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refactor: Selectable ER Source for HA mode
This commit is contained in:
Toh4iem9
@@ -1,56 +1,233 @@
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//+------------------------------------------------------------------+
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//| Stochastic_Adaptive_RSI_Calculator.mqh |
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//| Engine for Variable-Length Stochastic applied to RSI. |
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//| VERSION 3.00: Selectable ER Source for HA mode. |
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//| Copyright 2025, xxxxxxxx |
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//+------------------------------------------------------------------+
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#property copyright "Copyright 2025, xxxxxxxx"
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#include <MyIncludes\RSI_Pro_Calculator.mqh>
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#include <MyIncludes\MovingAverage_Engine.mqh> // For ENUM_MA_TYPE
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#include <MyIncludes\MovingAverage_Engine.mqh>
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//--- New Enum for ER Source
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enum ENUM_ADAPTIVE_SOURCE
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{
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ADAPTIVE_SOURCE_STANDARD, // Calculate ER on Standard Price (Recommended)
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ADAPTIVE_SOURCE_HEIKIN_ASHI // Calculate ER on Heikin Ashi Price
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};
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//+==================================================================+
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//| CLASS 1: CStochasticAdaptiveRSICalculator |
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//+==================================================================+
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class CStochasticAdaptiveRSICalculator
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{
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protected:
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int m_rsi_period, m_er_period, m_min_period, m_max_period, m_slowing_period, m_d_period;
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ENUM_MA_METHOD m_d_ma_type;
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double m_price[]; // Only for ER calculation
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int m_rsi_period, m_er_period, m_min_period, m_max_period;
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ENUM_ADAPTIVE_SOURCE m_adaptive_source; // Store the user preference
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//--- Engines
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CRSIProCalculator *m_rsi_calculator;
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CMovingAverageCalculator m_slowing_engine;
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CMovingAverageCalculator m_signal_engine;
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virtual bool PreparePriceSeries(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[]);
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void CalculateMA(const double &source_array[], double &dest_array[], int period, ENUM_MA_METHOD method, int start_pos);
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//--- Persistent Buffers
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double m_price[]; // Used for ER calculation
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double m_rsi_buffer[];
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double m_er_buffer[];
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double m_nsp_buffer[];
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double m_raw_k[];
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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[]);
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public:
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CStochasticAdaptiveRSICalculator(void);
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virtual ~CStochasticAdaptiveRSICalculator(void);
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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);
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void Calculate(int rates_total, const double &open[], const double &high[], const double &low[], const double &close[], ENUM_APPLIED_PRICE price_type,
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//--- Init now takes ENUM_ADAPTIVE_SOURCE
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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);
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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,
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double &k_buffer[], double &d_buffer[]);
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};
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//+------------------------------------------------------------------+
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//| |
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//| Constructor |
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//+------------------------------------------------------------------+
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CStochasticAdaptiveRSICalculator::CStochasticAdaptiveRSICalculator(void)
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{
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m_rsi_calculator = new CRSIProCalculator();
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}
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//+------------------------------------------------------------------+
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//| Destructor |
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//+------------------------------------------------------------------+
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CStochasticAdaptiveRSICalculator::~CStochasticAdaptiveRSICalculator(void)
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{
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if(CheckPointer(m_rsi_calculator) != POINTER_INVALID)
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delete m_rsi_calculator;
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}
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//+------------------------------------------------------------------+
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//| Init |
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//+------------------------------------------------------------------+
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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)
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{
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m_rsi_period = (rsi_p < 1) ? 1 : rsi_p;
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m_er_period = (er_p < 1) ? 1 : er_p;
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m_min_period = (min_p < 1) ? 1 : min_p;
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m_max_period = (max_p <= m_min_period) ? m_min_period + 1 : max_p;
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m_adaptive_source = adapt_src;
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if(CheckPointer(m_rsi_calculator) == POINTER_INVALID)
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return false;
