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feat: Adaptive Ehlers Smoother Channel Engine via ATR/StDev
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Toh4iem9
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//+------------------------------------------------------------------+
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//| Ehlers_Adaptive_Channel_Calculator.mqh |
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//| Copyright 2026, xxxxxxxx|
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//+------------------------------------------------------------------+
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#property copyright "Copyright 2026, xxxxxxxx"
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#property version "1.00" // Adaptive Ehlers Smoother Channel Engine via ATR/StDev
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#property description "Stateful calculator implementing volatility channels around Adaptive Ehlers Smoother baseline."
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#ifndef EHLERS_ADAPTIVE_CHANNEL_CALCULATOR_MQH
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#define EHLERS_ADAPTIVE_CHANNEL_CALCULATOR_MQH
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#include <MyIncludes\Ehlers_Adaptive_Smoother_Calculator.mqh>
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#include <MyIncludes\ATR_Calculator.mqh>
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#include <MyIncludes\HeikinAshi_Tools.mqh>
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//--- Dedicated Channel Volatility Width enum
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#ifndef ENUM_CHANNEL_WIDTH_METHOD_DEFINED
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#define ENUM_CHANNEL_WIDTH_METHOD_DEFINED
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enum ENUM_CHANNEL_WIDTH_METHOD
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{
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WIDTH_METHOD_ATR, // Average True Range (ATR Keltner-style)
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WIDTH_METHOD_STAND_DEV // Standard Deviation (StDev Bollinger-style)
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};
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#endif
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//+==================================================================+
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//| CLASS: CEhlersAdaptiveChannelCalculator |
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//+==================================================================+
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class CEhlersAdaptiveChannelCalculator
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{
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private:
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ENUM_CHANNEL_WIDTH_METHOD m_width_method;
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int m_width_period;
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double m_inv_width_period; // Precalculated 1.0 / width_period
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double m_multiplier;
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bool m_is_ha;
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CEhlersAdaptiveSmootherCalculator *m_baseline_calc;
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CATRCalculator *m_atr_calc;
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CHeikinAshi_Calculator m_ha_engine;
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//--- Persistent State Registers (Strict Instance Isolation)
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double m_baseline_buffer[];
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double m_vol_buffer[];
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double m_price[];
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double m_ha_open[], m_ha_high[], m_ha_low[], m_ha_close[];
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bool PreparePriceSeries(int rates_total, int start_index, ENUM_APPLIED_PRICE price_type,
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const double &open[], const double &high[], const double &low[], const double &close[]);
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public:
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CEhlersAdaptiveChannelCalculator(void);
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~CEhlersAdaptiveChannelCalculator(void);
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bool Init(const ENUM_SMOOTHER_TYPE smoother_type,
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const ENUM_ADAPTIVE_METHOD method,
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const int adaptive_period,
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const int period_min,
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const int period_max,
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const ENUM_CHANNEL_WIDTH_METHOD width_method,
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const int width_period,
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const double multiplier,
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const ENUM_APPLIED_PRICE_HA_ALL price_source);
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void Calculate(const int rates_total, const int prev_calculated,
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const double &open[], const double &high[],
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const double &low[], const double &close[],
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double &baseline_buffer[], double &upper_buffer[], double &lower_buffer[]);
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};
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//+------------------------------------------------------------------+
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//| Constructor |
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//+------------------------------------------------------------------+
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CEhlersAdaptiveChannelCalculator::CEhlersAdaptiveChannelCalculator(void) :
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m_width_method(WIDTH_METHOD_ATR),
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m_width_period(10),
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m_inv_width_period(0.1),
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m_multiplier(2.0),
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m_is_ha(false),
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m_baseline_calc(NULL),
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m_atr_calc(NULL)
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{
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ArraySetAsSeries(m_baseline_buffer, false);
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ArraySetAsSeries(m_vol_buffer, false);
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ArraySetAsSeries(m_price, false);
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ArraySetAsSeries(m_ha_open, false);
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ArraySetAsSeries(m_ha_high, false);
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ArraySetAsSeries(m_ha_low, false);
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ArraySetAsSeries(m_ha_close, false);
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}
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//+------------------------------------------------------------------+
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//| Destructor |
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//+------------------------------------------------------------------+
