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Toh4iem9
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//+------------------------------------------------------------------+
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//| Inverse_Fisher_RSI_Calculator.mqh |
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//| Calculation engine for the Inverse Fisher Transform of RSI. |
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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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#include <MyIncludes\RSI_Pro_Calculator.mqh>
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#include <MyIncludes\MovingAverage_Engine.mqh>
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//+==================================================================+
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//| |
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//| CLASS 1: CInverseFisherRSICalculator (Base) |
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//| |
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//+==================================================================+
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class CInverseFisherRSICalculator
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{
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protected:
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int m_rsi_period;
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int m_wma_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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//--- Engines
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CRSIProCalculator *m_rsi_calculator;
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CMovingAverageCalculator m_wma_engine;
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//--- Persistent Buffers for Incremental Calculation
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double m_price[];
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double m_rsi_buffer[];
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double m_value1[]; // Scaled RSI
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double m_value2[]; // Smoothed Scaled RSI
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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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//--- Factory Method for RSI Engine
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virtual void CreateRSIEngine(void);
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public:
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CInverseFisherRSICalculator(void) {};
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virtual ~CInverseFisherRSICalculator(void) {};
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CInverseFisherRSICalculator(void);
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virtual ~CInverseFisherRSICalculator(void);
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bool Init(int rsi_period, int wma_period);
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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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//--- 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[],
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double &ifish_buffer[]);
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};
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//+------------------------------------------------------------------+
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//| Constructor |
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//+------------------------------------------------------------------+
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CInverseFisherRSICalculator::CInverseFisherRSICalculator(void)
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{
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m_rsi_calculator = NULL;
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}
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//+------------------------------------------------------------------+
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//| Destructor |
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//+------------------------------------------------------------------+
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CInverseFisherRSICalculator::~CInverseFisherRSICalculator(void)
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{
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if(CheckPointer(m_rsi_calculator) != POINTER_INVALID)
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delete m_rsi_calculator;
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}
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//+------------------------------------------------------------------+
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//| Factory Method |
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//+------------------------------------------------------------------+
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void CInverseFisherRSICalculator::CreateRSIEngine(void)
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{
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m_rsi_calculator = new CRSIProCalculator();
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}
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//+------------------------------------------------------------------+
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//| Init |
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//+------------------------------------------------------------------+
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bool CInverseFisherRSICalculator::Init(int rsi_period, int wma_period)
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{
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m_rsi_period = (rsi_period < 2) ? 2 : rsi_period;
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m_wma_period = (wma_period < 1) ? 1 : wma_period;
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CreateRSIEngine();
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// Init RSI with dummy MA params (1, SMA, 2.0) as we only need the RSI line
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if(CheckPointer(m_rsi_calculator) == POINTER_INVALID || !m_rsi_calculator.Init(m_rsi_period, 1, SMA, 2.0))
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return false;
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// Init WMA Engine (LWMA)
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if(!m_wma_engine.Init(m_wma_period, LWMA))
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return false;
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return true;
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}
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//+------------------------------------------------------------------+
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void CInverseFisherRSICalculator::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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//| Main Calculation (Optimized) |
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//+------------------------------------------------------------------+
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void CInverseFisherRSICalculator::Calculate(int rates_total, int prev_calculated, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[],
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double &ifish_buffer[])
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{
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if(rates_total < m_rsi_period + m_wma_period)
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return;
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if(!PreparePriceSeries(rates_total, price_type, open, high, low, close))
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int start_pos = m_rsi_period + m_wma_period;
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if(rates_total <= start_pos)
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return;
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double rsi_buffer[], value1[], value2[];
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ArrayResize(rsi_buffer, rates_total);
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ArrayResize(value1, rates_total);
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ArrayResize(value2, rates_total);
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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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// Step 1: Calculate RSI (Wilder's method)
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double sum_pos = 0, sum_neg = 0;
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for(int i = 1; i < rates_total; i++)
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// Resize Buffers
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if(ArraySize(m_price) != rates_total)
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{
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double diff = m_price[i] - m_price[i-1];
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sum_pos = (sum_pos * (m_rsi_period - 1) + (diff > 0 ? diff : 0)) / m_rsi_period;
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sum_neg = (sum_neg * (m_rsi_period - 1) + (diff < 0 ? -diff : 0)) / m_rsi_period;
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if(i >= m_rsi_period)
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{
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if(sum_neg > 0)
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rsi_buffer[i] = 100.0 - (100.0 / (1.0 + (sum_pos / sum_neg)));
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else
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rsi_buffer[i] = 100.0;
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}
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ArrayResize(m_price, rates_total);
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ArrayResize(m_rsi_buffer, rates_total);
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ArrayResize(m_value1, rates_total);
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ArrayResize(m_value2, rates_total);
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}
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// Step 2 & 3: Scale and Smooth with WMA
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for(int i = m_rsi_period - 1; i < rates_total; i++)
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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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//--- 1. Calculate RSI (Delegated to Engine)
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double dummy1[], dummy2[], dummy3[];
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// Note: RSI engine handles its own price preparation internally!