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if(!m_rsi_calculator.Init(m_rsi_period, 1, MODE_SMA, 2.0))
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return false;
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if(!m_slowing_engine.Init(slow_p, slow_ma))
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return false;
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if(!m_signal_engine.Init(d_p, d_ma))
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return false;
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return true;
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}
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//+------------------------------------------------------------------+
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//| Main Calculation |
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//+------------------------------------------------------------------+
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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,
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double &k_buffer[], double &d_buffer[])
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{
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// Minimum bars check
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if(rates_total <= m_rsi_period + m_er_period + m_max_period)
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return;
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if(CheckPointer(m_rsi_calculator) == POINTER_INVALID)
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return;
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int start_index = (prev_calculated == 0) ? 0 : prev_calculated - 1;
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// Resize Buffers
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if(ArraySize(m_price) != rates_total)
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{
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ArrayResize(m_price, rates_total);
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ArrayResize(m_rsi_buffer, rates_total);
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ArrayResize(m_er_buffer, rates_total);
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ArrayResize(m_nsp_buffer, rates_total);
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ArrayResize(m_raw_k, rates_total);
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}
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if(!PreparePriceSeries(rates_total, start_index, price_type, open, high, low, close))
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return;
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//--- 1. Calculate RSI (Incremental)
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double dummy1[], dummy2[], dummy3[];
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m_rsi_calculator.Calculate(rates_total, prev_calculated, price_type, open, high, low, close,
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m_rsi_buffer, dummy1, dummy2, dummy3);
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//--- 2. Calculate Efficiency Ratio (ER) on Price
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int loop_start_er = MathMax(m_er_period, start_index);
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for(int i = loop_start_er; i < rates_total; i++)
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{
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double direction = MathAbs(m_price[i] - m_price[i - m_er_period]);
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double volatility = 0;
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for(int j = 0; j < m_er_period; j++)
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volatility += MathAbs(m_price[i - j] - m_price[i - j - 1]);
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m_er_buffer[i] = (volatility > 0.000001) ? direction / volatility : 0;
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}
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//--- 3. Calculate Adaptive Period (NSP)
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for(int i = loop_start_er; i < rates_total; i++)
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{
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m_nsp_buffer[i] = (int)(m_er_buffer[i] * (m_max_period - m_min_period) + m_min_period);
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if(m_nsp_buffer[i] < 1)
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m_nsp_buffer[i] = 1;
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}
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//--- 4. Calculate Raw %K (Adaptive) on RSI
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int raw_k_start = MathMax(m_rsi_period, m_er_period) + m_max_period - 1;
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int loop_start_k = MathMax(raw_k_start, start_index);
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for(int i = loop_start_k; i < rates_total; i++)
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{
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int current_nsp = (int)m_nsp_buffer[i];
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double highest = m_rsi_buffer[i];
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double lowest = m_rsi_buffer[i];
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for(int j = 1; j < current_nsp; j++)
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{
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if(i-j < 0)
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break;
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highest = MathMax(highest, m_rsi_buffer[i-j]);
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lowest = MathMin(lowest, m_rsi_buffer[i-j]);
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}
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double range = highest - lowest;
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if(range > 0.00001)
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m_raw_k[i] = (m_rsi_buffer[i] - lowest) / range * 100.0;
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else
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m_raw_k[i] = (i > 0) ? m_raw_k[i-1] : 50.0;
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}
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//--- 5. Calculate Slow %K (Main Line)
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m_slowing_engine.CalculateOnArray(rates_total, prev_calculated, m_raw_k, k_buffer, raw_k_start);
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//--- 6. Calculate %D (Signal Line)
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int d_offset = raw_k_start + m_slowing_engine.GetPeriod() - 1;
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m_signal_engine.CalculateOnArray(rates_total, prev_calculated, k_buffer, d_buffer, d_offset);
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}
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//+------------------------------------------------------------------+
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//| Prepare Price (Standard) |
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//+------------------------------------------------------------------+
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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[])
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{
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for(int i = start_index; i < rates_total; i++)
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{
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switch(price_type)
