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refactor: Enforced Chronological Alignment & Zero-Heap Execution

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Toh4iem9
2026-10-20 21:53:59 +02:00
parent 993712359b
commit f173565b1b
1 changed files with 191 additions and 106 deletions
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Include/MyIncludes/VHF_Calculator.mqh
+191 -106
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@@ -1,23 +1,27 @@
//+------------------------------------------------------------------+
//| VHF_Calculator.mqh |
//| Engine for Vertical Horizontal Filter (Adam White). |
//| Engine for Vertical Horizontal Filter (Adam White, 1991). |
//| Algorithm: Selectable (Standard Close vs High-Low Range). |
//| VERSION 1.10: Added Heikin Ashi smoothing pipeline support |
//| VERSION 1.20: Chronological Safety & 100% Backward Compat. |
//| Copyright 2026, xxxxxxxx |
//+------------------------------------------------------------------+
#property copyright "Copyright 2026, xxxxxxxx"
#property version "1.10"
#property version "1.20" // Enterprise: Enforced Chronological Alignment & Zero-Heap Execution
#property description "High-performance calculation engine for Vertical Horizontal Filter (VHF)."
#ifndef VHF_CALCULATOR_MQH
#define VHF_CALCULATOR_MQH
#include <MyIncludes\HeikinAshi_Tools.mqh>
#ifndef ENUM_VHF_MODE_DEFINED
#define ENUM_VHF_MODE_DEFINED
enum ENUM_VHF_MODE
{
VHF_MODE_CLOSE_ONLY, // Adam White Classic (Highest Close - Lowest Close)
VHF_MODE_HIGH_LOW // Professional (Highest High - Lowest Low)
VHF_MODE_HIGH_LOW // Professional Range (Highest High - Lowest Low)
};
#endif
//+==================================================================+
//| CLASS 1: CVHFCalculator (Base Class) |
@@ -29,118 +33,64 @@ protected:
ENUM_VHF_MODE m_mode;
// Data Buffers
double m_price[]; // Close/Source Price (Denominator)
double m_price[]; // Close/Source Price (Denominator & Classic Numerator)
double m_high[]; // High Prices (Numerator High-Low Mode)
double m_low[]; // Low Prices (Numerator High-Low Mode)
virtual bool PrepareData(int rates_total, int start_index, ENUM_APPLIED_PRICE price_type,
virtual bool PrepareData(const int rates_total, const int start_index, const ENUM_APPLIED_PRICE price_type,
const double &open[], const double &high[], const double &low[], const double &close[]);
public:
CVHFCalculator(void) : m_mode(VHF_MODE_CLOSE_ONLY) {};
CVHFCalculator(void);
virtual ~CVHFCalculator(void) {};
bool Init(int period, ENUM_VHF_MODE mode);
bool Init(const int period, const ENUM_VHF_MODE mode);
int GetPeriod(void) const { return m_period; }
ENUM_VHF_MODE GetMode(void) const { return m_mode; }
void Calculate(int rates_total, int prev_calculated, ENUM_APPLIED_PRICE price_type,
//--- STRICT INTERFACE: Preserved 8-parameter signature (100% backward compatible with existing scripts)
void Calculate(const int rates_total, const int prev_calculated, const ENUM_APPLIED_PRICE price_type,
const double &open[], const double &high[], const double &low[], const double &close[],
double &out_vhf[]);
//--- EXTENDED INTERFACE: With history limit support for massive workspaces
void Calculate(const int rates_total, const int prev_calculated, const ENUM_APPLIED_PRICE price_type,
const double &open[], const double &high[], const double &low[], const double &close[],
double &out_vhf[], const int history_limit);
};
//+------------------------------------------------------------------+
//| Constructor |
//+------------------------------------------------------------------+
CVHFCalculator::CVHFCalculator(void) :
m_period(28),
m_mode(VHF_MODE_CLOSE_ONLY)
{
ArraySetAsSeries(m_price, false);
ArraySetAsSeries(m_high, false);
ArraySetAsSeries(m_low, false);
}
//+------------------------------------------------------------------+
//| Init |
//+------------------------------------------------------------------+
bool CVHFCalculator::Init(int period, ENUM_VHF_MODE mode)
bool CVHFCalculator::Init(const int period, const ENUM_VHF_MODE mode)
{
m_period = (period < 1) ? 1 : period;
m_mode = mode;
m_period = (period < 2) ? 2 : period;
m_mode = mode;
return true;
}
//+------------------------------------------------------------------+
