diff --git a/Include/MyIncludes/KAMA_Anchored_Calculator.mqh b/Include/MyIncludes/KAMA_Anchored_Calculator.mqh new file mode 100644 index 0000000..751a416 --- /dev/null +++ b/Include/MyIncludes/KAMA_Anchored_Calculator.mqh @@ -0,0 +1,322 @@ +//+------------------------------------------------------------------+ +//| KAMA_Anchored_Calculator.mqh | +//| Kaufman's Adaptive Moving Average with Anchored Resets. | +//| VERSION 1.11: Fixed buffer sizing and kama_buffer typos | +//| Copyright 2026, xxxxxxxx | +//+------------------------------------------------------------------+ +#property copyright "Copyright 2026, xxxxxxxx" +#property version "1.11" // Fixed persistent buffer sizing and corrected kama_buffer parameter mismatch typos + +#ifndef KAMA_ANCHORED_CALCULATOR_MQH +#define KAMA_ANCHORED_CALCULATOR_MQH + +#include + +//--- Anchored Reset Period Enum +enum ENUM_ANCHOR_PERIOD + { + ANCHOR_NONE, // Standard rolling window (InpErPeriod) + ANCHOR_SESSION, // Reset every day (Daily VWAP style) + ANCHOR_WEEK, // Reset every week (Weekly VWAP style) + ANCHOR_MONTH, // Reset every month (Monthly VWAP style) + ANCHOR_CUSTOM_SESSION // Reset based on custom broker-time range + }; + +//+==================================================================+ +//| CLASS: CKamaAnchoredCalculator | +//+==================================================================+ +class CKamaAnchoredCalculator : public CKamaCalculator + { +protected: + ENUM_ANCHOR_PERIOD m_anchor; + int m_anchor_start[]; // Tracks the start index of the anchor period for each bar + int m_period_idx[]; // Tracks the period count (odd/even) per bar + double m_kama_internal[]; // Seamless internal KAMA buffer to preserve recursive state + + // Custom session times + int m_start_hour, m_start_min; + int m_end_hour, m_end_min; + + bool IsTimeInSession(datetime time_val); + +public: + CKamaAnchoredCalculator(); + ~CKamaAnchoredCalculator() {}; + + bool Init(int er_p, int fast_ema_p, int slow_ema_p, ENUM_ANCHOR_PERIOD anchor, string custom_start="09:00", string custom_end="18:00"); + + //--- Upgraded Calculate to output into two separate gapped buffers (Odd & Even) + void Calculate(int rates_total, int prev_calculated, ENUM_APPLIED_PRICE price_type, + const datetime &time[], + const double &open[], const double &high[], const double &low[], const double &close[], + double &kama_odd[], double &kama_even[]); + }; + +//+------------------------------------------------------------------+ +//| Constructor | +//+------------------------------------------------------------------+ +CKamaAnchoredCalculator::CKamaAnchoredCalculator() : m_anchor(ANCHOR_SESSION) + { + } + +//+------------------------------------------------------------------+ +//| Init | +//+------------------------------------------------------------------+ +bool CKamaAnchoredCalculator::Init(int er_p, int fast_ema_p, int slow_ema_p, ENUM_ANCHOR_PERIOD anchor, string custom_start, string custom_end) + { + if(!CKamaCalculator::Init(er_p, fast_ema_p, slow_ema_p)) + return false; + m_anchor = anchor; + + string parts[]; + if(StringSplit(custom_start, ':', parts) == 2) + { + m_start_hour = (int)StringToInteger(parts[0]); + m_start_min = (int)StringToInteger(parts[1]); + } + if(StringSplit(custom_end, ':', parts) == 2) + { + m_end_hour = (int)StringToInteger(parts[0]); + m_end_min = (int)StringToInteger(parts[1]); + } + return true; + } + +//+------------------------------------------------------------------+ +//| IsTimeInSession | +//+------------------------------------------------------------------+ +bool CKamaAnchoredCalculator::IsTimeInSession(datetime time_val) + { + MqlDateTime dt; + TimeToStruct(time_val, dt); + int current_min = dt.hour * 60 + dt.min; + int start_total = m_start_hour * 60 + m_start_min; + int end_total = m_end_hour * 60 + m_end_min; + + if(end_total < start_total) // Overlapping midnight session + { + return (current_min >= start_total || current_min < end_total); + } + else + { + return (current_min >= start_total && current_min < end_total); + } + } + +//+------------------------------------------------------------------+ +//| Calculate (Strictly O(1) Non-Repainting Anchored Loop) | +//+------------------------------------------------------------------+ +void CKamaAnchoredCalculator::Calculate(int rates_total, int prev_calculated, ENUM_APPLIED_PRICE price_type, + const datetime &time[], + const double &open[], const double &high[], const double &low[], const double &close[], + double &kama_odd[], double &kama_even[]) + { + if(rates_total <= m_er_period) + return; + +//--- 1. Determine Start Index + int start_index = (prev_calculated == 0) ? 