--- 4. Calculate Volatility Sum (Incremental)
|
||||
int loop_start_vola = MathMax(m_vola_short, start_index);
|
||||
|
||||
for(int i = loop_start_vola; i < rates_total; i++)
|
||||
{
|
||||
double sum = 0;
|
||||
for(int j = 0; j < m_vola_short; j++)
|
||||
sum += MathAbs(m_price[i-j] - m_price[i-j-1]);
|
||||
m_vola_sum[i] = sum;
|
||||
}
|
||||
|
||||
//--- 5. Calculate Volatility Avg and Adaptive Period (NSP)
|
||||
int loop_start_nsp = MathMax(m_vola_short + m_vola_long - 1, start_index);
|
||||
|
||||
for(int i = loop_start_nsp; i < rates_total; i++)
|
||||
{
|
||||
double sum_of_sums = 0;
|
||||
for(int j = 0; j < m_vola_long; j++)
|
||||
sum_of_sums += vola_sum[i-j];
|
||||
vola_avg[i] = sum_of_sums / m_vola_long;
|
||||
sum_of_sums += m_vola_sum[i-j];
|
||||
m_vola_avg[i] = sum_of_sums / m_vola_long;
|
||||
|
||||
double vola_ratio = (vola_avg[i] > 0.000001) ? vola_sum[i] / vola_avg[i] : 1.0;
|
||||
double vola_ratio = (m_vola_avg[i] > 0.000001) ? m_vola_sum[i] / m_vola_avg[i] : 1.0;
|
||||
|
||||
// Calculate adaptive period
|
||||
int period = (int)round(m_pivotal_period / vola_ratio);
|
||||
nsp_buffer[i] = fmax(2, fmin(m_pivotal_period * 2, period)); // Clamp period to a reasonable range
|
||||
|
||||
// Clamp period between 2 and 2*Pivotal to prevent extreme noise or flatness
|
||||
m_nsp_buffer[i] = fmax(2, fmin(m_pivotal_period * 2, period));
|
||||
}
|
||||
|
||||
//--- Step 2: Calculate Simple RSI using the adaptive period
|
||||
for(int i = m_vola_long + m_pivotal_period; i < rates_total; i++)
|
||||
//--- 6. Calculate Simple RSI using m_rsi_source
|
||||
// Start where we have valid NSP data
|
||||
int loop_start_rsi = MathMax(m_vola_short + m_vola_long, start_index);
|
||||
|
||||
for(int i = loop_start_rsi; i < rates_total; i++)
|
||||
{
|
||||
int current_nsp = (int)nsp_buffer[i];
|
||||
if(i < current_nsp)
|
||||
int current_nsp = (int)m_nsp_buffer[i];
|
||||
|
||||
// Safety check: Ensure we don't look back before the start of the array
|
||||
if(i <= current_nsp)
|
||||
{
|
||||
rsi_buffer[i] = 50.0;
|
||||
continue;
|
||||
}
|
||||
|
||||
double sum_pos = 0, sum_neg = 0;
|
||||
|
||||
// Brute force loop is required here because 'current_nsp' changes per bar
|
||||
for(int j = 0; j < current_nsp; j++)
|
||||
{
|
||||
double diff = m_price[i-j] - m_price[i-j-1];
|
||||
double diff = m_rsi_source[i-j] - m_rsi_source[i-j-1];
|
||||
if(diff > 0)
|
||||
sum_pos += diff;
|
||||
else
|
||||
@@ -111,90 +148,142 @@ void CAdaptiveRSICalculator::Calculate(int rates_total, const double &open[], co
|
||||
}
|
||||
|
||||
//+------------------------------------------------------------------+
|
||||
//| |
|
||||
//| Prepare Price (Standard) |
|
||||
//+------------------------------------------------------------------+
|
||||
bool CAdaptiveRSICalculator::PreparePriceSeries(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[])
|
||||
bool CAdaptiveRSICalculator::PreparePriceSeries(int rates_total, int start_index, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[])
|
||||
{
|
||||
if(ArraySize(m_price) != rates_total)
|
||||
if(ArrayResize(m_price, rates_total) != rates_total)
|
||||
return false;
|
||||
|
||||
switch(price_type)
|
||||
for(int i = start_index; i < rates_total; i++)
|
||||
{
|
||||
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;
|
||||
double p;
|
||||
switch(price_type)
|
||||
{
|
||||
case PRICE_CLOSE:
|
||||
p = close[i];
|
||||
break;
|
||||
case PRICE_OPEN:
|
||||
p = open[i];
|
||||
break;
|
||||
case PRICE_HIGH:
|
||||
p = high[i];
|
||||
break;
|
||||
case PRICE_LOW:
|
||||
p = low[i];
|
||||
break;
|
||||
case PRICE_MEDIAN:
|
||||
p = (high[i]+low[i])/2.0;
|
||||
break;
|
||||
case PRICE_TYPICAL:
|
||||
p = (high[i]+low[i]+close[i])/3.0;
|
||||
break;
|
||||
case PRICE_WEIGHTED:
|
||||
p = (high[i]+low[i]+2*close[i])/4.0;
|
||||
break;
|
||||
default:
