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refactor: Optimized for incremental calculation
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Toh4iem9
@@ -1,177 +1,207 @@
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//+------------------------------------------------------------------+
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//| KAMA_Calculator.mqh|
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//| Calculation engine for Kaufman's Adaptive Moving Average. |
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//| VERSION 2.00: Optimized for incremental calculation. |
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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\HeikinAshi_Tools.mqh>
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//+==================================================================+
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//| CLASS 1: CKamaCalculator (Base Class) |
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//+==================================================================+
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class CKamaCalculator
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{
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protected:
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int m_er_period;
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double m_fastest_sc, m_slowest_sc;
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double m_price[];
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double m_prev_kama;
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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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//--- Persistent Buffer for Incremental Calculation
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double m_price[];
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//--- Updated: Accepts start_index
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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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CKamaCalculator(void) : m_prev_kama(0) {};
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CKamaCalculator(void) {};
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virtual ~CKamaCalculator(void) {};
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bool Init(int er_p, int fast_ema_p, int slow_ema_p);
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void Calculate(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[], double &kama_buffer[]);
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int GetPeriod(void) const { return m_er_period; }
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//--- Updated: Accepts prev_calculated
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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 &kama_buffer[]);
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};
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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class CKamaCalculator_HA : public CKamaCalculator
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{
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private:
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CHeikinAshi_Calculator m_ha_calculator;
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protected:
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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[]) 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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//| Init |
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//+------------------------------------------------------------------+
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bool CKamaCalculator::Init(int er_p, int fast_ema_p, int slow_ema_p)
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{
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m_er_period = (er_p < 1) ? 1 : er_p;
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m_fastest_sc = 2.0 / ((fast_ema_p < 1 ? 1 : fast_ema_p) + 1.0);
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m_slowest_sc = 2.0 / ((slow_ema_p < 1 ? 1 : slow_ema_p) + 1.0);
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m_prev_kama = 0;
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return true;
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}
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//+------------------------------------------------------------------+
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//| |
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//| Main Calculation (Optimized) |
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//+------------------------------------------------------------------+
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void CKamaCalculator::Calculate(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[], double &kama_buffer[])
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void CKamaCalculator::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 &kama_buffer[])
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{
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if(rates_total <= m_er_period)
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return;
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if(!PreparePriceSeries(rates_total, price_type, open, high, low, close))
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//--- 1. Determine Start Index
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int start_index;
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if(prev_calculated == 0)
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start_index = 0;
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else
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start_index = prev_calculated - 1;
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//--- 2. Resize Buffer
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if(ArraySize(m_price) != rates_total)
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ArrayResize(m_price, rates_total);
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//--- 3. Prepare Price (Optimized)
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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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int start_pos = m_er_period;
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//--- 4. Calculate KAMA (Incremental Loop)
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int loop_start = MathMax(m_er_period, start_index);
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if(ArraySize(kama_buffer) == 0 || kama_buffer[start_pos-1] == 0)
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for(int i = loop_start; i < rates_total; i++)
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{
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m_prev_kama = m_price[start_pos-1];
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}
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// --- Initialization Step ---
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if(i == m_er_period)
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{
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kama_buffer[i] = m_price[i];
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continue;
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}
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for(int i = start_pos; i < rates_total; i++)
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{
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// --- Calculate Efficiency Ratio (ER) ---
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// We need m_price[i - m_er_period], which is safe due to persistent buffer
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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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{
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volatility += MathAbs(m_price[i - j] - m_price[i - j - 1]);
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}
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double er = (volatility > 0.000001) ? direction / volatility : 0;
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// --- Calculate Scaled Smoothing Constant (SSC) ---
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double sc = pow(er * (m_fastest_sc - m_slowest_sc) + m_slowest_sc, 2);
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kama_buffer[i] = m_prev_kama + sc * (m_price[i] - m_prev_kama);
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m_prev_kama = kama_buffer[i];
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// --- Calculate Final AMA ---
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// Recursive calculation uses kama_buffer[i-1] which is persistent (from indicator)
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kama_buffer[i] = kama_buffer[i-1] + sc * (m_price[i] - kama_buffer[i-1]);
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}
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}
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//+------------------------------------------------------------------+
