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refactor: Optimized for incremental calculation

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This commit is contained in:
Toh4iem9
2025-12-01 15:39:59 +01:00
parent 9eddb56291
commit c6e6d76837
1 changed files with 83 additions and 55 deletions
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Include/MyIncludes/ATR_Calculator.mqh
+83 -55
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@@ -1,6 +1,6 @@
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
//| ATR_Calculator.mqh | //| ATR_Calculator.mqh |
//| VERSION 2.10: Added Percent mode. | //| VERSION 2.21: Fixed ATR Percent incremental bug. |
//| Copyright 2025, xxxxxxxx | //| Copyright 2025, xxxxxxxx |
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
#property copyright "Copyright 2025, xxxxxxxx" #property copyright "Copyright 2025, xxxxxxxx"
@@ -14,9 +14,7 @@ enum ENUM_CANDLE_SOURCE { CANDLE_STANDARD, CANDLE_HEIKIN_ASHI };
enum ENUM_ATR_DISPLAY_MODE { ATR_POINTS, ATR_PERCENT }; enum ENUM_ATR_DISPLAY_MODE { ATR_POINTS, ATR_PERCENT };
//+==================================================================+ //+==================================================================+
//| |
//| CLASS 1: CATRCalculator (Base Class) | //| CLASS 1: CATRCalculator (Base Class) |
//| |
//+==================================================================+ //+==================================================================+
class CATRCalculator class CATRCalculator
{ {
@@ -24,21 +22,26 @@ protected:
int m_atr_period; int m_atr_period;
ENUM_ATR_DISPLAY_MODE m_display_mode; ENUM_ATR_DISPLAY_MODE m_display_mode;
//--- Virtual method for preparing the raw True Range values. //--- Persistent Buffer for True Range and Raw ATR
virtual void PrepareTrueRange(int rates_total, const double &open[], const double &high[], const double &low[], const double &close[], double &tr_buffer[]); double m_tr[];
double m_atr_raw[]; // Stores ATR in points for recursion
//--- Updated: Accepts start_index
virtual bool PrepareTrueRange(int rates_total, int start_index, const double &open[], const double &high[], const double &low[], const double &close[]);
public: public:
CATRCalculator(void) {}; CATRCalculator(void) {};
virtual ~CATRCalculator(void) {}; virtual ~CATRCalculator(void) {};
//--- Public methods
bool Init(int period, ENUM_ATR_DISPLAY_MODE mode); bool Init(int period, ENUM_ATR_DISPLAY_MODE mode);
int GetPeriod(void) const { return m_atr_period; } int GetPeriod(void) const { return m_atr_period; }
void Calculate(int rates_total, const double &open[], const double &high[], const double &low[], const double &close[], double &atr_buffer[]);
//--- Updated: Accepts prev_calculated
void Calculate(int rates_total, int prev_calculated, const double &open[], const double &high[], const double &low[], const double &close[], double &atr_buffer[]);
}; };
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
//| CATRCalculator: Initialization | //| Init |
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
bool CATRCalculator::Init(int period, ENUM_ATR_DISPLAY_MODE mode) bool CATRCalculator::Init(int period, ENUM_ATR_DISPLAY_MODE mode)
{ {
@@ -48,100 +51,125 @@ bool CATRCalculator::Init(int period, ENUM_ATR_DISPLAY_MODE mode)
} }
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
//| CATRCalculator: Main Calculation Method (Shared Logic) | //| Main Calculation (Optimized) |
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
void CATRCalculator::Calculate(int rates_total, const double &open[], const double &high[], const double &low[], const double &close[], double &atr_buffer[]) void CATRCalculator::Calculate(int rates_total, int prev_calculated, const double &open[], const double &high[], const double &low[], const double &close[], double &atr_buffer[])
{ {
if(rates_total <= m_atr_period) if(rates_total <= m_atr_period)
return; return;
//--- STEP 1: Calculate True Range (delegated to virtual method) //--- 1. Determine Start Index
double tr[]; int start_index;
PrepareTrueRange(rates_total, open, high, low, close, tr); if(prev_calculated == 0)
start_index = 0;
else
start_index = prev_calculated - 1;
//--- STEP 2: Calculate ATR (Wilder's Smoothing) //--- 2. Resize Buffers
for(int i = 1; i < rates_total; i++) if(ArraySize(m_tr) != rates_total)
{ {
if(i == m_atr_period) // Initialization with a simple average of TR ArrayResize(m_tr, rates_total);
ArrayResize(m_atr_raw, rates_total);
}
//--- 3. Prepare True Range (Optimized)
if(!PrepareTrueRange(rates_total, start_index, open, high, low, close))
return;
//--- 4. Calculate ATR (Wilder's Smoothing) using Internal Raw Buffer
int loop_start = MathMax(m_atr_period, start_index);
for(int i = loop_start; i < rates_total; i++)
{
if(i == m_atr_period) // Initialization
{ {
double sum_tr = 0; double sum_tr = 0;
for(int j = 1; j <= m_atr_period; j++) for(int j = 1; j <= m_atr_period; j++)
sum_tr += tr[j]; sum_tr += m_tr[j];
atr_buffer[i] = sum_tr / m_atr_period; m_atr_raw[i] = sum_tr / m_atr_period;
} }
else else
