diff --git a/Include/MyIncludes/Stochastic_Adaptive_RSI_Calculator.mqh b/Include/MyIncludes/Stochastic_Adaptive_RSI_Calculator.mqh index 8aabd61..8455ee6 100644 --- a/Include/MyIncludes/Stochastic_Adaptive_RSI_Calculator.mqh +++ b/Include/MyIncludes/Stochastic_Adaptive_RSI_Calculator.mqh @@ -1,56 +1,233 @@ //+------------------------------------------------------------------+ //| Stochastic_Adaptive_RSI_Calculator.mqh | -//| Engine for Variable-Length Stochastic applied to RSI. | +//| VERSION 3.00: Selectable ER Source for HA mode. | //| Copyright 2025, xxxxxxxx | //+------------------------------------------------------------------+ #property copyright "Copyright 2025, xxxxxxxx" #include -#include // For ENUM_MA_TYPE +#include +//--- New Enum for ER Source +enum ENUM_ADAPTIVE_SOURCE + { + ADAPTIVE_SOURCE_STANDARD, // Calculate ER on Standard Price (Recommended) + ADAPTIVE_SOURCE_HEIKIN_ASHI // Calculate ER on Heikin Ashi Price + }; + +//+==================================================================+ +//| CLASS 1: CStochasticAdaptiveRSICalculator | //+==================================================================+ class CStochasticAdaptiveRSICalculator { protected: - int m_rsi_period, m_er_period, m_min_period, m_max_period, m_slowing_period, m_d_period; - ENUM_MA_METHOD m_d_ma_type; - double m_price[]; // Only for ER calculation + int m_rsi_period, m_er_period, m_min_period, m_max_period; + ENUM_ADAPTIVE_SOURCE m_adaptive_source; // Store the user preference + //--- Engines CRSIProCalculator *m_rsi_calculator; + CMovingAverageCalculator m_slowing_engine; + CMovingAverageCalculator m_signal_engine; - virtual bool PreparePriceSeries(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[]); - void CalculateMA(const double &source_array[], double &dest_array[], int period, ENUM_MA_METHOD method, int start_pos); + //--- Persistent Buffers + double m_price[]; // Used for ER calculation + double m_rsi_buffer[]; + double m_er_buffer[]; + double m_nsp_buffer[]; + double m_raw_k[]; + + 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: CStochasticAdaptiveRSICalculator(void); virtual ~CStochasticAdaptiveRSICalculator(void); - bool Init(int rsi_p, int er_p, int min_p, int max_p, int slow_p, int d_p, ENUM_MA_METHOD d_ma); - void Calculate(int rates_total, const double &open[], const double &high[], const double &low[], const double &close[], ENUM_APPLIED_PRICE price_type, + //--- Init now takes ENUM_ADAPTIVE_SOURCE + bool Init(int rsi_p, int er_p, int min_p, int max_p, int slow_p, ENUM_MA_TYPE slow_ma, int d_p, ENUM_MA_TYPE d_ma, ENUM_ADAPTIVE_SOURCE adapt_src); + + 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 &k_buffer[], double &d_buffer[]); }; //+------------------------------------------------------------------+ -//| | +//| Constructor | //+------------------------------------------------------------------+ +CStochasticAdaptiveRSICalculator::CStochasticAdaptiveRSICalculator(void) + { + m_rsi_calculator = new CRSIProCalculator(); + } + +//+------------------------------------------------------------------+ +//| Destructor | +//+------------------------------------------------------------------+ +CStochasticAdaptiveRSICalculator::~CStochasticAdaptiveRSICalculator(void) + { + if(CheckPointer(m_rsi_calculator) != POINTER_INVALID) + delete m_rsi_calculator; + } + +//+------------------------------------------------------------------+ +//| Init | +//+------------------------------------------------------------------+ +bool CStochasticAdaptiveRSICalculator::Init(int rsi_p, int er_p, int min_p, int max_p, int slow_p, ENUM_MA_TYPE slow_ma, int d_p, ENUM_MA_TYPE d_ma, ENUM_ADAPTIVE_SOURCE adapt_src) + { + m_rsi_period = (rsi_p < 1) ? 