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//| |
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//| Prepare Price (Standard - Optimized) |
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//+------------------------------------------------------------------+
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bool CKamaCalculator::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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bool CKamaCalculator::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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if(ArraySize(m_price) != rates_total)
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if(ArrayResize(m_price, rates_total) != rates_total)
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return false;
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switch(price_type)
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// Optimized copy loop
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for(int i = start_index; i < rates_total; i++)
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{
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case PRICE_CLOSE:
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ArrayCopy(m_price, close, 0, 0, rates_total);
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break;
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case PRICE_OPEN:
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ArrayCopy(m_price, open, 0, 0, rates_total);
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break;
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case PRICE_HIGH:
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ArrayCopy(m_price, high, 0, 0, rates_total);
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break;
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case PRICE_LOW:
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ArrayCopy(m_price, low, 0, 0, rates_total);
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break;
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case PRICE_MEDIAN:
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for(int i=0; i<rates_total; i++)
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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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for(int i=0; i<rates_total; i++)
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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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for(int i=0; i<rates_total; i++)
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m_price[i] = (high[i]+low[i]+close[i]+close[i])/4.0;
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break;
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default:
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return false;
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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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//| |
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//+------------------------------------------------------------------+
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bool CKamaCalculator_HA::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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//+==================================================================+
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//| CLASS 2: CKamaCalculator_HA (Heikin Ashi) |
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//+==================================================================+
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class CKamaCalculator_HA : public CKamaCalculator
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{
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double ha_open[], ha_high[], ha_low[], ha_close[];
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ArrayResize(ha_open, rates_total);
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ArrayResize(ha_high, rates_total);
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ArrayResize(ha_low, rates_total);
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ArrayResize(ha_close, rates_total);
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m_ha_calculator.Calculate(rates_total, open, high, low, close, ha_open, ha_high, ha_low, ha_close);
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private:
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CHeikinAshi_Calculator m_ha_calculator;
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// Internal HA buffers
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double m_ha_open[], m_ha_high[], m_ha_low[], m_ha_close[];
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if(ArraySize(m_price) != rates_total)
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if(ArrayResize(m_price, rates_total) != rates_total)
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return false;
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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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switch(price_type)
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//+------------------------------------------------------------------+
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//| Prepare Price (Heikin Ashi - Optimized) |
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//+------------------------------------------------------------------+
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bool CKamaCalculator_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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// Resize internal HA buffers
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if(ArraySize(m_ha_open) != rates_total)
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{
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case PRICE_CLOSE:
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ArrayCopy(m_price, ha_close, 0, 0, rates_total);
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break;
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case PRICE_OPEN:
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ArrayCopy(m_price, ha_open, 0, 0, rates_total);
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break;
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case PRICE_HIGH:
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ArrayCopy(m_price, ha_high, 0, 0, rates_total);
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break;
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case PRICE_LOW:
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ArrayCopy(m_price, ha_low, 0, 0, rates_total);
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break;
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case PRICE_MEDIAN:
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for(int i=0; i<rates_total; i++)
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m_price[i] = (ha_high[i]+ha_low[i])/2.0;
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break;
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case PRICE_TYPICAL:
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for(int i=0; i<rates_total; i++)
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m_price[i] = (ha_high[i]+ha_low[i]+ha_close[i])/3.0;
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break;
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case PRICE_WEIGHTED:
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for(int i=0; i<rates_total; i++)
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m_price[i] = (ha_high[i]+ha_low[i]+ha_close[i]+ha_close[i])/4.0;
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break;
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default:
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return false;
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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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//--- STRICT CALL: Use the optimized 10-param HA calculation
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m_ha_calculator.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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//--- Copy to m_price (Optimized loop)
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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] = m_ha_close[i];
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break;
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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])/2.0;
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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*m_ha_close[i])/4.0;
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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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return true;
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}
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//+------------------------------------------------------------------+
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//+------------------------------------------------------------------+
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