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refactor(indicators): Optimized for incremental calculation
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Toh4iem9
@@ -1,47 +1,40 @@
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//+------------------------------------------------------------------+
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//| Polynomial_Regression_Slope_Calculator.mqh |
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//| Engine for the Polynomial Regression Slope oscillator. |
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//| VERSION 2.00: Optimized for incremental calculation. |
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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 1: CPolynomialRegressionSlopeCalculator |
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//+==================================================================+
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class CPolynomialRegressionSlopeCalculator
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{
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protected:
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int m_period;
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//--- Persistent Buffer for Incremental Calculation
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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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//--- Updated: Accepts start_index
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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[]);
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public:
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CPolynomialRegressionSlopeCalculator(void) {};
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virtual ~CPolynomialRegressionSlopeCalculator(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[],
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//--- Updated: Accepts prev_calculated
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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[],
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double &slope_buffer[]);
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};
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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class CPolynomialRegressionSlopeCalculator_HA : public CPolynomialRegressionSlopeCalculator
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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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}; // Full definition below
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//+==================================================================+
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//| METHOD IMPLEMENTATIONS |
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//+==================================================================+
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//+------------------------------------------------------------------+
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//| |
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//| Init |
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//+------------------------------------------------------------------+
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bool CPolynomialRegressionSlopeCalculator::Init(int period)
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{
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@@ -50,140 +43,180 @@ bool CPolynomialRegressionSlopeCalculator::Init(int period)
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}
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//+------------------------------------------------------------------+
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//| |
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//| Main Calculation (Optimized) |
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//+------------------------------------------------------------------+
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void CPolynomialRegressionSlopeCalculator::Calculate(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[],
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void CPolynomialRegressionSlopeCalculator::Calculate(int rates_total, int prev_calculated, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[],
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double &slope_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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//--- 1. Determine Start Index
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int start_index;
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if(prev_calculated == 0)
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start_index = 0;
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else
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start_index = prev_calculated - 1;
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//--- 2. Resize Buffer
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if(ArraySize(m_price) != rates_total)
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ArrayResize(m_price, rates_total);
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//--- 3. Prepare Price (Optimized)
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if(!PreparePriceSeries(rates_total, start_index, price_type, open, high, low, close))
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return;
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int start_pos = m_period - 1;
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//--- 4. Calculate Polynomial Regression Slope (Incremental Loop)
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int loop_start = MathMax(m_period - 1, start_index);
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for(int i = start_pos; i < rates_total; i++)
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// Pre-calculate X sums (constant for fixed period)
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// Optimization: Calculate once in Init? No, period might change? No, Init sets period.
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// But let's keep it local for simplicity, or move to Init for speed.
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// For N=50, it's fast enough.
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double sum_x=0, sum_x2=0, sum_x3=0, sum_x4=0;
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for(int j = 0; j < m_period; j++)
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{
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double sum_x=0, sum_y=0, sum_x2=0, sum_xy=0, sum_x3=0, sum_x4=0, sum_x2y=0;
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double x = j;
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sum_x += x;
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sum_x2 += x*x;
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sum_x3 += x*x*x;
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sum_x4 += x*x*x*x;
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}
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double n = m_period;
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double D = n * (sum_x2 * sum_x4 - sum_x3 * sum_x3) - sum_x * (sum_x * sum_x4 - sum_x2 * sum_x3) + sum_x2 * (sum_x * sum_x3 - sum_x2 * sum_x2);
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if(MathAbs(D) < 1e-10)
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return; // Should not happen for N >= 3
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for(int i = loop_start; i < rates_total; i++)
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{
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double sum_y=0, sum_xy=0, sum_x2y=0;
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// Inner loop over the window [i - period + 1 ... i]
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for(int j = 0; j < m_period; j++)
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{
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double x = j;
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double y = m_price[i - m_period + 1 + j];
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sum_x += x;
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sum_y += y;
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sum_x2 += x*x;
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sum_xy += x*y;
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sum_x3 += x*x*x;
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sum_x4 += x*x*x*x;
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sum_x2y += x*x*y;
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}
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double b=0, c=0;
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double n = m_period;
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double D = n * (sum_x2 * sum_x4 - sum_x3 * sum_x3) - sum_x * (sum_x * sum_x4 - sum_x2 * sum_x3) + sum_x2 * (sum_x * sum_x3 - sum_x2 * sum_x2);
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if(MathAbs(D) < 1e-10)
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continue;
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double Db = n * (sum_xy * sum_x4 - sum_x2y * sum_x3) - sum_x * (sum_y * sum_x4 - sum_x2 * sum_x2y) + sum_x2 * (sum_y * sum_x3 - sum_x2 * sum_xy);
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double Dc = n * (sum_x2 * sum_x2y - sum_x3 * sum_xy) - sum_x * (sum_x * sum_x2y - sum_x2 * sum_xy) + sum_y * (sum_x * sum_x3 - sum_x2 * sum_x2);