1 : rsi_p; + m_er_period = (er_p < 1) ? 1 : er_p; + m_min_period = (min_p < 1) ? 1 : min_p; + m_max_period = (max_p <= m_min_period) ? m_min_period + 1 : max_p; + m_adaptive_source = adapt_src; + + if(CheckPointer(m_rsi_calculator) == POINTER_INVALID) + return false; + if(!m_rsi_calculator.Init(m_rsi_period, 1, MODE_SMA, 2.0)) + return false; + + if(!m_slowing_engine.Init(slow_p, slow_ma)) + return false; + if(!m_signal_engine.Init(d_p, d_ma)) + return false; + + return true; + } + +//+------------------------------------------------------------------+ +//| Main Calculation | +//+------------------------------------------------------------------+ +void CStochasticAdaptiveRSICalculator::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 &k_buffer[], double &d_buffer[]) + { +// Minimum bars check + if(rates_total <= m_rsi_period + m_er_period + m_max_period) + return; + if(CheckPointer(m_rsi_calculator) == POINTER_INVALID) + return; + + int start_index = (prev_calculated == 0) ? 0 : prev_calculated - 1; + +// Resize Buffers + if(ArraySize(m_price) != rates_total) + { + ArrayResize(m_price, rates_total); + ArrayResize(m_rsi_buffer, rates_total); + ArrayResize(m_er_buffer, rates_total); + ArrayResize(m_nsp_buffer, rates_total); + ArrayResize(m_raw_k, rates_total); + } + + if(!PreparePriceSeries(rates_total, start_index, price_type, open, high, low, close)) + return; + +//--- 1. Calculate RSI (Incremental) + double dummy1[], dummy2[], dummy3[]; + m_rsi_calculator.Calculate(rates_total, prev_calculated, price_type, open, high, low, close, + m_rsi_buffer, dummy1, dummy2, dummy3); + +//--- 2. Calculate Efficiency Ratio (ER) on Price + int loop_start_er = MathMax(m_er_period, start_index); + + for(int i = loop_start_er; i < rates_total; i++) + { + double direction = MathAbs(m_price[i] - m_price[i - m_er_period]); + double volatility = 0; + for(int j = 0; j < m_er_period; j++) + volatility += MathAbs(m_price[i - j] - m_price[i - j - 1]); + + m_er_buffer[i] = (volatility > 0.000001) ? direction / volatility : 0; + } + +//--- 3. Calculate Adaptive Period (NSP) + for(int i = loop_start_er; i < rates_total; i++) + { + m_nsp_buffer[i] = (int)(m_er_buffer[i] * (m_max_period - m_min_period) + m_min_period); + if(m_nsp_buffer[i] < 1) + m_nsp_buffer[i] = 1; + } + +//--- 4. Calculate Raw %K (Adaptive) on RSI + int raw_k_start = MathMax(m_rsi_period, m_er_period) + m_max_period - 1; + int loop_start_k = MathMax(raw_k_start, start_index); + + for(int i = loop_start_k; i < rates_total; i++) + { + int current_nsp = (int)m_nsp_buffer[i]; + double highest = m_rsi_buffer[i]; + double lowest = m_rsi_buffer[i]; + + for(int j = 1; j < current_nsp; j++) + { + if(i-j < 0) + break; + highest = MathMax(highest, m_rsi_buffer[i-j]); + lowest = MathMin(lowest, m_rsi_buffer[i-j]); + } + + double range = highest - lowest; + if(range > 0.00001) + m_raw_k[i] = (m_rsi_buffer[i] - lowest) / range * 100.0; + else + m_raw_k[i] = (i > 0) ? m_raw_k[i-1] : 50.0; + } + +//--- 5. Calculate Slow %K (Main Line) + m_slowing_engine.CalculateOnArray(rates_total, prev_calculated, m_raw_k, k_buffer, raw_k_start); + +//--- 6. Calculate %D (Signal Line) + int d_offset = raw_k_start + m_slowing_engine.GetPeriod() - 