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{
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case PRICE_CLOSE:
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m_price[i] = close[i];
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break;
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case PRICE_OPEN:
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m_price[i] = open[i];
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break;
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case PRICE_HIGH:
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m_price[i] = high[i];
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break;
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case PRICE_LOW:
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m_price[i] = low[i];
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break;
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case PRICE_MEDIAN:
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m_price[i] = (high[i]+low[i])/2.0;
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break;
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case PRICE_TYPICAL:
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m_price[i] = (high[i]+low[i]+close[i])/3.0;
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break;
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case PRICE_WEIGHTED:
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m_price[i] = (high[i]+low[i]+2*close[i])/4.0;
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break;
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default:
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m_price[i] = close[i];
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break;
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}
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}
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return true;
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}
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//+==================================================================+
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//| CLASS 2: CStochasticAdaptiveRSICalculator_HA |
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//+==================================================================+
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class CStochasticAdaptiveRSICalculator_HA : public CStochasticAdaptiveRSICalculator
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{
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private:
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CHeikinAshi_Calculator m_ha_calculator;
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double m_ha_open[], m_ha_high[], m_ha_low[], m_ha_close[];
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public:
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CStochasticAdaptiveRSICalculator_HA(void);
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protected:
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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;
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};
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//+==================================================================+
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//| METHOD IMPLEMENTATIONS |
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//+==================================================================+
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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CStochasticAdaptiveRSICalculator::CStochasticAdaptiveRSICalculator(void) { m_rsi_calculator = new CRSIProCalculator(); }
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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CStochasticAdaptiveRSICalculator::~CStochasticAdaptiveRSICalculator(void) { if(CheckPointer(m_rsi_calculator) != POINTER_INVALID) delete m_rsi_calculator; }
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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@@ -64,185 +241,92 @@ CStochasticAdaptiveRSICalculator_HA::CStochasticAdaptiveRSICalculator_HA(void)
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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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)
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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[])
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{
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m_rsi_period = (rsi_p < 1) ? 1 : rsi_p;
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m_er_period = (er_p < 1) ? 1 : er_p;
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m_min_period = (min_p < 1) ? 1 : min_p;
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m_max_period = (max_p <= m_min_period) ? m_min_period + 1 : max_p;
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m_slowing_period = (slow_p < 1) ? 1 : slow_p;
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m_d_period = (d_p < 1) ? 1 : d_p;
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m_d_ma_type = d_ma;
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if(CheckPointer(m_rsi_calculator) == POINTER_INVALID)
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return false;
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return m_rsi_calculator.Init(m_rsi_period, 1, MODE_SMA, 2.0); // Dummy params for MA/Bands
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}
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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void CStochasticAdaptiveRSICalculator::Calculate(int rates_total, const double &open[], const double &high[], const double &low[], const double &close[], ENUM_APPLIED_PRICE price_type,
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double &k_buffer[], double &d_buffer[])
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{
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if(rates_total <= m_rsi_period + m_er_period + m_max_period)
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return;
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if(!PreparePriceSeries(rates_total, price_type, open, high, low, close))
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return;
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double rsi_buffer[], dummy1[], dummy2[], dummy3[];
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ArrayResize(rsi_buffer, rates_total);
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m_rsi_calculator.Calculate(rates_total, price_type, open, high, low, close, rsi_buffer, dummy1, dummy2, dummy3);
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double er_buffer[], nsp_buffer[];
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ArrayResize(er_buffer, rates_total);
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ArrayResize(nsp_buffer, rates_total);
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for(int i = m_er_period; i < rates_total; i++)
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if(ArraySize(m_ha_open) != rates_total)
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{
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double direction = MathAbs(m_price[i] - m_price[i - m_er_period]);
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double volatility = 0;
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for(int j = 0; j < m_er_period; j++)
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volatility += MathAbs(m_price[i - j] - m_price[i - j - 1]);
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er_buffer[i] = (volatility > 0.000001) ? direction / volatility : 0;