|
||||
p = close[i];
|
||||
break;
|
||||
}
|
||||
m_price[i] = p; // Volatility Source
|
||||
m_rsi_source[i] = p; // RSI Source
|
||||
}
|
||||
return true;
|
||||
}
|
||||
|
||||
//+------------------------------------------------------------------+
|
||||
//| |
|
||||
//+------------------------------------------------------------------+
|
||||
bool CAdaptiveRSICalculator_HA::PreparePriceSeries(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[])
|
||||
//+==================================================================+
|
||||
//| CLASS 2: CAdaptiveRSICalculator_HA |
|
||||
//+==================================================================+
|
||||
class CAdaptiveRSICalculator_HA : public CAdaptiveRSICalculator
|
||||
{
|
||||
double ha_open[], ha_high[], ha_low[], ha_close[];
|
||||
ArrayResize(ha_open, rates_total);
|
||||
ArrayResize(ha_high, rates_total);
|
||||
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);
|
||||
private:
|
||||
CHeikinAshi_Calculator m_ha_calculator;
|
||||
double m_ha_open[], m_ha_high[], m_ha_low[], m_ha_close[];
|
||||
protected:
|
||||
virtual 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[]) override;
|
||||
};
|
||||
|
||||
if(ArraySize(m_price) != rates_total)
|
||||
if(ArrayResize(m_price, rates_total) != rates_total)
|
||||
return false;
|
||||
|
||||
switch(price_type)
|
||||
//+------------------------------------------------------------------+
|
||||
//| Prepare Price (Heikin Ashi) |
|
||||
//+------------------------------------------------------------------+
|
||||
bool CAdaptiveRSICalculator_HA::PreparePriceSeries(int rates_total, int start_index, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[])
|
||||
{
|
||||
if(ArraySize(m_ha_open) != rates_total)
|
||||
{
|
||||
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;
|
||||
ArrayResize(m_ha_open, rates_total);
|
||||
ArrayResize(m_ha_high, rates_total);
|
||||
ArrayResize(m_ha_low, rates_total);
|
||||
ArrayResize(m_ha_close, rates_total);
|
||||
}
|
||||
m_ha_calculator.Calculate(rates_total, start_index, open, high, low, close, m_ha_open, m_ha_high, m_ha_low, m_ha_close);
|
||||
|
||||
for(int i = start_index; i < rates_total; i++)
|
||||
{
|
||||
double ha_p;
|
||||
switch(price_type)
|
||||
{
|
||||
case PRICE_CLOSE:
|
||||
ha_p = m_ha_close[i];
|
||||
break;
|
||||
case PRICE_OPEN:
|
||||
ha_p = m_ha_open[i];
|
||||
break;
|
||||
case PRICE_HIGH:
|
||||
ha_p = m_ha_high[i];
|
||||
break;
|
||||
case PRICE_LOW:
|
||||
ha_p = m_ha_low[i];
|
||||
break;
|
||||
case PRICE_MEDIAN:
|
||||
ha_p = (m_ha_high[i]+m_ha_low[i])/2.0;
|
||||
break;
|
||||
case PRICE_TYPICAL:
|
||||
ha_p = (m_ha_high[i]+m_ha_low[i]+m_ha_close[i])/3.0;
|
||||
break;
|
||||
case PRICE_WEIGHTED:
|
||||
ha_p = (m_ha_high[i]+m_ha_low[i]+2*m_ha_close[i])/4.0;
|
||||
break;
|
||||
default:
|
||||
ha_p = m_ha_close[i];
|
||||
break;
|
||||
}
|
||||
|
||||
m_rsi_source[i] = ha_p; // RSI uses HA
|
||||
|
||||
if(m_adaptive_source == ADAPTIVE_SOURCE_RSI_HEIKIN_ASHI)
|
||||
{
|
||||
m_price[i] = ha_p;
|
||||
}
|
||||
else
|
||||
{
|
||||
// Recalculate standard price for volatility
|
||||
double std_p;
|
||||
switch(price_type)
|
||||
{
|
||||
case PRICE_CLOSE:
|
||||
std_p = close[i];
|
||||
break;
|
||||
case PRICE_OPEN:
|
||||
std_p = open[i];
|
||||
break;
|
||||
case PRICE_HIGH:
|
||||
std_p = high[i];
|
||||
break;
|
||||
case PRICE_LOW:
|
||||
std_p = low[i];
|
||||
break;
|
||||
case PRICE_MEDIAN:
|
||||
std_p = (high[i]+low[i])/2.0;
|
||||
break;
|
||||
case PRICE_TYPICAL:
|
||||
std_p = (high[i]+low[i]+close[i])/3.0;
|
||||
break;
|
||||
case PRICE_WEIGHTED:
|
||||
std_p = (high[i]+low[i]+2*close[i])/4.0;
|
||||
break;
|
||||
default:
|
||||
std_p = close[i];
|
||||
break;
|
||||
}
|
||||
m_price[i] = std_p;
|
||||
}
|
||||
}
|
||||
return true;
|
||||
}
|
||||
|
||||
Reference in New Issue
Block a user