if(i > m_atr_period) // Recursive calculation // Recursive calculation uses m_atr_raw[i-1] which is always in POINTS
{ m_atr_raw[i] = (m_atr_raw[i-1] * (m_atr_period - 1) + m_tr[i]) / m_atr_period;
atr_buffer[i] = (atr_buffer[i-1] * (m_atr_period - 1) + tr[i]) / m_atr_period;
}
} }
//--- Step 3: Convert to percentage if requested --- //--- 5. Output to Buffer (Convert if needed)
if(m_display_mode == ATR_PERCENT) // We must update the output buffer from loop_start
for(int i = loop_start; i < rates_total; i++)
{ {
for(int i = m_atr_period; i < rates_total; i++) if(m_display_mode == ATR_PERCENT)
{ {
if(close[i] > 0) if(close[i] > 0)
atr_buffer[i] = (atr_buffer[i] / close[i]) * 100.0; atr_buffer[i] = (m_atr_raw[i] / close[i]) * 100.0;
else else
atr_buffer[i] = 0; atr_buffer[i] = 0;
} }
else
{
atr_buffer[i] = m_atr_raw[i];
}
} }
} }
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
//| CATRCalculator: Prepares raw TR from standard prices. | //| Prepare True Range (Standard - Optimized) |
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
void CATRCalculator::PrepareTrueRange(int rates_total, const double &open[], const double &high[], const double &low[], const double &close[], double &tr_buffer[]) bool CATRCalculator::PrepareTrueRange(int rates_total, int start_index, const double &open[], const double &high[], const double &low[], const double &close[])
{ {
ArrayResize(tr_buffer, rates_total); int i = (start_index < 1) ? 1 : start_index;
for(int i = 1; i < rates_total; i++)
for(; i < rates_total; i++)
{ {
double range1 = high[i] - low[i]; double range1 = high[i] - low[i];
double range2 = MathAbs(high[i] - close[i-1]); double range2 = MathAbs(high[i] - close[i-1]);
double range3 = MathAbs(low[i] - close[i-1]); double range3 = MathAbs(low[i] - close[i-1]);
tr_buffer[i] = MathMax(range1, MathMax(range2, range3)); m_tr[i] = MathMax(range1, MathMax(range2, range3));
} }
return true;
} }
//+==================================================================+ //+==================================================================+
//| |
//| CLASS 2: CATRCalculator_HA (Heikin Ashi) | //| CLASS 2: CATRCalculator_HA (Heikin Ashi) |
//| |
//+==================================================================+ //+==================================================================+
class CATRCalculator_HA : public CATRCalculator class CATRCalculator_HA : public CATRCalculator
{ {
private: private:
CHeikinAshi_Calculator m_ha_calculator; CHeikinAshi_Calculator m_ha_calculator;
// Internal HA buffers
double m_ha_open[], m_ha_high[], m_ha_low[], m_ha_close[];
protected: protected:
//--- Overridden method to prepare Heikin Ashi based TR virtual bool PrepareTrueRange(int rates_total, int start_index, const double &open[], const double &high[], const double &low[], const double &close[]) override;
virtual void PrepareTrueRange(int rates_total, const double &open[], const double &high[], const double &low[], const double &close[], double &tr_buffer[]) override;
}; };
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
//| CATRCalculator_HA: Prepares raw TR from HA prices. | //| Prepare True Range (Heikin Ashi - Optimized) |
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
void CATRCalculator_HA::PrepareTrueRange(int rates_total, const double &open[], const double &high[], const double &low[], const double &close[], double &tr_buffer[]) bool CATRCalculator_HA::PrepareTrueRange(int rates_total, int start_index, const double &open[], const double &high[], const double &low[], const double &close[])
{ {
//--- Intermediate Heikin Ashi Buffers // Resize internal HA buffers
double ha_open[], ha_high[], ha_low[], ha_close[]; if(ArraySize(m_ha_open) != rates_total)
ArrayResize(ha_open, rates_total);
ArrayResize(ha_high, rates_total);
ArrayResize(ha_low, rates_total);
ArrayResize(ha_close, rates_total);
//--- Calculate the HA candles first
m_ha_calculator.Calculate(rates_total, open, high, low, close, ha_open, ha_high, ha_low, ha_close);
//--- Now, calculate TR using the HA candles
ArrayResize(tr_buffer, rates_total);
for(int i = 1; i < rates_total; i++)
{ {
double range1 = ha_high[i] - ha_low[i]; ArrayResize(m_ha_open, rates_total);
double range2 = MathAbs(ha_high[i] - ha_close[i-1]); ArrayResize(m_ha_high, rates_total);
double range3 = MathAbs(ha_low[i] - ha_close[i-1]); ArrayResize(m_ha_low, rates_total);
tr_buffer[i] = MathMax(range1, MathMax(range2, range3)); ArrayResize(m_ha_close, rates_total);
} }
//--- STRICT CALL: Use the optimized 10-param HA calculation
m_ha_calculator.Calculate(rates_total, start_index, open, high, low, close,
m_ha_open, m_ha_high, m_ha_low, m_ha_close);
//--- Calculate TR using HA candles (Optimized loop)
int i = (start_index < 1) ? 1 : start_index;
for(; i < rates_total; i++)
{
double range1 = m_ha_high[i] - m_ha_low[i];
double range2 = MathAbs(m_ha_high[i] - m_ha_close[i-1]);
double range3 = MathAbs(m_ha_low[i] - m_ha_close[i-1]);
m_tr[i] = MathMax(range1, MathMax(range2, range3));
}
return true;
} }
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
//+------------------------------------------------------------------+