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refactor: Optimized for incremental calculation

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Toh4iem9
2025-12-25 20:16:16 +01:00
parent 36cbde5a6a
commit e023bbde39
1 changed files with 129 additions and 99 deletions
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Include/MyIncludes/BandPass_Calculator.mqh
+129 -99
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@@ -1,6 +1,6 @@
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
//| BandPass_Calculator.mqh | //| BandPass_Calculator.mqh |
//| Calculation engine for the John Ehlers' Band-Pass Filter. | //| VERSION 2.00: Optimized for incremental calculation. |
//| Copyright 2025, xxxxxxxx | //| Copyright 2025, xxxxxxxx |
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
#property copyright "Copyright 2025, xxxxxxxx" #property copyright "Copyright 2025, xxxxxxxx"
@@ -8,27 +8,33 @@
#include <MyIncludes\HeikinAshi_Tools.mqh> #include <MyIncludes\HeikinAshi_Tools.mqh>
//+==================================================================+ //+==================================================================+
//| |
//| CLASS 1: CBandPassCalculator (Base Class) | //| CLASS 1: CBandPassCalculator (Base Class) |
//| |
//+==================================================================+ //+==================================================================+
class CBandPassCalculator class CBandPassCalculator
{ {
protected: protected:
int m_lower_period; // For High-Pass int m_lower_period; // For High-Pass
int m_upper_period; // For SuperSmoother int m_upper_period; // For SuperSmoother
double m_price[];
virtual bool PreparePriceSeries(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[]); //--- Persistent Buffers for Incremental Calculation
double m_price[];
double m_hp_buffer[]; // Intermediate High-Pass output
//--- 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: public:
CBandPassCalculator(void) {}; CBandPassCalculator(void) {};
virtual ~CBandPassCalculator(void) {}; virtual ~CBandPassCalculator(void) {};
bool Init(int lower_period, int upper_period); bool Init(int lower_period, int upper_period);
void Calculate(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[], double &bp_buffer[]);
//--- Updated: Accepts prev_calculated
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[], double &bp_buffer[]);
}; };
//+------------------------------------------------------------------+
//| Init |
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
bool CBandPassCalculator::Init(int lower_period, int upper_period) bool CBandPassCalculator::Init(int lower_period, int upper_period)
{ {
@@ -38,19 +44,31 @@ bool CBandPassCalculator::Init(int lower_period, int upper_period)
} }
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
void CBandPassCalculator::Calculate(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[], double &bp_buffer[]) //| Main Calculation (Optimized) |
//+------------------------------------------------------------------+
void CBandPassCalculator::Calculate(int rates_total, int prev_calculated, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[], double &bp_buffer[])
{ {
if(rates_total < 10) if(rates_total < 10)
return; return;
if(!PreparePriceSeries(rates_total, price_type, open, high, low, close))
int start_index;
if(prev_calculated == 0)
start_index = 0;
else
start_index = prev_calculated - 1;
// Resize internal buffers
if(ArraySize(m_price) != rates_total)
{
ArrayResize(m_price, rates_total);
