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refactor:
This commit is contained in:
Toh4iem9
@@ -1,20 +1,26 @@
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//+------------------------------------------------------------------+
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//| MESA_Calculator.mqh |
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//| Calculation engine for Ehlers' MAMA/FAMA. |
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//| Calculation engines for Standard and Heikin Ashi MAMA/FAMA. |
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//| (Based on the official MotiveWave pseudo-code) |
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//| Copyright 2025, xxxxxxxx |
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//+------------------------------------------------------------------+
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#property copyright "Copyright 2025, xxxxxxxx"
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//+------------------------------------------------------------------+
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#include <MyIncludes\HeikinAshi_Tools.mqh>
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//+==================================================================+
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//| |
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//+------------------------------------------------------------------+
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//| CLASS 1: CMESACalculator (Standard) |
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//| |
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//+==================================================================+
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class CMESACalculator
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{
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private:
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protected:
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double m_fast_limit;
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double m_slow_limit;
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#define DECLARE_BUFFER(name) double m_##name[]
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DECLARE_BUFFER(price);
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DECLARE_BUFFER(smooth);
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DECLARE_BUFFER(detrender);
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DECLARE_BUFFER(i1);
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@@ -32,111 +38,195 @@ private:
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DECLARE_BUFFER(mama);
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DECLARE_BUFFER(fama);
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#undef DECLARE_BUFFER
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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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CMESACalculator(void) : m_fast_limit(0.5), m_slow_limit(0.05) {}
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~CMESACalculator(void) {}
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bool Init(double fast_limit, double slow_limit) { m_fast_limit = fast_limit; m_slow_limit = slow_limit; return true; }
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void Calculate(int rates_total, const double &price_src[], double &mama_out[], double &fama_out[])
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{
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int warmup_period = 10;
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if(rates_total < warmup_period)
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return;
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CMESACalculator(void);
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virtual ~CMESACalculator(void) {};
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bool Init(double fast_limit, double slow_limit);
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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 &mama_out[], double &fama_out[]);
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};
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//+------------------------------------------------------------------+
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//| CMESACalculator: Constructor |
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//+------------------------------------------------------------------+
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CMESACalculator::CMESACalculator(void) : m_fast_limit(0.5), m_slow_limit(0.05)
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{
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}
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//+------------------------------------------------------------------+
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//| CMESACalculator: Initialization |
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//+------------------------------------------------------------------+
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bool CMESACalculator::Init(double fast_limit, double slow_limit)
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{
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m_fast_limit = fast_limit;
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m_slow_limit = slow_limit;
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return true;
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}
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//+------------------------------------------------------------------+
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//| CMESACalculator: Main Calculation Method |
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//+------------------------------------------------------------------+
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void CMESACalculator::Calculate(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[], double &mama_out[], double &fama_out[])
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{
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int warmup_period = 10;
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if(rates_total < warmup_period)
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return;
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#define RESIZE_BUFFER(name) ArrayResize(m_##name, rates_total, 0)
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RESIZE_BUFFER(smooth);
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RESIZE_BUFFER(detrender);
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RESIZE_BUFFER(i1);
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RESIZE_BUFFER(q1);
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RESIZE_BUFFER(jI);
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RESIZE_BUFFER(jQ);
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RESIZE_BUFFER(i2);
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RESIZE_BUFFER(q2);
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RESIZE_BUFFER(re);
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RESIZE_BUFFER(im);
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RESIZE_BUFFER(period);
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RESIZE_BUFFER(smooth_period);
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RESIZE_BUFFER(phase);
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RESIZE_BUFFER(alpha);