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b = Db / D;
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c = Dc / D;
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double b = Db / D;
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double c = Dc / D;
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//--- Calculate the slope at the current bar (x = n - 1)
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//--- Calculate the slope (1st derivative) at the current bar (x = n - 1)
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// y = a + bx + cx^2
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// y' = b + 2cx
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double x_current = n - 1;
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slope_buffer[i] = b + 2 * c * x_current;
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}
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}
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//+------------------------------------------------------------------+
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//| |
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//| Prepare Price (Standard - Optimized) |
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//+------------------------------------------------------------------+
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bool CPolynomialRegressionSlopeCalculator::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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bool CPolynomialRegressionSlopeCalculator::PreparePriceSeries(int rates_total, int start_index, 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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if(ArraySize(m_price) != rates_total)
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if(ArrayResize(m_price, rates_total) != rates_total)
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return false;
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switch(price_type)
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for(int i = start_index; i < rates_total; i++)
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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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switch(price_type)
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{
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case PRICE_CLOSE:
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m_price[i] = close[i];
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break;
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case PRICE_OPEN:
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m_price[i] = open[i];
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break;
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case PRICE_HIGH:
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m_price[i] = high[i];
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break;
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case PRICE_LOW:
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m_price[i] = low[i];
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break;
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case PRICE_MEDIAN:
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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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break;
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case PRICE_TYPICAL:
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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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break;
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case PRICE_WEIGHTED:
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m_price[i] = (high[i]+low[i]+2*close[i])/4.0;
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break;
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default:
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m_price[i] = close[i];
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break;
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}
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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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//+------------------------------------------------------------------+
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bool CPolynomialRegressionSlopeCalculator_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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//| CLASS 2: CPolynomialRegressionSlopeCalculator_HA |
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//+==================================================================+
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class CPolynomialRegressionSlopeCalculator_HA : public CPolynomialRegressionSlopeCalculator
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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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private:
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CHeikinAshi_Calculator m_ha_calculator;
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// Internal HA buffers
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double m_ha_open[], m_ha_high[], m_ha_low[], m_ha_close[];
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if(ArraySize(m_price) != rates_total)
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if(ArrayResize(m_price, rates_total) != rates_total)
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return false;
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protected:
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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;
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};
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switch(price_type)
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//+------------------------------------------------------------------+
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//| Prepare Price (Heikin Ashi - Optimized) |
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//+------------------------------------------------------------------+
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bool CPolynomialRegressionSlopeCalculator_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[])
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{
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if(ArraySize(m_ha_open) != rates_total)
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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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ArrayResize(m_ha_open, rates_total);
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ArrayResize(m_ha_high, rates_total);
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ArrayResize(m_ha_low, rates_total);
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ArrayResize(m_ha_close, rates_total);
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}
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m_ha_calculator.Calculate(rates_total, start_index, open, high, low, close,
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m_ha_open, m_ha_high, m_ha_low, m_ha_close);
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for(int i = start_index; i < rates_total; i++)
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{
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switch(price_type)
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{
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case PRICE_CLOSE:
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m_price[i] = m_ha_close[i];
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break;
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case PRICE_OPEN:
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m_price[i] = m_ha_open[i];
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break;
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case PRICE_HIGH:
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m_price[i] = m_ha_high[i];
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break;
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case PRICE_LOW:
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m_price[i] = m_ha_low[i];
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break;
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case PRICE_MEDIAN:
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m_price[i] = (m_ha_high[i]+m_ha_low[i])/2.0;
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break;
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case PRICE_TYPICAL:
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m_price[i] = (m_ha_high[i]+m_ha_low[i]+m_ha_close[i])/3.0;
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break;
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case PRICE_WEIGHTED:
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m_price[i] = (m_ha_high[i]+m_ha_low[i]+2*m_ha_close[i])/4.0;
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break;
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default:
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m_price[i] = m_ha_close[i];
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break;
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}
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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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