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refactor(indicators): Optimized for incremental calculation

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Toh4iem9
2026-01-03 09:26:55 +01:00
parent c60c1cb8a3
commit e2d9fd1fa0
1 changed files with 143 additions and 110 deletions
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Include/MyIncludes/Polynomial_Regression_Slope_Calculator.mqh
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@@ -1,47 +1,40 @@
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
//| Polynomial_Regression_Slope_Calculator.mqh | //| Polynomial_Regression_Slope_Calculator.mqh |
//| Engine for the Polynomial Regression Slope oscillator. | //| Engine for the Polynomial Regression Slope oscillator. |
//| VERSION 2.00: Optimized for incremental calculation. |
//| Copyright 2025, xxxxxxxx | //| Copyright 2025, xxxxxxxx |
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
#property copyright "Copyright 2025, xxxxxxxx" #property copyright "Copyright 2025, xxxxxxxx"
#include <MyIncludes\HeikinAshi_Tools.mqh> #include <MyIncludes\HeikinAshi_Tools.mqh>
//+==================================================================+
//| CLASS 1: CPolynomialRegressionSlopeCalculator |
//+==================================================================+ //+==================================================================+
class CPolynomialRegressionSlopeCalculator class CPolynomialRegressionSlopeCalculator
{ {
protected: protected:
int m_period; int m_period;
//--- Persistent Buffer for Incremental Calculation
double m_price[]; 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[]); //--- 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:
CPolynomialRegressionSlopeCalculator(void) {}; CPolynomialRegressionSlopeCalculator(void) {};
virtual ~CPolynomialRegressionSlopeCalculator(void) {}; virtual ~CPolynomialRegressionSlopeCalculator(void) {};
bool Init(int period); bool Init(int period);
void Calculate(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[],
//--- 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 &slope_buffer[]); double &slope_buffer[]);
}; };
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
//| | //| Init |
//+------------------------------------------------------------------+
class CPolynomialRegressionSlopeCalculator_HA : public CPolynomialRegressionSlopeCalculator
{
private:
CHeikinAshi_Calculator m_ha_calculator;
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;
}; // Full definition below
//+==================================================================+
//| METHOD IMPLEMENTATIONS |
//+==================================================================+
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
bool CPolynomialRegressionSlopeCalculator::Init(int period) bool CPolynomialRegressionSlopeCalculator::Init(int period)
{ {
@@ -50,140 +43,180 @@ bool CPolynomialRegressionSlopeCalculator::Init(int period)
} }
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
//| | //| Main Calculation (Optimized) |
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
void CPolynomialRegressionSlopeCalculator::Calculate(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[], 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[],
double &slope_buffer[]) double &slope_buffer[])
{ {
if(rates_total < m_period) if(rates_total < m_period)
return; return;
if(!PreparePriceSeries(rates_total, price_type, open, high, low, close))
//--- 1. Determine Start Index
int start_index;
if(prev_calculated == 0)
start_index = 0;
else
start_index = prev_calculated - 1;
//--- 2. Resize Buffer
if(ArraySize(m_price) != rates_total)
ArrayResize(m_price, rates_total);
//--- 3. Prepare Price (Optimized)
if(!PreparePriceSeries(rates_total, start_index, price_type, open, high, low, close))
return; return;
int start_pos = m_period - 1; //--- 4. Calculate Polynomial Regression Slope (Incremental Loop)
int loop_start = MathMax(m_period - 1, start_index);
for(int i = start_pos; i < rates_total; i++) // Pre-calculate X sums (constant for fixed period)
// Optimization: Calculate once in Init? No, period might change? No, Init sets period.
// But let's keep it local for simplicity, or move to Init for speed.
