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refactor: Optimized for incremental calculation

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Toh4iem9
2025-11-28 19:08:46 +01:00
parent 652dbeb9db
commit d7eb5090d8
1 changed files with 142 additions and 125 deletions
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Include/MyIncludes/Laguerre_Engine.mqh
+142 -125
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@@ -1,6 +1,6 @@
//+------------------------------------------------------------------+
//| Laguerre_Engine.mqh |
//| VERSION 1.10: Corrected state management for stability. |
//| VERSION 1.20: Optimized for incremental calculation. |
//| Copyright 2025, xxxxxxxx |
//+------------------------------------------------------------------+
#property copyright "Copyright 2025, xxxxxxxx"
@@ -15,20 +15,24 @@ class CLaguerreEngine
protected:
double m_gamma;
ENUM_INPUT_SOURCE m_source_type;
//--- Persistent Buffers for Incremental Calculation
double m_price[];
double m_L0[], m_L1[], m_L2[], m_L3[]; // Internal state buffers
//--- State variables for the recursive filter (CRITICAL FIX) ---
double m_L0_prev, m_L1_prev, m_L2_prev, m_L3_prev;
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:
CLaguerreEngine(void) {};
virtual ~CLaguerreEngine(void) {};
bool Init(double gamma, ENUM_INPUT_SOURCE source_type);
void CalculateFilter(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[],
double &L0_buffer[], double &L1_buffer[], double &L2_buffer[], double &L3_buffer[], double &filt_buffer[]);
//--- Updated: Accepts prev_calculated
void CalculateFilter(int rates_total, int prev_calculated, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[],
double &filt_buffer[]);
void GetPriceBuffer(double &dest_array[]);
};
@@ -37,24 +41,17 @@ public:
//+==================================================================+
//+------------------------------------------------------------------+
//| |
//| Init |
//+------------------------------------------------------------------+
bool CLaguerreEngine::Init(double gamma, ENUM_INPUT_SOURCE source_type)
{
m_gamma = fmax(0.0, fmin(1.0, gamma));
m_source_type = source_type;
//--- Reset state variables on initialization ---
m_L0_prev = 0;
m_L1_prev = 0;
m_L2_prev = 0;
m_L3_prev = 0;
return true;
}
//+------------------------------------------------------------------+
//| |
//| Get Price Buffer (Helper for FIR filter) |
//+------------------------------------------------------------------+
void CLaguerreEngine::GetPriceBuffer(double &dest_array[])
{
@@ -67,157 +64,177 @@ void CLaguerreEngine::GetPriceBuffer(double &dest_array[])
}
//+------------------------------------------------------------------+
//| |
//| Main Calculation (Optimized) |
//+------------------------------------------------------------------+
void CLaguerreEngine::CalculateFilter(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[],
double &L0_buffer[], double &L1_buffer[], double &L2_buffer[], double &L3_buffer[], double &filt_buffer[])
void CLaguerreEngine::CalculateFilter(int rates_total, int prev_calculated, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[],
double &filt_buffer[])
{
if(rates_total < 2)
return;
if(!PreparePriceSeries(rates_total, price_type, open, high, low, close))
return;
ArrayResize(L0_buffer, rates_total);
ArrayResize(L1_buffer, rates_total);
ArrayResize(L2_buffer, rates_total);
ArrayResize(L3_buffer, rates_total);
ArrayResize(filt_buffer, rates_total);
//--- 1. Determine Start Index
int start_index;
if(prev_calculated == 0)
start_index = 0;
else
start_index = prev_calculated - 1;
//--- Robust initialization on first run ---
if(m_L0_prev == 0 && m_L1_prev == 0) // A simple check for first run
//--- 2. Resize Internal Buffers
if(ArraySize(m_price) != rates_total)
{
m_L0_prev = m_price[0];
m_L1_prev = m_price[0];
m_L2_prev = m_price[0];
