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refactor: EMA robust manual calculation

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Toh4iem9
2025-08-13 01:38:04 +02:00
parent 8dc44b27c6
commit c9eecbc7c4
1 changed files with 56 additions and 16 deletions
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Indicators/MyIndicators/SMI.mq5
+56 -16
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@@ -123,29 +123,55 @@ int OnCalculate(const int rates_total,
BufferRelativeRange[i] = close[i] - (BufferHighestHigh[i] + BufferLowestLow[i]) / 2.0; BufferRelativeRange[i] = close[i] - (BufferHighestHigh[i] + BufferLowestLow[i]) / 2.0;
} }
//--- STEP 5: Double EMA Smoothing //--- STEP 5: Double EMA Smoothing (Robust Manual Calculation)
// First EMA pass // Temporary buffers for the first EMA pass
double temp_ema1[], temp_ema2[]; double temp_ema_relative[], temp_ema_range[];
ArrayResize(temp_ema1, rates_total); ArrayResize(temp_ema_relative, rates_total);
ArrayResize(temp_ema2, rates_total); ArrayResize(temp_ema_range, rates_total);
double pr = 2.0 / (ExtLengthD + 1.0); // EMA smoothing factor
// --- First EMA Pass ---
for(int i = 1; i < rates_total; i++) for(int i = 1; i < rates_total; i++)
{ {
if(i < ExtLengthK - 1) if(i < ExtLengthK - 1)
continue; continue; // Not enough data for ranges yet
// EMA on RelativeRange
temp_ema1[i] = ExponentialMA(i, ExtLengthD, temp_ema1[i-1], BufferRelativeRange); if(i == ExtLengthK - 1) // First EMA value is the raw value itself
// EMA on HighestLowestRange {
temp_ema2[i] = ExponentialMA(i, ExtLengthD, temp_ema2[i-1], BufferHighestLowestRange); temp_ema_relative[i] = BufferRelativeRange[i];
temp_ema_range[i] = BufferHighestLowestRange[i];
}
else // Subsequent values are calculated recursively
{
temp_ema_relative[i] = BufferRelativeRange[i] * pr + temp_ema_relative[i-1] * (1.0 - pr);
temp_ema_range[i] = BufferHighestLowestRange[i] * pr + temp_ema_range[i-1] * (1.0 - pr);
}
} }
// Second EMA pass (EMA of EMA) // --- Second EMA Pass (EMA of EMA) ---
for(int i = 1; i < rates_total; i++) for(int i = 1; i < rates_total; i++)
{ {
if(i < ExtLengthK + ExtLengthD - 2) if(i < ExtLengthK + ExtLengthD - 2)
continue; continue; // Not enough data for the second pass
BufferEmaEma_Relative[i] = ExponentialMA(i, ExtLengthD, BufferEmaEma_Relative[i-1], temp_ema1);
BufferEmaEma_Range[i] = ExponentialMA(i, ExtLengthD, BufferEmaEma_Range[i-1], temp_ema2); if(i == ExtLengthK + ExtLengthD - 2) // First double EMA value
{
// To be robust, the first value is a simple average of the first EMA buffer
double sum_rel=0, sum_ran=0;
for(int j=i-ExtLengthD+1; j<=i; j++)
{
sum_rel += temp_ema_relative[j];
sum_ran += temp_ema_range[j];
}
BufferEmaEma_Relative[i] = sum_rel / ExtLengthD;
BufferEmaEma_Range[i] = sum_ran / ExtLengthD;
}
else // Subsequent values are calculated recursively
{
BufferEmaEma_Relative[i] = temp_ema_relative[i] * pr + BufferEmaEma_Relative[i-1] * (1.0 - pr);
BufferEmaEma_Range[i] = temp_ema_range[i] * pr + BufferEmaEma_Range[i-1] * (1.0 - pr);
}
} }
//--- STEP 6: Calculate final SMI value //--- STEP 6: Calculate final SMI value
@@ -158,9 +184,23 @@ int OnCalculate(const int rates_total,
} }
//--- STEP 7: Calculate the signal line (EMA of SMI) //--- STEP 7: Calculate the signal line (EMA of SMI)
for(int i = ExtLengthK + ExtLengthD + ExtLengthEMA - 3; i < rates_total; i++) double pr_signal = 2.0 / (ExtLengthEMA + 1.0);
for(int i = 1; i < rates_total; i++)
{ {
BufferSignal[i] = ExponentialMA(i, ExtLengthEMA, BufferSignal[i-1], BufferSMI); if(i < ExtLengthK + ExtLengthD + ExtLengthEMA - 3)
continue;
if(i == ExtLengthK + ExtLengthD + ExtLengthEMA - 3) // First signal value is an SMA of SMI
{
double sum_smi=0;
for(int j=i-ExtLengthEMA+1; j<=i; j++)
sum_smi += BufferSMI[j];
BufferSignal[i] = sum_smi / ExtLengthEMA;
}
else
{
BufferSignal[i] = BufferSMI[i] * pr_signal + BufferSignal[i-1] * (1.0 - pr_signal);
}
} }
return(rates_total); return(rates_total);