0 : prev_calculated - 1; + +//--- 2. Resize Buffers (FIXED: Added sizing for period_idx and kama_internal) + if(ArraySize(m_price) != rates_total) + { + ArrayResize(m_price, rates_total); + ArrayResize(m_anchor_start, rates_total); + ArrayResize(m_period_idx, rates_total); + ArrayResize(m_kama_internal, rates_total); + } + +//--- 3. Prepare Price Series + if(!PreparePriceSeries(rates_total, start_index, price_type, open, high, low, close)) + return; + +//--- 4. Calculate KAMA with Anchored Resets + if(start_index == 0) + { + m_anchor_start[0] = 0; + m_period_idx[0] = 1; + m_kama_internal[0] = m_price[0]; // FIXED: Corrected array name + kama_odd[0] = m_price[0]; + kama_even[0] = EMPTY_VALUE; + start_index = 1; + } + + for(int i = start_index; i < rates_total; i++) + { + bool new_period = false; + + switch(m_anchor) + { + case ANCHOR_SESSION: + { + MqlDateTime dt_curr, dt_prev; + TimeToStruct(time[i], dt_curr); + TimeToStruct(time[i-1], dt_prev); + if(dt_curr.day_of_year != dt_prev.day_of_year || dt_curr.year != dt_prev.year) + new_period = true; + break; + } + case ANCHOR_WEEK: + { + MqlDateTime dt_curr, dt_prev; + TimeToStruct(time[i], dt_curr); + TimeToStruct(time[i-1], dt_prev); + if(dt_curr.day_of_week < dt_prev.day_of_week) + new_period = true; + break; + } + case ANCHOR_MONTH: + { + MqlDateTime dt_curr, dt_prev; + TimeToStruct(time[i], dt_curr); + TimeToStruct(time[i-1], dt_prev); + if(dt_curr.mon != dt_prev.mon || dt_curr.year != dt_prev.year) + new_period = true; + break; + } + case ANCHOR_CUSTOM_SESSION: + { + MqlDateTime dt_curr, dt_prev; + TimeToStruct(time[i], dt_curr); + TimeToStruct(time[i-1], dt_prev); + int min_curr = dt_curr.hour * 60 + dt_curr.min; + int min_prev = dt_prev.hour * 60 + dt_prev.min; + int start_min = m_start_hour * 60 + m_start_min; + bool day_changed = (dt_curr.day_of_year != dt_prev.day_of_year || dt_curr.year != dt_prev.year); + if(day_changed) + { + if(min_curr >= start_min) + new_period = true; + } + else + { + if(min_prev < start_min && min_curr >= start_min) + new_period = true; + } + break; + } + default: + break; + } + + if(new_period) + { + m_anchor_start[i] = i; + m_period_idx[i] = m_period_idx[i-1] + 1; + } + else + { + m_anchor_start[i] = m_anchor_start[i-1]; + m_period_idx[i] = m_period_idx[i-1]; + } + + int current_anchor_idx = m_anchor_start[i]; + int current_period_idx = m_period_idx[i]; + + // Re-initialize KAMA on the reset bar to prevent historical drift + if(i == current_anchor_idx) + { + m_kama_internal[i] = m_price[i]; // FIXED: Corrected array name + } + else + { + // Calculate the adaptive lookback based on elapsed bars since reset + int elapsed_bars = i - current_anchor_idx; + int active_er_period = MathMin(m_er_period, elapsed_bars); + + // Calculate Efficiency Ratio (ER) + double direction = MathAbs(m_price[i] - m_price[i - active_er_period]); + double volatility = 0.0; + + for(int j = 0; j < active_er_period; j++) + { + volatility += MathAbs(m_price[i - j] - m_price[i - j - 1]); + } + + double er = (volatility > 0.000001) ? direction / volatility : 0; + + // Calculate Scaled Smoothing Constant (SSC) + double sc = pow(er * (m_fastest_sc - m_slowest_sc) + m_slowest_sc, 2); + + // Calculate Final AMA (KAMA) into internal state buffer (FIXED: Corrected array names) + m_kama_internal[i] = m_kama_internal[i-1] + sc * (m_price[i] - m_kama_internal[i-1]); + } + + // Map to separate buffers based on period parity to create a clean gap + if(current_period_idx % 2 != 0) + { + kama_odd[i] = m_kama_internal[i]; + kama_even[i] = EMPTY_VALUE; + } + else + { + kama_even[i] = m_kama_internal[i]; + kama_odd[i] = EMPTY_VALUE; + } + } + } + +//+==================================================================+ +//| CLASS 2: CKamaAnchoredCalculator_HA | +//+==================================================================+ +class CKamaAnchoredCalculator_HA : public CKamaAnchoredCalculator + { +private: + CHeikinAshi_Calculator m_ha_calculator; + double m_ha_open[], m_ha_high[], m_ha_low[], m_ha_close[]; + +protected: + 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; + }; + +//+------------------------------------------------------------------+ +//| Prepare Price (Heikin Ashi - Optimized) | +//+------------------------------------------------------------------+ +bool CKamaAnchoredCalculator_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) + { + ArrayResize(m_ha_open, rates_total); + ArrayResize(m_ha_high, rates_total); + ArrayResize(m_ha_low, rates_total); + ArrayResize(m_ha_close, rates_total); + } + + m_ha_calculator.Calculate(rates_total, start_index, open, high, low, close, + m_ha_open, m_ha_high, m_ha_low, m_ha_close); + + for(int i = start_index; i < rates_total; i++) + { + switch(price_type) + { + case PRICE_CLOSE: + m_price[i] = m_ha_close[i]; + break; + 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; + } + } + return true; + } + +#endif // KAMA_ANCHORED_CALCULATOR_MQH +//+------------------------------------------------------------------+