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nsp_buffer[i] = (int)(er_buffer[i] * (m_max_period - m_min_period) + m_min_period);
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if(nsp_buffer[i] < 1)
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nsp_buffer[i] = 1;
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ArrayResize(m_ha_open, rates_total);
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ArrayResize(m_ha_high, rates_total);
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ArrayResize(m_ha_low, rates_total);
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ArrayResize(m_ha_close, rates_total);
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}
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double raw_k[];
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ArrayResize(raw_k, rates_total);
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for(int i = m_rsi_period + m_er_period + m_max_period - 1; i < rates_total; i++)
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{
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int current_nsp = (int)nsp_buffer[i];
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double highest = rsi_buffer[i], lowest = rsi_buffer[i];
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for(int j = 1; j < current_nsp; j++)
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{
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if(i-j < 0)
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break;
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highest = MathMax(highest, rsi_buffer[i-j]);
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lowest = MathMin(lowest, rsi_buffer[i-j]);
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}
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double range = highest - lowest;
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if(range > 0.00001)
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raw_k[i] = (rsi_buffer[i] - lowest) / range * 100.0;
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else
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raw_k[i] = (i > 0) ? raw_k[i-1] : 50.0;
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}
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// We always need HA candles for the RSI calculation (handled internally by m_rsi_calculator)
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// But we also need them here if m_adaptive_source is HEIKIN_ASHI
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m_ha_calculator.Calculate(rates_total, start_index, open, high, low, close, m_ha_open, m_ha_high, m_ha_low, m_ha_close);
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int k_slow_start = m_rsi_period + m_er_period + m_max_period + m_slowing_period - 2;
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CalculateMA(raw_k, k_buffer, m_slowing_period, MODE_SMA, k_slow_start);
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int d_start = k_slow_start + m_d_period - 1;
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CalculateMA(k_buffer, d_buffer, m_d_period, m_d_ma_type, d_start);
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}
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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void CStochasticAdaptiveRSICalculator::CalculateMA(const double &source_array[], double &dest_array[], int period, ENUM_MA_METHOD method, int start_pos)
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{
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for(int i = start_pos; i < ArraySize(source_array); i++)
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{
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switch(method)
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{
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case MODE_EMA:
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case MODE_SMMA:
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if(i == start_pos)
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{
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double sum=0;
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int count=0;
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for(int j=0; j<period; j++)
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{
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if(source_array[i-j] != EMPTY_VALUE)
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{
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sum+=source_array[i-j];
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count++;
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}
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}
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if(count > 0)
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dest_array[i]=sum/count;
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}
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else
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{
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if(method==MODE_EMA)
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{
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double pr=2.0/(period+1.0);
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dest_array[i]=source_array[i]*pr+dest_array[i-1]*(1.0-pr);
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}
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else
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dest_array[i]=(dest_array[i-1]*(period-1)+source_array[i])/period;
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}
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break;
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case MODE_LWMA:
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{
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double sum=0, w_sum=0;
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for(int j=0; j<period; j++)
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{
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if(source_array[i-j] == EMPTY_VALUE)
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continue;
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int w=period-j;
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sum+=source_array[i-j]*w;
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w_sum+=w;
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}
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if(w_sum>0)
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dest_array[i]=sum/w_sum;
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}
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break;
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default: // MODE_SMA
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{
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double sum=0;
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int count=0;
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for(int j=0; j<period; j++)
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{
|
||||
if(source_array[i-j] != EMPTY_VALUE)
|
||||
{
|
||||
sum+=source_array[i-j];
|
||||
count++;
|
||||
}
|
||||
}
|
||||
if(count > 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<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;
|
||||
// Use HA prices for ER
|
||||
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;
|
||||
}
|
||||
}
|
||||
}
|
||||
else // ADAPTIVE_SOURCE_STANDARD
|
||||
{
|
||||
// Use Standard prices for ER
|
||||
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;
|
||||
}
|
||||
|
||||
Reference in New Issue
Block a user