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CEhlersAdaptiveChannelCalculator::~CEhlersAdaptiveChannelCalculator(void)
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{
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if(CheckPointer(m_baseline_calc) != POINTER_INVALID)
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{
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delete m_baseline_calc;
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m_baseline_calc = NULL;
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}
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if(CheckPointer(m_atr_calc) != POINTER_INVALID)
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{
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delete m_atr_calc;
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m_atr_calc = NULL;
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}
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}
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//+------------------------------------------------------------------+
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//| Initialization |
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//+------------------------------------------------------------------+
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bool CEhlersAdaptiveChannelCalculator::Init(const ENUM_SMOOTHER_TYPE smoother_type,
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const ENUM_ADAPTIVE_METHOD method,
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const int adaptive_period,
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const int period_min,
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const int period_max,
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const ENUM_CHANNEL_WIDTH_METHOD width_method,
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const int width_period,
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const double multiplier,
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const ENUM_APPLIED_PRICE_HA_ALL price_source)
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{
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m_width_method = width_method;
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m_width_period = (width_period < 2) ? 2 : width_period;
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m_inv_width_period = 1.0 / (double)m_width_period;
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m_multiplier = (multiplier <= 0.0) ? 1.0 : multiplier;
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m_is_ha = (price_source <= PRICE_HA_CLOSE);
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if(CheckPointer(m_baseline_calc) != POINTER_INVALID)
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{
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delete m_baseline_calc;
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m_baseline_calc = NULL;
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}
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if(CheckPointer(m_atr_calc) != POINTER_INVALID)
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{
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delete m_atr_calc;
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m_atr_calc = NULL;
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}
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// 1. Instantiate Adaptive Ehlers Baseline Engine
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m_baseline_calc = new CEhlersAdaptiveSmootherCalculator();
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if(CheckPointer(m_baseline_calc) == POINTER_INVALID ||
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!m_baseline_calc.Init(smoother_type, method, adaptive_period, period_min, period_max, price_source))
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return false;
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// 2. Instantiate ATR Engine if selected
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if(m_width_method == WIDTH_METHOD_ATR)
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{
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if(m_is_ha)
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m_atr_calc = new CATRCalculator_HA();
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else
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m_atr_calc = new CATRCalculator();
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if(CheckPointer(m_atr_calc) == POINTER_INVALID || !m_atr_calc.Init(m_width_period, ATR_POINTS))
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return false;
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}
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return true;
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}
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//+------------------------------------------------------------------+
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//| Calculate Channel Envelopes |
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//+------------------------------------------------------------------+
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void CEhlersAdaptiveChannelCalculator::Calculate(const int rates_total, const int prev_calculated,
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const double &open[], const double &high[],
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const double &low[], const double &close[],
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double &baseline_buffer[], double &upper_buffer[], double &lower_buffer[])
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{
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int required_bars = MathMax(m_width_period * 2, 20) + 5;
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if(rates_total < required_bars || CheckPointer(m_baseline_calc) == POINTER_INVALID)
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return;
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// Safe allocation of internal state buffers
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if(ArraySize(m_baseline_buffer) != rates_total)
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{
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ArrayResize(m_baseline_buffer, rates_total);
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ArraySetAsSeries(m_baseline_buffer, false);
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ArrayResize(m_vol_buffer, rates_total);
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ArraySetAsSeries(m_vol_buffer, false);
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ArrayResize(m_price, rates_total);
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ArraySetAsSeries(m_price, false);
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}
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// 1. Calculate Adaptive Ehlers Baseline Centerline in O(1)
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m_baseline_calc.Calculate(rates_total, prev_calculated, open, high, low, close, m_baseline_buffer);
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// 2. Calculate Channel Volatility Width (ATR or Accelerated Standard Deviation)
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if(m_width_method == WIDTH_METHOD_ATR)
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{
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if(CheckPointer(m_atr_calc) != POINTER_INVALID)
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m_atr_calc.Calculate(rates_total, prev_calculated, open, high, low, close, m_vol_buffer);
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}
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else // WIDTH_METHOD_STAND_DEV (MathPow-Free Accelerated StDev)