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// We pass the raw OHLC arrays and price_type.
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m_rsi_calculator.Calculate(rates_total, prev_calculated, price_type, open, high, low, close,
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m_rsi_buffer, dummy1, dummy2, dummy3);
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//--- 2. Scale RSI (Incremental)
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// RSI valid from: m_rsi_period
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int loop_start_scale = MathMax(m_rsi_period, start_index);
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for(int i = loop_start_scale; i < rates_total; i++)
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{
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// Scale RSI from 0..100 to -5..+5
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value1[i] = 0.1 * (rsi_buffer[i] - 50.0);
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// Smooth with WMA
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if(i >= m_rsi_period - 1 + m_wma_period - 1)
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{
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double wma_sum = 0;
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double weight_sum = 0;
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for(int j = 0; j < m_wma_period; j++)
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{
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int weight = m_wma_period - j;
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wma_sum += value1[i-j] * weight;
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weight_sum += weight;
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}
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if(weight_sum > 0)
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value2[i] = wma_sum / weight_sum;
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}
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m_value1[i] = 0.1 * (m_rsi_buffer[i] - 50.0);
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}
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// Step 4: Apply Inverse Fisher Transform
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for(int i = m_rsi_period - 1 + m_wma_period - 1; i < rates_total; i++)
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//--- 3. Smooth with WMA (Using Engine)
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// Offset: m_rsi_period
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m_wma_engine.CalculateOnArray(rates_total, prev_calculated, m_value1, m_value2, m_rsi_period);
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//--- 4. Apply Inverse Fisher Transform (Incremental)
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// Valid from: m_rsi_period + m_wma_period - 1
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int ifish_start = m_rsi_period + m_wma_period - 1;
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int loop_start_ifish = MathMax(ifish_start, start_index);
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for(int i = loop_start_ifish; i < rates_total; i++)
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{
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ifish_buffer[i] = (exp(2.0 * value2[i]) - 1.0) / (exp(2.0 * value2[i]) + 1.0);
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double x = m_value2[i];
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// Avoid overflow with exp(2x)
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if(x > 10)
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x = 10;
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if(x < -10)
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x = -10;
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double exp2x = exp(2.0 * x);
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ifish_buffer[i] = (exp2x - 1.0) / (exp2x + 1.0);
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}
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}
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//+------------------------------------------------------------------+
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bool CInverseFisherRSICalculator::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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//| Prepare Price (Standard - Optimized) |
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//+------------------------------------------------------------------+
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bool CInverseFisherRSICalculator::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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ArrayResize(m_price, rates_total);
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ArrayCopy(m_price, close, 0, 0, rates_total); // Ehlers' example uses Close for RSI
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// This method is just a placeholder for the base class.
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// The RSI calculator handles its own data preparation internally.
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return true;
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}
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//+==================================================================+
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//| CLASS 2: CInverseFisherRSICalculator_HA |
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//+==================================================================+
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class CInverseFisherRSICalculator_HA : public CInverseFisherRSICalculator
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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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virtual void CreateRSIEngine(void) override;
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};
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//+------------------------------------------------------------------+
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bool CInverseFisherRSICalculator_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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//| Factory Method for HA RSI Engine |
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//+------------------------------------------------------------------+
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void CInverseFisherRSICalculator_HA::CreateRSIEngine(void)
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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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ArrayResize(m_price, rates_total);
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ArrayCopy(m_price, ha_close, 0, 0, rates_total);
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return true;
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m_rsi_calculator = new CRSIProCalculator_HA();
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}
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//+------------------------------------------------------------------+
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//+------------------------------------------------------------------+
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