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refactor: Integrated strict Directional Safety Filter to eliminate sawtooth death-loops

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Toh4iem9
2026-08-01 18:45:30 +02:00
parent 5f85c3647f
commit aad21672cd
1 changed files with 39 additions and 25 deletions
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Include/MyIncludes/Chandelier_Exit_Calculator.mqh
+39 -25
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@@ -3,7 +3,7 @@
//| Copyright 2026, xxxxxxxx|
//+------------------------------------------------------------------+
#property copyright "Copyright 2026, xxxxxxxx"
#property version "1.00" // Performance optimized Chandelier Exit engine wrapping ATR v3.00
#property version "1.20" // Integrated strict Directional Safety Filter to eliminate sawtooth death-loops
#property description "Stateful calculator implementing Charles LeBeau Chandelier Exit (ATR Trailing Stop)."
#ifndef CHANDELIER_EXIT_CALCULATOR_MQH
@@ -45,8 +45,8 @@ public:
bool Init(int period, double multiplier, bool is_ha);
void Calculate(int rates_total, int prev_calculated,
const double &open[], const double &high[], const double &low[], const double &close[],
double &stop_line[], double &color_buffer[]);
const double &open[], const double &high[], const double &low[], const double &close[],
double &stop_line[], double &color_buffer[]);
};
//+------------------------------------------------------------------+
@@ -84,7 +84,6 @@ bool CChandelierExitCalculator::Init(int period, double multiplier, bool is_ha)
m_atr_calc = NULL;
}
// Dynamic polymorphic instantiation of the underlying refactored ATR engine
if(m_is_ha)
m_atr_calc = new CATRCalculator_HA();
else
@@ -156,35 +155,50 @@ void CChandelierExitCalculator::Calculate(int rates_total, int prev_calculated,
m_short_stop[i] = Lowest(m_price_low, m_period, i) + m_multiplier * m_atr_buffer[i];
}
//--- 5. Trailing Stop Ratchet & Trend Logic
//--- 5. Trailing Stop Ratchet & Trend Logic (FIXED: Strict Directional Safety Filter applied)
for(int i = loop_start; i < rates_total; i++)
{
// Trend flip conditions
if(m_price_close[i] > m_short_stop[i - 1])
m_trend[i] = 1.0; // Bullish
else
if(m_price_close[i] < m_long_stop[i - 1])
m_trend[i] = -1.0; // Bearish
else
m_trend[i] = m_trend[i - 1];
double prev_stop = stop_line[i - 1];
double prev_trend = m_trend[i - 1];
// Ratchet assignment (stop can only move in favor of the trend or stay flat)
if(prev_trend == 1.0) // Trend was Bullish (stop is below price)
{
// Flip to bearish ONLY if price closes BELOW active stop AND the new bearish stop is safely ABOVE price
if(m_price_close[i] < prev_stop && m_short_stop[i] > m_price_close[i])
{
m_trend[i] = -1.0;
stop_line[i] = m_short_stop[i]; // Reset to ShortStop
}
else
{
m_trend[i] = 1.0;
// Ratchet trailing: stop can only go up
stop_line[i] = MathMax(m_long_stop[i], prev_stop);
}
}
else // Trend was Bearish (prev_trend == -1.0, stop is above price)
{
// Flip to bullish ONLY if price closes ABOVE active stop AND the new bullish stop is safely BELOW price
if(m_price_close[i] > prev_stop && m_long_stop[i] < m_price_close[i])
{
m_trend[i] = 1.0;
stop_line[i] = m_long_stop[i]; // Reset to LongStop
}
else
{
m_trend[i] = -1.0;
// Ratchet trailing: stop can only go down
stop_line[i] = MathMin(m_short_stop[i], prev_stop);
}
}
// Assign visual color indexes cleanly
if(m_trend[i] == 1.0)
{
if(m_long_stop[i] > stop_line[i - 1] || m_trend[i - 1] == -1.0)
stop_line[i] = m_long_stop[i];
else
stop_line[i] = stop_line[i - 1];
color_buffer[i] = 0.0; // Index 0: Bullish (clrDodgerBlue)
}
else // Bearish
else
{
if(m_short_stop[i] < stop_line[i - 1] || stop_line[i - 1] == 0.0 || m_trend[i - 1] == 1.0)
stop_line[i] = m_short_stop[i];
else
stop_line[i] = stop_line[i - 1];
color_buffer[i] = 1.0; // Index 1: Bearish (clrTomato)
}