m_L3_prev = m_price[0];
ArrayResize(m_price, rates_total);
ArrayResize(m_L0, rates_total);
ArrayResize(m_L1, rates_total);
ArrayResize(m_L2, rates_total);
ArrayResize(m_L3, rates_total);
}
for(int i = 0; i < rates_total; i++)
//--- 3. Prepare Price (Optimized)
if(!PreparePriceSeries(rates_total, start_index, price_type, open, high, low, close))
return;
//--- 4. Calculate Laguerre Filter
// We need to handle the very first bar separately for initialization
int i = start_index;
if(i == 0)
{
// For the very first bar, output is just the price
if(i == 0)
{
L0_buffer[i] = m_price[i];
L1_buffer[i] = m_price[i];
L2_buffer[i] = m_price[i];
L3_buffer[i] = m_price[i];
}
else
{
L0_buffer[i] = (1.0 - m_gamma) * m_price[i] + m_gamma * m_L0_prev;
L1_buffer[i] = -m_gamma * L0_buffer[i] + m_L0_prev + m_gamma * m_L1_prev;
L2_buffer[i] = -m_gamma * L1_buffer[i] + m_L1_prev + m_gamma * m_L2_prev;
L3_buffer[i] = -m_gamma * L2_buffer[i] + m_L2_prev + m_gamma * m_L3_prev;
}
m_L0[0] = m_price[0];
m_L1[0] = m_price[0];
m_L2[0] = m_price[0];
m_L3[0] = m_price[0];
filt_buffer[0] = (m_L0[0] + 2.0 * m_L1[0] + 2.0 * m_L2[0] + m_L3[0]) / 6.0;
i = 1;
}
filt_buffer[i] = (L0_buffer[i] + 2.0 * L1_buffer[i] + 2.0 * L2_buffer[i] + L3_buffer[i]) / 6.0;
for(; i < rates_total; i++)
{
// Recursive calculation uses [i-1] from persistent buffers
// This is safe even if we recalculate the last bar multiple times
double L0_prev = m_L0[i-1];
double L1_prev = m_L1[i-1];
double L2_prev = m_L2[i-1];
double L3_prev = m_L3[i-1];
//--- Update state variables for the next iteration ---
m_L0_prev = L0_buffer[i];
m_L1_prev = L1_buffer[i];
m_L2_prev = L2_buffer[i];
m_L3_prev = L3_buffer[i];
m_L0[i] = (1.0 - m_gamma) * m_price[i] + m_gamma * L0_prev;
m_L1[i] = -m_gamma * m_L0[i] + L0_prev + m_gamma * L1_prev;
m_L2[i] = -m_gamma * m_L1[i] + L1_prev + m_gamma * L2_prev;
m_L3[i] = -m_gamma * m_L2[i] + L2_prev + m_gamma * L3_prev;
filt_buffer[i] = (m_L0[i] + 2.0 * m_L1[i] + 2.0 * m_L2[i] + m_L3[i]) / 6.0;
}
}
//+------------------------------------------------------------------+
bool CLaguerreEngine::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 CLaguerreEngine::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)
// Optimized copy loop
for(int i = start_index; i < rates_total; i++)
{
switch(price_type)
if(m_source_type == SOURCE_PRICE)
{
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_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++)
break;
case PRICE_WEIGHTED:
m_price[i] = (high[i]+low[i]+2*close[i])/4.0;
break;
default:
ArrayCopy(m_price, close, 0, 0, rates_total);
break;
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: CLaguerreEngine_HA (Heikin Ashi) |
//+==================================================================+
class CLaguerreEngine_HA : public CLaguerreEngine
{
private:
CHeikinAshi_Calculator m_ha_calculator;
// Internal HA buffers
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 CLaguerreEngine_HA::PreparePriceSeries(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[])
//| Prepare Price (Heikin Ashi - Optimized) |
//+------------------------------------------------------------------+
bool CLaguerreEngine_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)
// Resize internal HA buffers
if(ArraySize(m_ha_open) != rates_total)
{
switch(price_type)
{
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]+2*ha_close[i])/4.0;
break;
default:
ArrayCopy(m_price, ha_close, 0, 0, rates_total);
break;
}
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
//--- 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);
//--- Copy to m_price (Optimized loop)
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_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;
}
//+------------------------------------------------------------------+
//+------------------------------------------------------------------+