ArrayResize(m_hp_buffer, rates_total);
}
if(!PreparePriceSeries(rates_total, start_index, price_type, open, high, low, close))
return; return;
// --- Intermediate buffer for the High-Pass filter output ---
double hp_buffer[];
ArrayResize(hp_buffer, rates_total);
// --- High-Pass Filter Coefficients (from LowerPeriod) --- // --- High-Pass Filter Coefficients (from LowerPeriod) ---
double arg_hp = 1.414 * M_PI / m_lower_period; double arg_hp = M_SQRT2 * M_PI / m_lower_period;
double a1_hp = exp(-arg_hp); double a1_hp = exp(-arg_hp);
double b1_hp = 2.0 * a1_hp * cos(arg_hp); double b1_hp = 2.0 * a1_hp * cos(arg_hp);
double c2_hp = b1_hp; double c2_hp = b1_hp;
@@ -58,129 +76,141 @@ void CBandPassCalculator::Calculate(int rates_total, ENUM_APPLIED_PRICE price_ty
double c1_hp = (1.0 + c2_hp - c3_hp) / 4.0; double c1_hp = (1.0 + c2_hp - c3_hp) / 4.0;
// --- SuperSmoother Filter Coefficients (from UpperPeriod) --- // --- SuperSmoother Filter Coefficients (from UpperPeriod) ---
double arg_ss = 1.414 * M_PI / m_upper_period; double arg_ss = M_SQRT2 * M_PI / m_upper_period;
double a1_ss = exp(-arg_ss); double a1_ss = exp(-arg_ss);
double b1_ss = 2.0 * a1_ss * cos(arg_ss); double b1_ss = 2.0 * a1_ss * cos(arg_ss);
double c2_ss = b1_ss; double c2_ss = b1_ss;
double c3_ss = -a1_ss * a1_ss; double c3_ss = -a1_ss * a1_ss;
double c1_ss = 1.0 - c2_ss - c3_ss; double c1_ss = 1.0 - c2_ss - c3_ss;
// --- State variables for recursive calculations --- // --- Incremental Loop ---
double hp1=0, hp2=0; // High-Pass previous values int loop_start = MathMax(4, start_index);
double bp1=0, bp2=0; // Band-Pass (SuperSmoother) previous values
// --- Full recalculation loop --- // Initialization
for(int i = 0; i < rates_total; i++) if(loop_start == 4)
{ {
// Initialization period m_hp_buffer[0] = 0;
if(i < 4) m_hp_buffer[1] = 0;
{ m_hp_buffer[2] = 0;
hp_buffer[i] = 0; m_hp_buffer[3] = 0;
bp_buffer[i] = 0; bp_buffer[0] = 0;
continue; bp_buffer[1] = 0;
} bp_buffer[2] = 0;
bp_buffer[3] = 0;
}
for(int i = loop_start; i < rates_total; i++)
{
// --- Step 1: Calculate High-Pass filter value --- // --- Step 1: Calculate High-Pass filter value ---
double current_hp = c1_hp * (m_price[i] - 2.0 * m_price[i-1] + m_price[i-2]) + c2_hp * hp1 + c3_hp * hp2; // Recursive: hp[i] depends on hp[i-1], hp[i-2]
hp_buffer[i] = current_hp; double hp1 = m_hp_buffer[i-1];
double hp2 = m_hp_buffer[i-2];
m_hp_buffer[i] = c1_hp * (m_price[i] - 2.0 * m_price[i-1] + m_price[i-2]) + c2_hp * hp1 + c3_hp * hp2;
// --- Step 2: Calculate SuperSmoother on the High-Pass output --- // --- Step 2: Calculate SuperSmoother on the High-Pass output ---
double current_bp = c1_ss * (hp_buffer[i] + hp_buffer[i-1]) / 2.0 + c2_ss * bp1 + c3_ss * bp2; // Recursive: bp[i] depends on bp[i-1], bp[i-2]
bp_buffer[i] = current_bp; double bp1 = bp_buffer[i-1];
double bp2 = bp_buffer[i-2];
// --- Update state variables for next iteration --- bp_buffer[i] = c1_ss * (m_hp_buffer[i] + m_hp_buffer[i-1]) / 2.0 + c2_ss * bp1 + c3_ss * bp2;
hp2 = hp1;
hp1 = current_hp;
bp2 = bp1;
bp1 = current_bp;
} }
} }
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
bool CBandPassCalculator::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 CBandPassCalculator::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); for(int i = start_index; i < rates_total; i++)
switch(price_type)
{ {
case PRICE_CLOSE: switch(price_type)
ArrayCopy(m_price, close, 0, 0, rates_total); {
break; case PRICE_CLOSE:
case PRICE_OPEN: m_price[i] = close[i];
