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refactor: add Holt_Engine

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Toh4iem9
2025-09-30 10:13:31 +02:00
parent 1a7fa65db1
commit b50bd71a14
1 changed files with 38 additions and 158 deletions
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Include/MyIncludes/Holt_Calculator.mqh
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//+------------------------------------------------------------------+
//| Holt_Calculator.mqh |
//| Calculation engines for Standard and Heikin Ashi Holt Models|
//| Wrapper for the Holt_Engine to produce MA/Channel output.|
//| Copyright 2025, xxxxxxxx |
//+------------------------------------------------------------------+
#property copyright "Copyright 2025, xxxxxxxx"
#include <MyIncludes\HeikinAshi_Tools.mqh>
#include <MyIncludes\Holt_Engine.mqh>
//+==================================================================+
//| |
//| CLASS 1: CHoltMACalculator (Base Class) |
//| |
//+==================================================================+
//--- Abstract base class for polymorphism
class CHoltMACalculator
{
protected:
int m_period;
double m_alpha;
double m_beta;
int m_forecast_period;
double m_price[];
virtual bool PreparePriceSeries(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[]);
public:
CHoltMACalculator(void);
virtual ~CHoltMACalculator(void) {};
bool Init(int period, double alpha, double beta, int forecast_p);
void Calculate(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[],
double &forecast_out[], double &upper_band_out[], double &lower_band_out[]);
virtual bool Init(int period, double alpha, double beta, int forecast_p)=0;
virtual void Calculate(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[],
double &forecast_out[], double &upper_band_out[], double &lower_band_out[])=0;
};
//+------------------------------------------------------------------+
//| CHoltMACalculator: Constructor |
//+------------------------------------------------------------------+
CHoltMACalculator::CHoltMACalculator(void) : m_period(0), m_alpha(0.1), m_beta(0.05), m_forecast_period(5)
//--- Standard version
class CHoltMACalculator_Std : public CHoltMACalculator
{
}
protected:
CHoltEngine *m_engine;
public:
CHoltMACalculator_Std(void) { m_engine = new CHoltEngine(); }
~CHoltMACalculator_Std(void) { if(CheckPointer(m_engine)!=POINTER_INVALID) delete m_engine; }
//+------------------------------------------------------------------+
//| CHoltMACalculator: Initialization |
//+------------------------------------------------------------------+
bool CHoltMACalculator::Init(int period, double alpha, double beta, int forecast_p)
{
m_period = (period < 2) ? 2 : period;
m_alpha = (alpha <= 0) ? 0.0001 : (alpha >= 1) ? 0.9999 : alpha;
m_beta = (beta <= 0) ? 0.0001 : (beta >= 1) ? 0.9999 : beta;
m_forecast_period = (forecast_p < 1) ? 1 : forecast_p;
return true;
}
//+------------------------------------------------------------------+
//| CHoltMACalculator: Main Calculation Method |
//+------------------------------------------------------------------+
void CHoltMACalculator::Calculate(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[],
double &forecast_out[], double &upper_band_out[], double &lower_band_out[])
{
if(rates_total < m_period)
return;
ArrayResize(m_price, rates_total);
if(!PreparePriceSeries(rates_total, price_type, open, high, low, close))
return;
double level[], trend[];
ArrayResize(level, rates_total);
ArrayResize(trend, rates_total);
level[0] = m_price[0];
trend[0] = m_price[1] - m_price[0];
forecast_out[0] = level[0] + trend[0];
level[1] = m_price[1];
trend[1] = m_beta * (level[1] - level[0]) + (1 - m_beta) * trend[0];
forecast_out[1] = level[1] + trend[1];
for(int i = 2; i < rates_total; i++)
virtual bool Init(int period, double alpha, double beta, int forecast_p) override { return m_engine.Init(period, alpha, beta, forecast_p); }
virtual void Calculate(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[],
double &forecast_out[], double &upper_band_out[], double &lower_band_out[]) override
{
//--- Step 1: Calculate Level, Trend, and 1-period Forecast (MA Line)
level[i] = m_alpha * m_price[i] + (1 - m_alpha) * (level[i-1] + trend[i-1]);
trend[i] = m_beta * (level[i] - level[i-1]) + (1 - m_beta) * trend[i-1];
forecast_out[i] = level[i] + trend[i];
//--- Step 2: Calculate multi-period forecast for the channel bands
upper_band_out[i] = level[i] + m_forecast_period * trend[i];
lower_band_out[i] = level[i] - m_forecast_period * trend[i];
if(CheckPointer(m_engine)==POINTER_INVALID)
return;
double dummy_trend[], dummy_level[];
ArrayResize(dummy_trend, rates_total);
ArrayResize(dummy_level, rates_total);
m_engine.Calculate(rates_total, price_type, open, high, low, close, forecast_out, dummy_trend, dummy_level, upper_band_out, lower_band_out);
}
}
};
//+------------------------------------------------------------------+
//| CHoltMACalculator: Prepares the standard source price series. |
//+------------------------------------------------------------------+
bool CHoltMACalculator::PreparePriceSeries(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[])
{
switch(price_type)
{
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]+2*close[i])/4.0;
break;
default:
ArrayCopy(m_price, close, 0, 0, rates_total);
break;
}
return true;
}
//+==================================================================+
//| |
//| CLASS 2: CHoltMACalculator_HA (Heikin Ashi) |
//| |
//+==================================================================+
//--- HA version
class CHoltMACalculator_HA : public CHoltMACalculator
{
private:
CHeikinAshi_Calculator m_ha_calculator;
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;
};
CHoltEngine *m_engine;
public:
CHoltMACalculator_HA(void) { m_engine = new CHoltEngine_HA(); }
~CHoltMACalculator_HA(void) { if(CheckPointer(m_engine)!=POINTER_INVALID) delete m_engine; }
//+------------------------------------------------------------------+
//| CHoltMACalculator_HA: Prepares the Heikin Ashi source price. |
//+------------------------------------------------------------------+
bool CHoltMACalculator_HA::PreparePriceSeries(int rates_total, 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);
switch(price_type)
virtual bool Init(int period, double alpha, double beta, int forecast_p) override { return m_engine.Init(period, alpha, beta, forecast_p); }
virtual void Calculate(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[],
double &forecast_out[], double &upper_band_out[], double &lower_band_out[]) override
{
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]+2*ha_close[i])/4.0;
break;
default:
ArrayCopy(m_price, ha_close, 0, 0, rates_total);
break;
if(CheckPointer(m_engine)==POINTER_INVALID)
return;
double dummy_trend[], dummy_level[];
ArrayResize(dummy_trend, rates_total);
ArrayResize(dummy_level, rates_total);
m_engine.Calculate(rates_total, price_type, open, high, low, close, forecast_out, dummy_trend, dummy_level, upper_band_out, lower_band_out);
}
return true;
}
//+------------------------------------------------------------------+
};
//+------------------------------------------------------------------+