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Toh4iem9
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//+------------------------------------------------------------------+
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//| Correlation_Trend_Calculator.mqh |
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//| Calculation engine for the John Ehlers' Correlation Trend |
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//| Indicator. |
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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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//+==================================================================+
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class CCorrelationTrendCalculator
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{
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protected:
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int m_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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public:
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CCorrelationTrendCalculator(void) {};
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virtual ~CCorrelationTrendCalculator(void) {};
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bool Init(int 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[], double &corr_buffer[]);
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};
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//+------------------------------------------------------------------+
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bool CCorrelationTrendCalculator::Init(int period)
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{
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m_period = (period < 2) ? 2 : period;
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return true;
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}
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//+------------------------------------------------------------------+
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void CCorrelationTrendCalculator::Calculate(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[], double &corr_buffer[])
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{
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if(rates_total < m_period)
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return;
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if(!PreparePriceSeries(rates_total, price_type, open, high, low, close))
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return;
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for(int i = m_period - 1; i < rates_total; i++)
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{
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double sx=0, sy=0, sxx=0, syy=0, sxy=0;
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for(int j = 0; j < m_period; j++)
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{
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// x is the price, from newest (j=0) to oldest (j=m_period-1)
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double x = m_price[i - j];
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// y is a time index with a positive slope
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double y = j + 1;
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sx += x;
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sy += y;
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sxx += x * x;
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syy += y * y;
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sxy += x * y;
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}
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double numerator = m_period * sxy - sx * sy;
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double den_term1 = m_period * sxx - sx * sx;
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double den_term2 = m_period * syy - sy * sy;
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if(den_term1 > 0 && den_term2 > 0)
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{
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double denominator = sqrt(den_term1 * den_term2);
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if(denominator != 0)
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{
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// CORRECTED: The correlation of a rising price with a rising time index is positive.
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// Ehlers wants a positive correlation for an uptrend.
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// However, his EasyLanguage code uses a descending time index (Y = -count),
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// which results in an inverted output compared to a standard Pearson correlation with an ascending time index.
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// To match the visual expectation (Up Trend = Positive Corr), we must invert our result.
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// Let's re-verify. If price (X) goes up, and our time (Y) goes up, correlation is positive. Correct.
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// If price (X) goes down, and our time (Y) goes up, correlation is negative. Correct.
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// The issue might be in the EasyLanguage indexing vs MQL5.
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// Let's try reversing the time index to match Ehlers' logic.
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// Re-calculation with reversed time index
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sx=0;
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sy=0;
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sxx=0;
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syy=0;
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sxy=0;
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for(int j = 0; j < m_period; j++)
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{
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double x = m_price[i - j];
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double y = m_period - j; // Newest bar (j=0) gets highest time value
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sx += x;
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sy += y;
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sxx += x * x;
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syy += y * y;
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sxy += x * y;
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}
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numerator = m_period * sxy - sx * sy;
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den_term1 = m_period * sxx - sx * sx;
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den_term2 = m_period * syy - sy * sy;
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if(den_term1 > 0 && den_term2 > 0)
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{
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denominator = sqrt(den_term1 * den_term2);
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if(denominator != 0)
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{
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corr_buffer[i] = numerator / denominator;
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}
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}
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}
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}
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}
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}
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//+------------------------------------------------------------------+
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bool CCorrelationTrendCalculator::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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ArrayResize(m_price, rates_total);
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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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class CCorrelationTrendCalculator_HA : public CCorrelationTrendCalculator
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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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};
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//+------------------------------------------------------------------+
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bool CCorrelationTrendCalculator_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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ArrayResize(m_price, rates_total);
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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, ha_close, 0, 0, rates_total);
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break;
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case PRICE_OPEN:
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ArrayCopy(m_price, ha_open, 0, 0, rates_total);
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break;
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case PRICE_HIGH:
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ArrayCopy(m_price, ha_high, 0, 0, rates_total);
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break;
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case PRICE_LOW:
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ArrayCopy(m_price, ha_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] = (ha_high[i]+ha_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] = (ha_high[i]+ha_low[i]+ha_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] = (ha_high[i]+ha_low[i]+ha_close[i]+ha_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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