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refactor(indicators): Optimized for incremental calculation

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This commit is contained in:
Toh4iem9
2026-01-05 10:01:22 +01:00
parent 8414917931
commit b18512c092
1 changed files with 112 additions and 73 deletions
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Include/MyIncludes/MADH_Calculator.mqh
+112 -73
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@@ -1,6 +1,7 @@
//+------------------------------------------------------------------+
//| MADH_Calculator.mqh |
//| Calculation engine for the John Ehlers' MADH indicator. |
//| VERSION 2.00: Optimized for incremental calculation. |
//| Copyright 2025, xxxxxxxx |
//+------------------------------------------------------------------+
#property copyright "Copyright 2025, xxxxxxxx"
@@ -8,30 +9,35 @@
#include <MyIncludes\HeikinAshi_Tools.mqh>
//+==================================================================+
//| |
//| CLASS 1: CMADHCalculator (Base Class) |
//| |
//+==================================================================+
class CMADHCalculator
{
protected:
int m_short_len;
int m_dom_cycle;
//--- Persistent Buffer for Incremental Calculation
double m_price[];
// Helper function to calculate a Hann-windowed Moving Average
double CalcHWMA(int position, int period, const double &price_array[]);
virtual bool PreparePriceSeries(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[]);
//--- 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:
CMADHCalculator(void) {};
virtual ~CMADHCalculator(void) {};
bool Init(int short_len, int dom_cycle);
void Calculate(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[], double &madh_buffer[]);
//--- 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 &madh_buffer[]);
};
//+------------------------------------------------------------------+
//| Init |
//+------------------------------------------------------------------+
bool CMADHCalculator::Init(int short_len, int dom_cycle)
{
@@ -51,10 +57,12 @@ double CMADHCalculator::CalcHWMA(int position, int period, const double &price_a
double sum = 0;
double coef_sum = 0;
// Optimization: Pre-calculate weights in Init?
// Since period can be different (short vs long), we keep it local or use a map.
// For typical periods, local calculation is fast enough.
for(int i = 0; i < period; i++)
{
// Ehlers' code uses count from 1 to Length, accessing Close[count-1].
// This corresponds to i from 0 to period-1, accessing price[position-i].
double weight = 1.0 - cos(2 * M_PI * (i + 1.0) / (period + 1.0));
sum += weight * price_array[position - i];
coef_sum += weight;
@@ -67,15 +75,33 @@ double CMADHCalculator::CalcHWMA(int position, int period, const double &price_a
}
//+------------------------------------------------------------------+
void CMADHCalculator::Calculate(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[], double &madh_buffer[])
//| Main Calculation (Optimized) |
//+------------------------------------------------------------------+
void CMADHCalculator::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 &madh_buffer[])
{
int long_len = m_short_len + (int)round(m_dom_cycle / 2.0);
if(rates_total < long_len)
return;
if(!PreparePriceSeries(rates_total, price_type, open, high, low, close))
//--- 1. Determine Start Index
int start_index;
if(prev_calculated == 0)
start_index = 0;
else
start_index = prev_calculated - 1;
//--- 2. Resize Buffer
if(ArraySize(m_price) != rates_total)
ArrayResize(m_price, rates_total);
//--- 3. Prepare Price (Optimized)
if(!PreparePriceSeries(rates_total, start_index, price_type, open, high, low, close))
return;
for(int i = long_len - 1; i < rates_total; i++)
//--- 4. Calculate MADH (Incremental Loop)
int loop_start = MathMax(long_len - 1, start_index);
for(int i = loop_start; i < rates_total; i++)
{
// Step 1 & 2: Calculate the two HWMA filters
double filt1 = CalcHWMA(i, m_short_len, m_price);
@@ -86,94 +112,107 @@ void CMADHCalculator::Calculate(int rates_total, ENUM_APPLIED_PRICE price_type,
{
madh_buffer[i] = 100.0 * (filt1 - filt2) / filt2;
}
else
{
madh_buffer[i] = 0;
}
}
}
//+------------------------------------------------------------------+
bool CMADHCalculator::PreparePriceSeries(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[])
//| Prepare Price (Standard - Optimized) |
//+------------------------------------------------------------------+
bool CMADHCalculator::PreparePriceSeries(int rates_total, int start_index, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[])
{
ArrayResize(m_price, rates_total);
switch(price_type)
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++)
m_price[i] = (high[i]+low[i]+close[i]+close[i])/4.0;
break;
default:
return false;
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: CMADHCalculator_HA (Heikin Ashi) |
//+==================================================================+
class CMADHCalculator_HA : public CMADHCalculator
{
private:
CHeikinAshi_Calculator m_ha_calculator;
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[]) override;
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;
};
//+------------------------------------------------------------------+
bool CMADHCalculator_HA::PreparePriceSeries(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[])
//| Prepare Price (Heikin Ashi - Optimized) |
//+------------------------------------------------------------------+
bool CMADHCalculator_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);
ArrayResize(m_price, rates_total);
switch(price_type)
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);
}
m_ha_calculator.Calculate(rates_total, start_index, open, high, low, close, m_ha_open, m_ha_high, m_ha_low, m_ha_close);
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;
}
//+------------------------------------------------------------------+
//+------------------------------------------------------------------+