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refactor: Optimized for incremental calculation

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This commit is contained in:
Toh4iem9
2025-11-30 13:28:17 +01:00
parent 3606bff97e
commit a7d9f8d2be
1 changed files with 145 additions and 88 deletions
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Include/MyIncludes/RSI_Pro_Calculator.mqh
+145 -88
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@@ -8,9 +8,7 @@
#include <MyIncludes\HeikinAshi_Tools.mqh>
//+==================================================================+
//| |
//| CLASS 1: CRSIProCalculator (Base Class) |
//| |
//+==================================================================+
class CRSIProCalculator
{
@@ -20,25 +18,40 @@ protected:
double m_deviation;
ENUM_MA_METHOD m_ma_method;
//--- Persistent Buffers for Incremental Calculation
double m_price[];
double m_rsi_buffer[];
double m_ma_buffer[];
double m_upper_band[];
double m_lower_band[];
virtual bool PreparePriceSeries(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[]);
//--- Persistent State for Wilder's Smoothing
double m_sum_pos;
double m_sum_neg;
//--- Updated: Accepts start_index
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:
CRSIProCalculator(void) {};
CRSIProCalculator(void);
virtual ~CRSIProCalculator(void) {};
bool Init(int rsi_p, int ma_p, ENUM_MA_METHOD ma_m, double dev);
void Calculate(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[],
//--- Updated: Accepts prev_calculated
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_out[], double &ma_out[], double &upper_out[], double &lower_out[]);
};
//+------------------------------------------------------------------+
//| CRSIProCalculator: Initialization |
//| Constructor |
//+------------------------------------------------------------------+
CRSIProCalculator::CRSIProCalculator(void) : m_sum_pos(0), m_sum_neg(0)
{
}
//+------------------------------------------------------------------+
//| Init |
//+------------------------------------------------------------------+
bool CRSIProCalculator::Init(int rsi_p, int ma_p, ENUM_MA_METHOD ma_m, double dev)
{
@@ -46,30 +59,60 @@ bool CRSIProCalculator::Init(int rsi_p, int ma_p, ENUM_MA_METHOD ma_m, double de
m_ma_period = (ma_p < 1) ? 1 : ma_p;
m_ma_method = ma_m;
m_deviation = dev;
m_sum_pos = 0;
m_sum_neg = 0;
return true;
}
//+------------------------------------------------------------------+
//| CRSIProCalculator: Main Calculation Method |
//| Main Calculation (Optimized) |
//+------------------------------------------------------------------+
void CRSIProCalculator::Calculate(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[],
void CRSIProCalculator::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_out[], double &ma_out[], double &upper_out[], double &lower_out[])
{
if(rates_total <= m_rsi_period)
return;
ArrayResize(m_price, rates_total);
ArrayResize(m_rsi_buffer, rates_total);
ArrayResize(m_ma_buffer, rates_total);
ArrayResize(m_upper_band, rates_total);
ArrayResize(m_lower_band, rates_total);
//--- 1. Determine Start Index
int start_index;
if(prev_calculated == 0)
{
start_index = 0;
m_sum_pos = 0;
m_sum_neg = 0;
}
else
start_index = prev_calculated - 1;
if(!PreparePriceSeries(rates_total, price_type, open, high, low, close))
//--- 2. Resize Buffers
if(ArraySize(m_price) != rates_total)
{
ArrayResize(m_price, rates_total);
ArrayResize(m_rsi_buffer, rates_total);
ArrayResize(m_ma_buffer, rates_total);
ArrayResize(m_upper_band, rates_total);
ArrayResize(m_lower_band, rates_total);
}
//--- 3. Prepare Price (Optimized)
if(!PreparePriceSeries(rates_total, start_index, price_type, open, high, low, close))
return;
//--- Step 1: Calculate base RSI
double sum_pos = 0, sum_neg = 0;
for(int i = 1; i < rates_total; i++)
//--- 4. Calculate RSI (Incremental)
int i = start_index;
if(i == 0)
i = 1; // Skip first bar for diff
for(; i < rates_total; i++)
{
double diff = m_price[i] - m_price[i-1];
}
// Reset sums for full loop
double sum_pos = 0;
double sum_neg = 0;
for(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;
@@ -82,11 +125,15 @@ void CRSIProCalculator::Calculate(int rates_total, ENUM_APPLIED_PRICE price_type
else
m_rsi_buffer[i] = 100.0;
}
else
m_rsi_buffer[i] = 0;
}
//--- Step 2: Calculate Moving Average on RSI
//--- 5. Calculate Moving Average on RSI (Optimized)
int ma_start_pos = m_rsi_period + m_ma_period - 1;