ArrayCopy(m_price, open, 0, 0, rates_total); break;
break; case PRICE_OPEN:
case PRICE_HIGH: m_price[i] = open[i];
ArrayCopy(m_price, high, 0, 0, rates_total); break;
break; case PRICE_HIGH:
case PRICE_LOW: m_price[i] = high[i];
ArrayCopy(m_price, low, 0, 0, rates_total); break;
break; case PRICE_LOW:
case PRICE_MEDIAN: m_price[i] = low[i];
for(int i=0; i<rates_total; i++) break;
case PRICE_MEDIAN:
m_price[i] = (high[i]+low[i])/2.0; m_price[i] = (high[i]+low[i])/2.0;
break; break;
case PRICE_TYPICAL: case PRICE_TYPICAL:
for(int i=0; i<rates_total; i++)
m_price[i] = (high[i]+low[i]+close[i])/3.0; m_price[i] = (high[i]+low[i]+close[i])/3.0;
break; break;
case PRICE_WEIGHTED: case PRICE_WEIGHTED:
for(int i=0; i<rates_total; i++) m_price[i] = (high[i]+low[i]+2*close[i])/4.0;
m_price[i] = (high[i]+low[i]+close[i]+close[i])/4.0; break;
break; default:
default: m_price[i] = close[i];
return false; break;
}
} }
return true; return true;
} }
//+==================================================================+
//| CLASS 2: CBandPassCalculator_HA (Heikin Ashi) |
//+==================================================================+ //+==================================================================+
class CBandPassCalculator_HA : public CBandPassCalculator class CBandPassCalculator_HA : public CBandPassCalculator
{ {
private: private:
CHeikinAshi_Calculator m_ha_calculator; CHeikinAshi_Calculator m_ha_calculator;
double m_ha_open[], m_ha_high[], m_ha_low[], m_ha_close[];
protected: 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 CBandPassCalculator_HA::PreparePriceSeries(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[]) //| |
//+------------------------------------------------------------------+
bool CBandPassCalculator_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[]; 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);
m_ha_calculator.Calculate(rates_total, open, high, low, close, ha_open, ha_high, ha_low, ha_close);
ArrayResize(m_price, rates_total);
switch(price_type)
{ {
case PRICE_CLOSE: ArrayResize(m_ha_open, rates_total);
ArrayCopy(m_price, ha_close, 0, 0, rates_total); ArrayResize(m_ha_high, rates_total);
break; ArrayResize(m_ha_low, rates_total);
case PRICE_OPEN: ArrayResize(m_ha_close, rates_total);
ArrayCopy(m_price, ha_open, 0, 0, rates_total); }
break; m_ha_calculator.Calculate(rates_total, start_index, open, high, low, close, m_ha_open, m_ha_high, m_ha_low, m_ha_close);
case PRICE_HIGH:
ArrayCopy(m_price, ha_high, 0, 0, rates_total); for(int i = start_index; i < rates_total; i++)
break; {
case PRICE_LOW: switch(price_type)
ArrayCopy(m_price, ha_low, 0, 0, rates_total); {
break; case PRICE_CLOSE:
case PRICE_MEDIAN: m_price[i] = m_ha_close[i];
for(int i=0; i<rates_total; i++) break;
m_price[i] = (ha_high[i]+ha_low[i])/2.0; case PRICE_OPEN:
break; m_price[i] = m_ha_open[i];
case PRICE_TYPICAL: break;
for(int i=0; i<rates_total; i++) case PRICE_HIGH:
m_price[i] = (ha_high[i]+ha_low[i]+ha_close[i])/3.0; m_price[i] = m_ha_high[i];
break; break;
case PRICE_WEIGHTED: case PRICE_LOW:
for(int i=0; i<rates_total; i++) m_price[i] = m_ha_low[i];
m_price[i] = (ha_high[i]+ha_low[i]+ha_close[i]+ha_close[i])/4.0; break;
break; case PRICE_MEDIAN:
default: m_price[i] = (m_ha_high[i]+m_ha_low[i])/2.0;
return false; 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;
}
} }
return true; return true;
} }
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
//+------------------------------------------------------------------+