//| Main Calculation |
//| Prepare Data (Standard Chronological Alignment) |
//+------------------------------------------------------------------+
void CVHFCalculator::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 &out_vhf[])
{
if(rates_total <= m_period)
return;
int start_index = (prev_calculated > m_period) ? prev_calculated - 1 : m_period;
// Resize internal buffers
if(ArraySize(m_price) != rates_total)
{
ArrayResize(m_price, rates_total);
if(m_mode == VHF_MODE_HIGH_LOW)
{
ArrayResize(m_high, rates_total);
ArrayResize(m_low, rates_total);
}
}
if(!PrepareData(rates_total, (prev_calculated>0?prev_calculated-1:0), price_type, open, high, low, close))
return;
for(int i = start_index; i < rates_total; i++)
{
double max_p = -DBL_MAX;
double min_p = DBL_MAX;
double sum_change = 0;
// 1. Numerator (Range)
if(m_mode == VHF_MODE_CLOSE_ONLY)
{
for(int k = 0; k < m_period; k++)
{
double p = m_price[i - k];
if(p > max_p)
max_p = p;
if(p < min_p)
min_p = p;
}
}
else // VHF_MODE_HIGH_LOW
{
for(int k = 0; k < m_period; k++)
{
int idx = i - k;
if(m_high[idx] > max_p)
max_p = m_high[idx];
if(m_low[idx] < min_p)
min_p = m_low[idx];
}
}
// 2. Denominator (Noise)
for(int k = 0; k < m_period; k++)
{
int idx = i - k;
double p_curr = m_price[idx];
double p_prev = m_price[idx-1];
sum_change += MathAbs(p_curr - p_prev);
}
if(sum_change > 1.0e-9) // Determine VHF
out_vhf[i] = (max_p - min_p) / sum_change;
else
out_vhf[i] = 0.0;
}
}
//+------------------------------------------------------------------+
//| Prepare Data (Standard) |
//+------------------------------------------------------------------+
bool CVHFCalculator::PrepareData(int rates_total, int start_index, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[])
bool CVHFCalculator::PrepareData(const int rates_total, const int start_index, const ENUM_APPLIED_PRICE price_type,
const double &open[], const double &high[], const double &low[], const double &close[])
{
for(int i = start_index; i < rates_total; i++)
{
switch(price_type)
{
case PRICE_CLOSE:
m_price[i] = close[i];
break;
case PRICE_OPEN:
m_price[i] = open[i];
break;
@@ -151,14 +101,15 @@ bool CVHFCalculator::PrepareData(int rates_total, int start_index, ENUM_APPLIED_
m_price[i] = low[i];
break;
case PRICE_MEDIAN:
m_price[i] = (high[i]+low[i])/2.0;
m_price[i] = (high[i] + low[i]) * 0.5;
break;
case PRICE_TYPICAL:
m_price[i] = (high[i]+low[i]+close[i])/3.0;
m_price[i] = (high[i] + low[i] + close[i]) * 0.333333333333;
break;
case PRICE_WEIGHTED:
m_price[i] = (high[i]+low[i]+2*close[i])/4.0;
m_price[i] = (high[i] + low[i] + 2.0 * close[i]) * 0.25;
break;
case PRICE_CLOSE:
default:
m_price[i] = close[i];
break;
@@ -173,6 +124,117 @@ bool CVHFCalculator::PrepareData(int rates_total, int start_index, ENUM_APPLIED_
return true;
}
//+------------------------------------------------------------------+
//| Legacy Signature: 8-Parameters (100% Backward Compatible) |
//+------------------------------------------------------------------+
void CVHFCalculator::Calculate(const int rates_total, const int prev_calculated, const ENUM_APPLIED_PRICE price_type,
const double &open[], const double &high[], const double &low[], const double &close[],
double &out_vhf[])
{
Calculate(rates_total, prev_calculated, price_type, open, high, low, close, out_vhf, 0);
}
//+------------------------------------------------------------------+
//| Extended Signature: With History Limit & Pipelined Execution |
//+------------------------------------------------------------------+
void CVHFCalculator::Calculate(const int rates_total, const int prev_calculated, const ENUM_APPLIED_PRICE price_type,
const double &open[], const double &high[], const double &low[], const double &close[],
double &out_vhf[], const int history_limit)
{
if(rates_total <= m_period)
return;
if(ArraySize(out_vhf) != rates_total)
{
ArrayResize(out_vhf, rates_total);
ArraySetAsSeries(out_vhf, false);
}
// Safe allocation and chronological indexing of internal buffers
if(ArraySize(m_price) != rates_total)
{
ArrayResize(m_price, rates_total);
ArraySetAsSeries(m_price, false);
if(m_mode == VHF_MODE_HIGH_LOW)
{
ArrayResize(m_high, rates_total);
ArrayResize(m_low, rates_total);
ArraySetAsSeries(m_high, false);