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{
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int start_index = (prev_calculated > 0) ? prev_calculated - 1 : 0;
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ENUM_APPLIED_PRICE p_type = (m_is_ha) ? PRICE_CLOSE : PRICE_CLOSE;
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if(!PreparePriceSeries(rates_total, start_index, p_type, open, high, low, close))
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return;
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int loop_start = MathMax(m_width_period - 1, start_index);
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if(loop_start == m_width_period - 1)
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{
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for(int i = 0; i < loop_start; i++)
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m_vol_buffer[i] = 0.0;
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}
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for(int i = loop_start; i < rates_total; i++)
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{
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double sum = 0.0;
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for(int j = 0; j < m_width_period; j++)
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sum += m_price[i - j];
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double mean = sum * m_inv_width_period;
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// Fast scalar multiplication instead of slow pow()
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double sum_sq = 0.0;
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for(int j = 0; j < m_width_period; j++)
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{
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double diff = m_price[i - j] - mean;
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sum_sq += diff * diff;
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}
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m_vol_buffer[i] = MathSqrt(sum_sq * m_inv_width_period);
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}
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}
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// 3. Fused Pipelined Band Projection around Baseline
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int start = (prev_calculated > 0) ? prev_calculated - 1 : 0;
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for(int i = start; i < rates_total; i++)
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{
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double base = m_baseline_buffer[i];
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double width = m_multiplier * m_vol_buffer[i];
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baseline_buffer[i] = base;
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upper_buffer[i] = base + width;
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lower_buffer[i] = base - width;
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}
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}
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//+------------------------------------------------------------------+
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//| Prepare Price Series (Instance Isolated Caches - Zero Static!) |
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//+------------------------------------------------------------------+
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bool CEhlersAdaptiveChannelCalculator::PreparePriceSeries(int rates_total, int start_index, ENUM_APPLIED_PRICE price_type,
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const double &open[], const double &high[], const double &low[], const double &close[])
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{
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if(m_is_ha)
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{
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if(ArraySize(m_ha_open) != rates_total)
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{
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ArrayResize(m_ha_open, rates_total);
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ArraySetAsSeries(m_ha_open, false);
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ArrayResize(m_ha_high, rates_total);
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ArraySetAsSeries(m_ha_high, false);
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ArrayResize(m_ha_low, rates_total);
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ArraySetAsSeries(m_ha_low, false);
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ArrayResize(m_ha_close, rates_total);
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ArraySetAsSeries(m_ha_close, false);
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}
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m_ha_engine.Calculate(rates_total, start_index, open, high, low, close,
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m_ha_open, m_ha_high, m_ha_low, m_ha_close);
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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_OPEN:
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m_price[i] = m_ha_open[i];
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break;
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case PRICE_HIGH:
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m_price[i] = m_ha_high[i];
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break;
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case PRICE_LOW:
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m_price[i] = m_ha_low[i];
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break;
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case PRICE_MEDIAN:
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m_price[i] = (m_ha_high[i] + m_ha_low[i]) * 0.5;
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break;
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case PRICE_TYPICAL:
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m_price[i] = (m_ha_high[i] + m_ha_low[i] + m_ha_close[i]) / 3.0;
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break;
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case PRICE_WEIGHTED:
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m_price[i] = (m_ha_high[i] + m_ha_low[i] + 2.0 * m_ha_close[i]) * 0.25;
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break;
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default:
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m_price[i] = m_ha_close[i];
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break;
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}
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}
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}
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else
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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_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]) * 0.5;
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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] + 2.0 * close[i]) * 0.25;
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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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}
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return true;
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}
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#endif // EHLERS_ADAPTIVE_CHANNEL_CALCULATOR_MQH
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//+------------------------------------------------------------------+
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