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refactor: add Holt_Engine
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Toh4iem9
@@ -1,182 +1,62 @@
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//+------------------------------------------------------------------+
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//+------------------------------------------------------------------+
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//| Holt_Calculator.mqh |
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//| Holt_Calculator.mqh |
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//| Calculation engines for Standard and Heikin Ashi Holt Models|
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//| Wrapper for the Holt_Engine to produce MA/Channel output.|
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//| Copyright 2025, xxxxxxxx |
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//| Copyright 2025, xxxxxxxx |
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//+------------------------------------------------------------------+
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//+------------------------------------------------------------------+
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#property copyright "Copyright 2025, xxxxxxxx"
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#property copyright "Copyright 2025, xxxxxxxx"
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#include <MyIncludes\HeikinAshi_Tools.mqh>
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#include <MyIncludes\Holt_Engine.mqh>
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//+==================================================================+
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//--- Abstract base class for polymorphism
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//| |
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//| CLASS 1: CHoltMACalculator (Base Class) |
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//| |
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//+==================================================================+
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class CHoltMACalculator
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class CHoltMACalculator
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{
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{
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protected:
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int m_period;
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double m_alpha;
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double m_beta;
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int m_forecast_period;
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double m_price[];
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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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public:
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public:
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CHoltMACalculator(void);
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virtual bool Init(int period, double alpha, double beta, int forecast_p)=0;
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virtual ~CHoltMACalculator(void) {};
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virtual void Calculate(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[],
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double &forecast_out[], double &upper_band_out[], double &lower_band_out[])=0;
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bool Init(int period, double alpha, double beta, int forecast_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[],
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double &forecast_out[], double &upper_band_out[], double &lower_band_out[]);
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};
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};
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//+------------------------------------------------------------------+
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//--- Standard version
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//| CHoltMACalculator: Constructor |
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class CHoltMACalculator_Std : public CHoltMACalculator
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//+------------------------------------------------------------------+
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CHoltMACalculator::CHoltMACalculator(void) : m_period(0), m_alpha(0.1), m_beta(0.05), m_forecast_period(5)
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{
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{
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}
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protected:
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CHoltEngine *m_engine;
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public:
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CHoltMACalculator_Std(void) { m_engine = new CHoltEngine(); }
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~CHoltMACalculator_Std(void) { if(CheckPointer(m_engine)!=POINTER_INVALID) delete m_engine; }
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//+------------------------------------------------------------------+
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virtual bool Init(int period, double alpha, double beta, int forecast_p) override { return m_engine.Init(period, alpha, beta, forecast_p); }
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//| CHoltMACalculator: Initialization |
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virtual void Calculate(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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double &forecast_out[], double &upper_band_out[], double &lower_band_out[]) override
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bool CHoltMACalculator::Init(int period, double alpha, double beta, int forecast_p)
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{
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m_period = (period < 2) ? 2 : period;
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m_alpha = (alpha <= 0) ? 0.0001 : (alpha >= 1) ? 0.9999 : alpha;
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m_beta = (beta <= 0) ? 0.0001 : (beta >= 1) ? 0.9999 : beta;
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m_forecast_period = (forecast_p < 1) ? 1 : forecast_p;
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return true;
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}
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//+------------------------------------------------------------------+
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//| CHoltMACalculator: Main Calculation Method |
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//+------------------------------------------------------------------+
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void CHoltMACalculator::Calculate(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[],
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double &forecast_out[], double &upper_band_out[], double &lower_band_out[])
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{
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if(rates_total < m_period)
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return;
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ArrayResize(m_price, rates_total);
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if(!PreparePriceSeries(rates_total, price_type, open, high, low, close))
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return;
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double level[], trend[];
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ArrayResize(level, rates_total);
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ArrayResize(trend, rates_total);
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level[0] = m_price[0];
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trend[0] = m_price[1] - m_price[0];
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forecast_out[0] = level[0] + trend[0];
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level[1] = m_price[1];
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trend[1] = m_beta * (level[1] - level[0]) + (1 - m_beta) * trend[0];
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forecast_out[1] = level[1] + trend[1];
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for(int i = 2; i < rates_total; i++)
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{
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{
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//--- Step 1: Calculate Level, Trend, and 1-period Forecast (MA Line)
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if(CheckPointer(m_engine)==POINTER_INVALID)
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level[i] = m_alpha * m_price[i] + (1 - m_alpha) * (level[i-1] + trend[i-1]);
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return;
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trend[i] = m_beta * (level[i] - level[i-1]) + (1 - m_beta) * trend[i-1];
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double dummy_trend[], dummy_level[];
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forecast_out[i] = level[i] + trend[i];
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ArrayResize(dummy_trend, rates_total);
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ArrayResize(dummy_level, rates_total);
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//--- Step 2: Calculate multi-period forecast for the channel bands
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m_engine.Calculate(rates_total, price_type, open, high, low, close, forecast_out, dummy_trend, dummy_level, upper_band_out, lower_band_out);
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upper_band_out[i] = level[i] + m_forecast_period * trend[i];
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lower_band_out[i] = level[i] - m_forecast_period * trend[i];
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}
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}
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}
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};
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//+------------------------------------------------------------------+
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//--- HA version
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//| CHoltMACalculator: Prepares the standard source price series. |
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//+------------------------------------------------------------------+
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bool CHoltMACalculator::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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switch(price_type)
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{
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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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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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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]+2*close[i])/4.0;
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break;
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default:
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ArrayCopy(m_price, close, 0, 0, rates_total);
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break;
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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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//| CLASS 2: CHoltMACalculator_HA (Heikin Ashi) |
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//| |
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//+==================================================================+
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class CHoltMACalculator_HA : public CHoltMACalculator
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class CHoltMACalculator_HA : public CHoltMACalculator
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{
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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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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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CHoltEngine *m_engine;
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};
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public:
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CHoltMACalculator_HA(void) { m_engine = new CHoltEngine_HA(); }
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~CHoltMACalculator_HA(void) { if(CheckPointer(m_engine)!=POINTER_INVALID) delete m_engine; }
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//+------------------------------------------------------------------+
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virtual bool Init(int period, double alpha, double beta, int forecast_p) override { return m_engine.Init(period, alpha, beta, forecast_p); }
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//| CHoltMACalculator_HA: Prepares the Heikin Ashi source price. |
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virtual void Calculate(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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double &forecast_out[], double &upper_band_out[], double &lower_band_out[]) override
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bool CHoltMACalculator_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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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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switch(price_type)
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{
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{
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case PRICE_OPEN:
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if(CheckPointer(m_engine)==POINTER_INVALID)
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ArrayCopy(m_price, ha_open, 0, 0, rates_total);
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return;
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break;
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double dummy_trend[], dummy_level[];
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case PRICE_HIGH:
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ArrayResize(dummy_trend, rates_total);
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ArrayCopy(m_price, ha_high, 0, 0, rates_total);
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ArrayResize(dummy_level, rates_total);
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break;
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m_engine.Calculate(rates_total, price_type, open, high, low, close, forecast_out, dummy_trend, dummy_level, upper_band_out, lower_band_out);
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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]+2*ha_close[i])/4.0;
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break;
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default:
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ArrayCopy(m_price, ha_close, 0, 0, rates_total);
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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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//+------------------------------------------------------------------+
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