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RESIZE_BUFFER(mama);
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RESIZE_BUFFER(fama);
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RESIZE_BUFFER(price);
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RESIZE_BUFFER(smooth);
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RESIZE_BUFFER(detrender);
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RESIZE_BUFFER(i1);
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RESIZE_BUFFER(q1);
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RESIZE_BUFFER(jI);
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RESIZE_BUFFER(jQ);
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RESIZE_BUFFER(i2);
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RESIZE_BUFFER(q2);
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RESIZE_BUFFER(re);
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RESIZE_BUFFER(im);
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RESIZE_BUFFER(period);
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RESIZE_BUFFER(smooth_period);
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RESIZE_BUFFER(phase);
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RESIZE_BUFFER(alpha);
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RESIZE_BUFFER(mama);
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RESIZE_BUFFER(fama);
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#undef RESIZE_BUFFER
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if(!PreparePriceSeries(rates_total, price_type, open, high, low, close))
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return;
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#define nz(arr, idx) ( (i >= idx) ? arr[i-idx] : 0 )
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for(int i = 0; i < rates_total; i++)
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for(int i = 0; i < rates_total; i++)
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{
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if(i < warmup_period)
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{
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if(i < warmup_period)
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{
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m_mama[i] = price_src[i];
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m_fama[i] = price_src[i];
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m_period[i] = 20;
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m_smooth_period[i] = 20;
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continue;
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}
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//--- Calculations exactly as per MotiveWave pseudo-code ---
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m_smooth[i] = (4 * price_src[i] + 3 * nz(price_src,1) + 2 * nz(price_src,2) + nz(price_src,3)) / 10.0;
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m_detrender[i] = (0.0962 * m_smooth[i] + 0.5769 * nz(m_smooth,2) - 0.5769 * nz(m_smooth,4) - 0.0962 * nz(m_smooth,6)) * (0.075 * nz(m_period,1) + 0.54);
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m_q1[i] = (0.0962 * m_detrender[i] + 0.5769 * nz(m_detrender,2) - 0.5769 * nz(m_detrender,4) - 0.0962 * nz(m_detrender,6)) * (0.075 * nz(m_period,1) + 0.54);
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m_i1[i] = nz(m_detrender,3);
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m_jI[i] = (0.0962 * m_i1[i] + 0.5769 * nz(m_i1,2) - 0.5769 * nz(m_i1,4) - 0.0962 * nz(m_i1,6)) * (0.075 * nz(m_period,1) + 0.54);
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m_jQ[i] = (0.0962 * m_q1[i] + 0.5769 * nz(m_q1,2) - 0.5769 * nz(m_q1,4) - 0.0962 * nz(m_q1,6)) * (0.075 * nz(m_period,1) + 0.54);
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m_i2[i] = m_i1[i] - m_jQ[i];
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m_q2[i] = m_q1[i] + m_jI[i];
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m_i2[i] = 0.2 * m_i2[i] + 0.8 * nz(m_i2,1);
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m_q2[i] = 0.2 * m_q2[i] + 0.8 * nz(m_q2,1);
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m_re[i] = m_i2[i] * nz(m_i2,1) + m_q2[i] * nz(m_q2,1);
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m_im[i] = m_i2[i] * nz(m_q2,1) - m_q2[i] * nz(m_i2,1);
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m_re[i] = 0.2 * m_re[i] + 0.8 * nz(m_re,1);
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m_im[i] = 0.2 * m_im[i] + 0.8 * nz(m_im,1);
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if(m_im[i] != 0.0 && m_re[i] != 0.0)
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m_period[i] = 360.0 / (MathArctan(m_im[i] / m_re[i]) * 180.0 / M_PI);
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else
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m_period[i] = nz(m_period,1);
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if(m_period[i] > 1.5 * nz(m_period,1))
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m_period[i] = 1.5 * nz(m_period,1);
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if(m_period[i] < 0.67 * nz(m_period,1))
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m_period[i] = 0.67 * nz(m_period,1);
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if(m_period[i] < 6)
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m_period[i] = 6;
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if(m_period[i] > 50)
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m_period[i] = 50;
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m_period[i] = 0.2 * m_period[i] + 0.8 * nz(m_period,1);
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m_smooth_period[i] = 0.33 * m_period[i] + 0.67 * nz(m_smooth_period,1);
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if(m_i1[i] != 0.0)
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m_phase[i] = (MathArctan(m_q1[i] / m_i1[i]) * 180.0 / M_PI);
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else
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m_phase[i] = nz(m_phase,1);
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double delta_phase = nz(m_phase,1) - m_phase[i];
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if(delta_phase < 1.0)
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delta_phase = 1.0;
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m_alpha[i] = m_fast_limit / delta_phase;
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if(m_alpha[i] < m_slow_limit)
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m_alpha[i] = m_slow_limit;
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if(m_alpha[i] > m_fast_limit)
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m_alpha[i] = m_fast_limit;
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m_mama[i] = m_alpha[i] * price_src[i] + (1 - m_alpha[i]) * nz(m_mama,1);
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m_fama[i] = 0.5 * m_alpha[i] * m_mama[i] + (1 - 0.5 * m_alpha[i]) * nz(m_fama,1);
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m_mama[i] = m_price[i];
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m_fama[i] = m_price[i];
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m_period[i] = 20;
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m_smooth_period[i] = 20;
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continue;
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}
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m_smooth[i] = (4 * m_price[i] + 3 * nz(m_price,1) + 2 * nz(m_price,2) + nz(m_price,3)) / 10.0;