1; + m_signal_engine.CalculateOnArray(rates_total, prev_calculated, k_buffer, d_buffer, d_offset); + } + +//+------------------------------------------------------------------+ +//| Prepare Price (Standard) | +//+------------------------------------------------------------------+ +bool CStochasticAdaptiveRSICalculator::PreparePriceSeries(int rates_total, int start_index, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[]) + { + for(int i = start_index; 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: + m_price[i] = (high[i]+low[i]+close[i])/3.0; + break; + case PRICE_WEIGHTED: + m_price[i] = (high[i]+low[i]+2*close[i])/4.0; + break; + default: + m_price[i] = close[i]; + break; + } + } + return true; + } + +//+==================================================================+ +//| CLASS 2: CStochasticAdaptiveRSICalculator_HA | +//+==================================================================+ class CStochasticAdaptiveRSICalculator_HA : public CStochasticAdaptiveRSICalculator { +private: + CHeikinAshi_Calculator m_ha_calculator; + double m_ha_open[], m_ha_high[], m_ha_low[], m_ha_close[]; public: CStochasticAdaptiveRSICalculator_HA(void); +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; }; -//+==================================================================+ -//| METHOD IMPLEMENTATIONS | -//+==================================================================+ - -//+------------------------------------------------------------------+ -//| | -//+------------------------------------------------------------------+ -CStochasticAdaptiveRSICalculator::CStochasticAdaptiveRSICalculator(void) { m_rsi_calculator = new CRSIProCalculator(); } -//+------------------------------------------------------------------+ -//| | -//+------------------------------------------------------------------+ -CStochasticAdaptiveRSICalculator::~CStochasticAdaptiveRSICalculator(void) { if(CheckPointer(m_rsi_calculator) != POINTER_INVALID) delete m_rsi_calculator; } //+------------------------------------------------------------------+ //| | //+------------------------------------------------------------------+ @@ -64,185 +241,92 @@ CStochasticAdaptiveRSICalculator_HA::CStochasticAdaptiveRSICalculator_HA(void) //+------------------------------------------------------------------+ //| | //+------------------------------------------------------------------+ -bool CStochasticAdaptiveRSICalculator::Init(int rsi_p, int er_p, int min_p, int max_p, int slow_p, int d_p, ENUM_MA_METHOD d_ma) +bool CStochasticAdaptiveRSICalculator_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[]) { - m_rsi_period = (rsi_p < 1) ? 1 : rsi_p; - m_er_period = (er_p < 1) ? 1 : er_p; - m_min_period = (min_p < 1) ? 1 : min_p; - m_max_period = (max_p <= m_min_period) ? m_min_period + 1 : max_p; - m_slowing_period = (slow_p < 1) ? 1 : slow_p; - m_d_period = (d_p < 1) ? 1 : d_p; - m_d_ma_type = d_ma; - if(CheckPointer(m_rsi_calculator) == POINTER_INVALID) - return false; - return m_rsi_calculator.Init(m_rsi_period, 1, MODE_SMA, 2.0); // Dummy params for MA/Bands - } - -//+------------------------------------------------------------------+ -//| | -//+------------------------------------------------------------------+ -void CStochasticAdaptiveRSICalculator::Calculate(int rates_total, const double &open[], const double &high[], const double &low[], const double &close[], ENUM_APPLIED_PRICE price_type, - double &k_buffer[], double &d_buffer[]) - { - if(rates_total <= m_rsi_period + m_er_period + m_max_period) - return; - if(!PreparePriceSeries(rates_total, price_type, open, high, low, close)) - return; - - double rsi_buffer[], dummy1[], dummy2[], dummy3[]; - ArrayResize(rsi_buffer, rates_total); - m_rsi_calculator.Calculate(rates_total, price_type, open, high, low, close, rsi_buffer, dummy1, dummy2, dummy3); - - double er_buffer[], nsp_buffer[]; - ArrayResize(er_buffer, rates_total); - ArrayResize(nsp_buffer, rates_total); - for(int i = m_er_period; i < rates_total; i++) + if(ArraySize(m_ha_open) != rates_total) { - double direction = MathAbs(m_price[i] - m_price[i - m_er_period]); - double volatility = 0; - for(int j = 0; j < m_er_period; j++) - volatility += MathAbs(m_price[i - j] - m_price[i - j - 1]); - er_buffer[i] = (volatility > 0.000001) ? direction / volatility : 0; - nsp_buffer[i] = (int)(er_buffer[i] * (m_max_period - m_min_period) + m_min_period); - if(nsp_buffer[i] < 1) - nsp_buffer[i] = 1; + ArrayResize(m_ha_open, rates_total); + ArrayResize(m_ha_high, rates_total); + ArrayResize(m_ha_low, rates_total); + ArrayResize(m_ha_close, rates_total); } - double raw_k[]; - ArrayResize(raw_k, rates_total); - for(int i = m_rsi_period + m_er_period + m_max_period - 1; i < rates_total; i++) - { - int current_nsp = (int)nsp_buffer[i]; - double highest = rsi_buffer[i], lowest = rsi_buffer[i]; - for(int j = 1; j < current_nsp; j++) - { - if(i-j < 0) - break; - highest = MathMax(highest, rsi_buffer[i-j]); - lowest = MathMin(lowest, rsi_buffer[i-j]); - } - double range = highest - lowest; - if(range > 0.00001) - raw_k[i] = (rsi_buffer[i] - lowest) / range * 100.0; - else - raw_k[i] = (i > 0) ? raw_k[i-1] : 50.0; - } +// We always need HA candles for the RSI calculation (handled internally by m_rsi_calculator) +// But we also need them here if m_adaptive_source is HEIKIN_ASHI + m_ha_calculator.Calculate(rates_total, start_index, open, high, low, close, m_ha_open, m_ha_high, m_ha_low, m_ha_close); - int k_slow_start = m_rsi_period + m_er_period + m_max_period + m_slowing_period - 2; - CalculateMA(raw_k, k_buffer, m_slowing_period, MODE_SMA, k_slow_start); - int d_start = k_slow_start + m_d_period - 1; - CalculateMA(k_buffer, d_buffer, m_d_period, m_d_ma_type, d_start); - } - -//+------------------------------------------------------------------+ -//| | -//+------------------------------------------------------------------+ -void CStochasticAdaptiveRSICalculator::CalculateMA(const double &source_array[], double &dest_array[], int period, ENUM_MA_METHOD method, int start_pos) - { - for(int i = start_pos; i < ArraySize(source_array); i++) - { - switch(method) - { - case MODE_EMA: - case MODE_SMMA: - if(i == start_pos) - { - double sum=0; - int count=0; - for(int j=0; j 0) - dest_array[i]=sum/count; - } - else - { - if(method==MODE_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 MODE_LWMA: - { - double sum=0, w_sum=0; - for(int j=0; j0) - dest_array[i]=sum/w_sum; - } - break; - default: // MODE_SMA - { - double sum=0; - int count=0; - for(int j=0; j 0) - dest_array[i]=sum/count; - } - break; - } - } - } - -//+------------------------------------------------------------------+ -//| | -//+------------------------------------------------------------------+ -bool CStochasticAdaptiveRSICalculator::PreparePriceSeries(int rates_total, 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) +// Decision Logic: Which price to use for ER? + if(m_adaptive_source == ADAPTIVE_SOURCE_HEIKIN_ASHI) { - 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