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refactor(indicators): Optimized for incremental calculation

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Toh4iem9
2026-01-03 22:27:01 +01:00
parent b2b5e4dd40
commit baf635e2bf
1 changed files with 139 additions and 98 deletions
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Include/MyIncludes/Butterworth_Calculator.mqh
+139 -98
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@@ -1,7 +1,7 @@
//+------------------------------------------------------------------+
//| Butterworth_Calculator.mqh |
//| Calculation engine for the John Ehlers' Butterworth Filter. |
//| Can be applied to Price or Momentum. |
//| VERSION 2.00: Optimized for incremental calculation. |
//| Copyright 2025, xxxxxxxx |
//+------------------------------------------------------------------+
#property copyright "Copyright 2025, xxxxxxxx"
@@ -11,6 +11,8 @@
enum ENUM_BUTTERWORTH_POLES { POLES_TWO = 2, POLES_THREE = 3 };
enum ENUM_INPUT_SOURCE { SOURCE_PRICE, SOURCE_MOMENTUM };
//+==================================================================+
//| CLASS 1: CButterworthCalculator |
//+==================================================================+
class CButterworthCalculator
{
@@ -18,18 +20,25 @@ protected:
int m_period;
ENUM_BUTTERWORTH_POLES m_poles;
ENUM_INPUT_SOURCE m_source_type;
//--- Persistent Buffer for Price
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[]);
//--- 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:
CButterworthCalculator(void) {};
virtual ~CButterworthCalculator(void) {};
bool Init(int period, ENUM_BUTTERWORTH_POLES poles, ENUM_INPUT_SOURCE source_type);
void Calculate(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[], double &filter_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 &filter_buffer[]);
};
//+------------------------------------------------------------------+
//| Init |
//+------------------------------------------------------------------+
bool CButterworthCalculator::Init(int period, ENUM_BUTTERWORTH_POLES poles, ENUM_INPUT_SOURCE source_type)
{
@@ -40,147 +49,179 @@ bool CButterworthCalculator::Init(int period, ENUM_BUTTERWORTH_POLES poles, ENUM
}
//+------------------------------------------------------------------+
void CButterworthCalculator::Calculate(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[], double &filter_buffer[])
//| Main Calculation (Optimized) |
//+------------------------------------------------------------------+
void CButterworthCalculator::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 &filter_buffer[])
{
if(rates_total < m_period)
return;
if(!PreparePriceSeries(rates_total, price_type, open, high, low, close))
if(rates_total < 4)
return;
double f1=0, f2=0, f3=0;
int start_index;
if(prev_calculated == 0)
start_index = 0;
else
start_index = prev_calculated - 1;
// Resize internal buffer
if(ArraySize(m_price) != rates_total)
ArrayResize(m_price, rates_total);
if(!PreparePriceSeries(rates_total, start_index, price_type, open, high, low, close))
return;
//--- Incremental Loop
int loop_start = MathMax(3, start_index);
// Initialization
if(loop_start == 3)
{
filter_buffer[0] = m_price[0];
filter_buffer[1] = m_price[1];
filter_buffer[2] = m_price[2];
}
if(m_poles == POLES_TWO)
{
double a = exp(-1.414 * M_PI / m_period);
double b = 2.0 * a * cos(1.414 * M_PI / m_period);
double a = exp(-M_SQRT2 * M_PI / m_period);
double b = 2.0 * a * cos(M_SQRT2 * M_PI / m_period);
double c1 = (1.0 - b + a*a) / 4.0;
for(int i = 2; i < rates_total; i++)
for(int i = loop_start; i < rates_total; i++)
{
double current_f = b * f1 - a * a * f2 + c1 * (m_price[i] + 2.0 * m_price[i-1] + m_price[i-2]);
filter_buffer[i] = current_f;
f2 = f1;
f1 = current_f;
// Recursive calculation using persistent buffer [i-1], [i-2]
double f1 = filter_buffer[i-1];
double f2 = filter_buffer[i-2];
filter_buffer[i] = b * f1 - a * a * f2 + c1 * (m_price[i] + 2.0 * m_price[i-1] + m_price[i-2]);
}
}
else // POLES_THREE
{
double a = exp(-M_PI / m_period);
double b = 2.0 * a * cos(1.738 * M_PI / m_period);
double b = 2.0 * a * cos(1.738 * M_PI / m_period); // 1.738 is approx sqrt(3) * pi / 3? No, it's specific to 3-pole.
double c = a * a;
double c1 = (1.0 - b + c) * (1.0 - c) / 8.0;
for(int i = 3; i < rates_total; i++)
for(int i = loop_start; i < rates_total; i++)
{
double current_f = (b + c) * f1 - (c + b*c) * f2 + c*c * f3 + c1 * (m_price[i] + 3.0 * m_price[i-1] + 3.0 * m_price[i-2] + m_price[i-3]);
filter_buffer[i] = current_f;
f3 = f2;
f2 = f1;
f1 = current_f;
// Recursive calculation using persistent buffer [i-1], [i-2], [i-3]
double f1 = filter_buffer[i-1];
double f2 = filter_buffer[i-2];
double f3 = filter_buffer[i-3];
filter_buffer[i] = (b + c) * f1 - (c + b*c) * f2 + c*c * f3 + c1 * (m_price[i] + 3.0 * m_price[i-1] + 3.0 * m_price[i-2] + m_price[i-3]);
}
}
}
//+------------------------------------------------------------------+
bool CButterworthCalculator::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 CButterworthCalculator::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);
if(m_source_type == SOURCE_PRICE)
for(int i = start_index; i < rates_total; i++)
{
switch(price_type)
if(m_source_type == SOURCE_PRICE)
{
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;
}
}
}
else // SOURCE_MOMENTUM
{
for(int i=0; i<rates_total; i++)
else // SOURCE_MOMENTUM
{
m_price[i] = close[i] - open[i];
}
}
return true;
}
//+==================================================================+
//| CLASS 2: CButterworthCalculator_HA |
//+==================================================================+
class CButterworthCalculator_HA : public CButterworthCalculator
{
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 CButterworthCalculator_HA::PreparePriceSeries(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[])
//| |
//+------------------------------------------------------------------+
bool CButterworthCalculator_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);
if(m_source_type == SOURCE_PRICE)
if(ArraySize(m_ha_open) != rates_total)
{
switch(price_type)
{
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);
}
else // SOURCE_MOMENTUM
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++)
{
for(int i=0; i<rates_total; i++)
m_price[i] = ha_close[i] - ha_open[i];
if(m_source_type == SOURCE_PRICE)
{
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;
}
}
else // SOURCE_MOMENTUM
{
m_price[i] = m_ha_close[i] - m_ha_open[i];
}
}
return true;
}
//+------------------------------------------------------------------+
//+------------------------------------------------------------------+