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m_detrender[i] = (0.0962 * m_smooth[i] + 0.5769 * nz(m_smooth,2) - 0.5769 * nz(m_smooth,4) - 0.0962 * nz(m_smooth,6)) * (0.075 * nz(m_period,1) + 0.54);
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m_q1[i] = (0.0962 * m_detrender[i] + 0.5769 * nz(m_detrender,2) - 0.5769 * nz(m_detrender,4) - 0.0962 * nz(m_detrender,6)) * (0.075 * nz(m_period,1) + 0.54);
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m_i1[i] = nz(m_detrender,3);
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m_jI[i] = (0.0962 * m_i1[i] + 0.5769 * nz(m_i1,2) - 0.5769 * nz(m_i1,4) - 0.0962 * nz(m_i1,6)) * (0.075 * nz(m_period,1) + 0.54);
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m_jQ[i] = (0.0962 * m_q1[i] + 0.5769 * nz(m_q1,2) - 0.5769 * nz(m_q1,4) - 0.0962 * nz(m_q1,6)) * (0.075 * nz(m_period,1) + 0.54);
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m_i2[i] = m_i1[i] - m_jQ[i];
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m_q2[i] = m_q1[i] + m_jI[i];
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m_i2[i] = 0.2 * m_i2[i] + 0.8 * nz(m_i2,1);
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m_q2[i] = 0.2 * m_q2[i] + 0.8 * nz(m_q2,1);
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m_re[i] = m_i2[i] * nz(m_i2,1) + m_q2[i] * nz(m_q2,1);
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m_im[i] = m_i2[i] * nz(m_q2,1) - m_q2[i] * nz(m_i2,1);
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m_re[i] = 0.2 * m_re[i] + 0.8 * nz(m_re,1);
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m_im[i] = 0.2 * m_im[i] + 0.8 * nz(m_im,1);
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if(m_im[i] != 0.0 && m_re[i] != 0.0)
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m_period[i] = 360.0 / (MathArctan(m_im[i] / m_re[i]) * 180.0 / M_PI);
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else
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m_period[i] = nz(m_period,1);
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if(m_period[i] > 1.5 * nz(m_period,1))
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m_period[i] = 1.5 * nz(m_period,1);
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if(m_period[i] < 0.67 * nz(m_period,1))
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m_period[i] = 0.67 * nz(m_period,1);
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if(m_period[i] < 6)
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m_period[i] = 6;
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if(m_period[i] > 50)
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m_period[i] = 50;
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m_period[i] = 0.2 * m_period[i] + 0.8 * nz(m_period,1);
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m_smooth_period[i] = 0.33 * m_period[i] + 0.67 * nz(m_smooth_period,1);
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if(m_i1[i] != 0.0)
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m_phase[i] = (MathArctan(m_q1[i] / m_i1[i]) * 180.0 / M_PI);
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else
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m_phase[i] = nz(m_phase,1);
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double delta_phase = nz(m_phase,1) - m_phase[i];
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if(delta_phase < 1.0)
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delta_phase = 1.0;
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m_alpha[i] = m_fast_limit / delta_phase;
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if(m_alpha[i] < m_slow_limit)
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m_alpha[i] = m_slow_limit;
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if(m_alpha[i] > m_fast_limit)
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m_alpha[i] = m_fast_limit;
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m_mama[i] = m_alpha[i] * m_price[i] + (1 - m_alpha[i]) * nz(m_mama,1);
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m_fama[i] = 0.5 * m_alpha[i] * m_mama[i] + (1 - 0.5 * m_alpha[i]) * nz(m_fama,1);
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}
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#undef nz
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ArrayCopy(mama_out, m_mama, 0, 0, rates_total);
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ArrayCopy(fama_out, m_fama, 0, 0, rates_total);
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}
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};
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ArrayCopy(mama_out, m_mama, 0, 0, rates_total);
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ArrayCopy(fama_out, m_fama, 0, 0, rates_total);
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}
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//+------------------------------------------------------------------+
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//| CMESACalculator: Prepares the source price series. |
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//+------------------------------------------------------------------+
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bool CMESACalculator::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_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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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]+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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}
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return true;
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}
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//+==================================================================+
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//| |
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//| CLASS 2: CMESACalculator_HA (Heikin Ashi) |
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//| |
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//+==================================================================+
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class CMESACalculator_HA : public CMESACalculator
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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[]);
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};
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//+------------------------------------------------------------------+
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//| CMESACalculator_HA: Prepares the source price series. |
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//+------------------------------------------------------------------+
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bool CMESACalculator_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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//--- The HA version ALWAYS uses the HA Close price, ignoring the price_type input
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ArrayCopy(m_price, ha_close, 0, 0, rates_total);
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return true;
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}
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//+------------------------------------------------------------------+
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//+------------------------------------------------------------------+
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