// For N=50, it's fast enough.
double sum_x=0, sum_x2=0, sum_x3=0, sum_x4=0;
for(int j = 0; j < m_period; j++)
{ {
double sum_x=0, sum_y=0, sum_x2=0, sum_xy=0, sum_x3=0, sum_x4=0, sum_x2y=0; double x = j;
sum_x += x;
sum_x2 += x*x;
sum_x3 += x*x*x;
sum_x4 += x*x*x*x;
}
double n = m_period;
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);
if(MathAbs(D) < 1e-10)
return; // Should not happen for N >= 3
for(int i = loop_start; i < rates_total; i++)
{
double sum_y=0, sum_xy=0, sum_x2y=0;
// Inner loop over the window [i - period + 1 ... i]
for(int j = 0; j < m_period; j++) for(int j = 0; j < m_period; j++)
{ {
double x = j; double x = j;
double y = m_price[i - m_period + 1 + j]; double y = m_price[i - m_period + 1 + j];
sum_x += x;
sum_y += y; sum_y += y;
sum_x2 += x*x;
sum_xy += x*y; sum_xy += x*y;
sum_x3 += x*x*x;
sum_x4 += x*x*x*x;
sum_x2y += x*x*y; sum_x2y += x*x*y;
} }
double b=0, c=0;
double n = m_period;
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);
if(MathAbs(D) < 1e-10)
continue;
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); 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);
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); 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);
b = Db / D; double b = Db / D;
c = Dc / D; double c = Dc / D;
//--- Calculate the slope at the current bar (x = n - 1) //--- Calculate the slope (1st derivative) at the current bar (x = n - 1)
// y = a + bx + cx^2
// y' = b + 2cx
double x_current = n - 1; double x_current = n - 1;
slope_buffer[i] = b + 2 * c * x_current; slope_buffer[i] = b + 2 * c * x_current;
} }
} }
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
//| | //| Prepare Price (Standard - Optimized) |
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
bool CPolynomialRegressionSlopeCalculator::PreparePriceSeries(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[]) 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[])
{ {
if(ArraySize(m_price) != rates_total) for(int i = start_index; i < rates_total; i++)
if(ArrayResize(m_price, rates_total) != rates_total)
return false;
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: CPolynomialRegressionSlopeCalculator_HA |
//+------------------------------------------------------------------+ //+==================================================================+
bool CPolynomialRegressionSlopeCalculator_HA::PreparePriceSeries(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[]) class CPolynomialRegressionSlopeCalculator_HA : public CPolynomialRegressionSlopeCalculator
{ {
double ha_open[], ha_high[], ha_low[], ha_close[]; private:
ArrayResize(ha_open, rates_total); CHeikinAshi_Calculator m_ha_calculator;
ArrayResize(ha_high, rates_total); // Internal HA buffers
ArrayResize(ha_low, rates_total); double m_ha_open[], m_ha_high[], m_ha_low[], m_ha_close[];
ArrayResize(ha_close, rates_total);
m_ha_calculator.Calculate(rates_total, open, high, low, close, ha_open, ha_high, ha_low, ha_close);
if(ArraySize(m_price) != rates_total) protected:
if(ArrayResize(m_price, rates_total) != rates_total) 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;
return false; };
switch(price_type) //+------------------------------------------------------------------+
//| Prepare Price (Heikin Ashi - Optimized) |
//+------------------------------------------------------------------+
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[])
{
if(ArraySize(m_ha_open) != rates_total)
{ {
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;
case PRICE_HIGH: m_ha_calculator.Calculate(rates_total, start_index, open, high, low, close,
ArrayCopy(m_price, ha_high, 0, 0, rates_total); m_ha_open, m_ha_high, m_ha_low, m_ha_close);
break;
case PRICE_LOW: for(int i = start_index; i < rates_total; i++)
ArrayCopy(m_price, ha_low, 0, 0, rates_total); {
break; switch(price_type)
case PRICE_MEDIAN: {
for(int i=0; i<rates_total; i++) case PRICE_CLOSE:
m_price[i] = (ha_high[i]+ha_low[i])/2.0; m_price[i] = m_ha_close[i];
break; break;
case PRICE_TYPICAL: case PRICE_OPEN:
for(int i=0; i<rates_total; i++) m_price[i] = m_ha_open[i];
m_price[i] = (ha_high[i]+ha_low[i]+ha_close[i])/3.0; break;
break; case PRICE_HIGH:
case PRICE_WEIGHTED: m_price[i] = m_ha_high[i];
for(int i=0; i<rates_total; i++) break;
m_price[i] = (ha_high[i]+ha_low[i]+ha_close[i]+ha_close[i])/4.0; case PRICE_LOW:
break; m_price[i] = m_ha_low[i];
default: break;
return false; 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;
}
} }
return true; return true;
} }
//+------------------------------------------------------------------+ //+------------------------------------------------------------------+
//+------------------------------------------------------------------+