for(int i = ma_start_pos; i < rates_total; i++)
int loop_start_ma = MathMax(ma_start_pos, start_index);
for(i = loop_start_ma; i < rates_total; i++)
{
switch(m_ma_method)
{
@@ -134,8 +181,8 @@ void CRSIProCalculator::Calculate(int rates_total, ENUM_APPLIED_PRICE price_type
}
}
//--- Step 3: Calculate Bollinger Bands on the MA line
for(int i = ma_start_pos; i < rates_total; i++)
//--- 6. Calculate Bollinger Bands (Optimized)
for(i = loop_start_ma; i < rates_total; i++)
{
double std_dev_val = 0, sum_sq = 0;
for(int j = 0; j < m_ma_period; j++)
@@ -146,6 +193,8 @@ void CRSIProCalculator::Calculate(int rates_total, ENUM_APPLIED_PRICE price_type
m_lower_band[i] = m_ma_buffer[i] - m_deviation * std_dev_val;
}
//--- 7. Copy to Output
// We copy everything to be safe, ArrayCopy is fast
ArrayCopy(rsi_out, m_rsi_buffer, 0, 0, rates_total);
ArrayCopy(ma_out, m_ma_buffer, 0, 0, rates_total);
ArrayCopy(upper_out, m_upper_band, 0, 0, rates_total);
@@ -153,99 +202,107 @@ void CRSIProCalculator::Calculate(int rates_total, ENUM_APPLIED_PRICE price_type
}
//+------------------------------------------------------------------+
//| CRSIProCalculator: Prepares the source price series. |
//| Prepare Price (Standard - Optimized) |
//+------------------------------------------------------------------+
bool CRSIProCalculator::PreparePriceSeries(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[])
bool CRSIProCalculator::PreparePriceSeries(int rates_total, int start_index, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[])
{
switch(price_type)
// Optimized copy loop
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++)
switch(price_type)
{
case PRICE_CLOSE:
m_price[i] = close[i];
break;
case PRICE_OPEN:
m_price[i] = open[i];
break;
case PRICE_HIGH:
m_price[i] = high[i];
break;
case PRICE_LOW:
m_price[i] = low[i];
break;
case PRICE_MEDIAN:
m_price[i] = (high[i]+low[i])/2.0;
break;
case PRICE_TYPICAL:
for(int i=0; i<rates_total; i++)
break;
case PRICE_TYPICAL:
m_price[i] = (high[i]+low[i]+close[i])/3.0;
break;
case PRICE_WEIGHTED:
for(int i=0; i<rates_total; i++)
break;
case PRICE_WEIGHTED:
m_price[i] = (high[i]+low[i]+close[i]+close[i])/4.0;
break;
default:
return false;
break;
default:
m_price[i] = close[i];
break;
}
}
return true;
}
//+==================================================================+
//| |
//| CLASS 2: CRSIProCalculator_HA (Heikin Ashi) |
//| |
//+==================================================================+
class CRSIProCalculator_HA : public CRSIProCalculator
{
private:
CHeikinAshi_Calculator m_ha_calculator;
// Internal HA buffers
double m_ha_open[], m_ha_high[], m_ha_low[], m_ha_close[];
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, int start_index, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[]) override;
};
//+------------------------------------------------------------------+
//| CRSIProCalculator_HA: Prepares the source price series. |
//| Prepare Price (Heikin Ashi - Optimized) |
//+------------------------------------------------------------------+
bool CRSIProCalculator_HA::PreparePriceSeries(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[])
bool CRSIProCalculator_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[])
{
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);
//--- Corrected: The HA version now uses the selected price type from the HA candles
switch(price_type)
// Resize internal HA buffers
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);
}
//--- STRICT CALL: Use the optimized 10-param HA calculation
m_ha_calculator.Calculate(rates_total, start_index, open, high, low, close,
m_ha_open, m_ha_high, m_ha_low, m_ha_close);
//--- Copy to m_price (Optimized loop)
for(int i = start_index; i < rates_total; i++)
{
switch(price_type)
{
case PRICE_CLOSE:
m_price[i] = m_ha_close[i];
break;
case PRICE_OPEN:
m_price[i] = m_ha_open[i];
break;
case PRICE_HIGH:
m_price[i] = m_ha_high[i];
break;
case PRICE_LOW:
m_price[i] = m_ha_low[i];
break;
case PRICE_MEDIAN:
m_price[i] = (m_ha_high[i]+m_ha_low[i])/2.0;
break;
case PRICE_TYPICAL:
m_price[i] = (m_ha_high[i]+m_ha_low[i]+m_ha_close[i])/3.0;
break;
case PRICE_WEIGHTED:
m_price[i] = (m_ha_high[i]+m_ha_low[i]+2*m_ha_close[i])/4.0;
break;
default:
m_price[i] = m_ha_close[i];
break;
}
}
return true;
}
//+------------------------------------------------------------------+
//+------------------------------------------------------------------+