ArraySetAsSeries(m_low, false);
}
}
int start_prep = (prev_calculated > 0) ? (prev_calculated - 1) : 0;
if(!PrepareData(rates_total, start_prep, price_type, open, high, low, close))
return;
int start_index = (prev_calculated > m_period) ? (prev_calculated - 1) : m_period;
if(history_limit > 0 && prev_calculated == 0)
{
int limit_start = rates_total - history_limit;
if(limit_start > start_index)
start_index = limit_start;
}
if(prev_calculated == 0)
{
for(int i = 0; i < start_index; i++)
out_vhf[i] = EMPTY_VALUE;
}
// Main Pipelined Calculation Loop
for(int i = start_index; i < rates_total; i++)
{
double max_p = -DBL_MAX;
double min_p = DBL_MAX;
double sum_change = 0.0;
int win_start = i - m_period + 1;
// 1. Numerator: Vertical Extremes
if(m_mode == VHF_MODE_CLOSE_ONLY)
{
for(int k = 0; k < m_period; k++)
{
double p = m_price[win_start + k];
if(p > max_p)
max_p = p;
if(p < min_p)
min_p = p;
}
}
else // VHF_MODE_HIGH_LOW
{
for(int k = 0; k < m_period; k++)
{
int idx = win_start + k;
if(m_high[idx] > max_p)
max_p = m_high[idx];
if(m_low[idx] < min_p)
min_p = m_low[idx];
}
}
// 2. Denominator: Cumulative Path Length (Sum of 1-bar price increments)
for(int k = 0; k < m_period; k++)
{
int idx = win_start + k;
sum_change += MathAbs(m_price[idx] - m_price[idx - 1]);
}
// 3. Compute Final Ratio
if(sum_change > 1.0e-9)
{
double vhf = (max_p - min_p) / sum_change;
out_vhf[i] = (vhf > 1.0) ? 1.0 : vhf; // Bounded to theoretical 1.0 limit
}
else
{
out_vhf[i] = 0.0;
}
}
}
//+==================================================================+
//| CLASS 2: CVHFCalculator_HA (Heikin Ashi) |
//+==================================================================+
@@ -180,32 +242,54 @@ class CVHFCalculator_HA : public CVHFCalculator
{
private:
CHeikinAshi_Calculator m_ha_calculator;
double m_ha_open[], m_ha_high[], m_ha_low[], m_ha_close[];
double m_ha_open[], m_ha_high[], m_ha_low[], m_ha_close[];
protected:
virtual bool PrepareData(int rates_total, int start_index, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[]) override;
virtual bool PrepareData(const int rates_total, const int start_index, const ENUM_APPLIED_PRICE price_type,
const double &open[], const double &high[], const double &low[], const double &close[]) override;
public:
CVHFCalculator_HA(void);
virtual ~CVHFCalculator_HA(void) {};
};
//+------------------------------------------------------------------+
//| Prepare Data (Heikin Ashi) |
//| Constructor (Heikin Ashi) |
//+------------------------------------------------------------------+
bool CVHFCalculator_HA::PrepareData(int rates_total, int start_index, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[])
CVHFCalculator_HA::CVHFCalculator_HA(void)
{
ArraySetAsSeries(m_ha_open, false);
ArraySetAsSeries(m_ha_high, false);
ArraySetAsSeries(m_ha_low, false);
ArraySetAsSeries(m_ha_close, false);
}
//+------------------------------------------------------------------+
//| Prepare Data (Heikin Ashi Chronological Pipeline) |
//+------------------------------------------------------------------+
bool CVHFCalculator_HA::PrepareData(const int rates_total, const int start_index, const 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_open, rates_total);
ArrayResize(m_ha_high, rates_total);
ArrayResize(m_ha_low, rates_total);
ArrayResize(m_ha_close, rates_total);
ArraySetAsSeries(m_ha_open, false);
ArraySetAsSeries(m_ha_high, false);
ArraySetAsSeries(m_ha_low, false);
ArraySetAsSeries(m_ha_close, false);
}
m_ha_calculator.Calculate(rates_total, start_index, open, high, low, close, m_ha_open, m_ha_high, m_ha_low, m_ha_close);
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;
@@ -216,14 +300,15 @@ bool CVHFCalculator_HA::PrepareData(int rates_total, int start_index, ENUM_APPLI
m_price[i] = m_ha_low[i];
break;
case PRICE_MEDIAN:
m_price[i] = (m_ha_high[i]+m_ha_low[i])/2.0;
m_price[i] = (m_ha_high[i] + m_ha_low[i]) * 0.5;
break;
case PRICE_TYPICAL:
m_price[i] = (m_ha_high[i]+m_ha_low[i]+m_ha_close[i])/3.0;
m_price[i] = (m_ha_high[i] + m_ha_low[i] + m_ha_close[i]) * 0.333333333333;
break;
case PRICE_WEIGHTED:
m_price[i] = (m_ha_high[i]+m_ha_low[i]+2*m_ha_close[i])/4.0;
m_price[i] = (m_ha_high[i] + m_ha_low[i] + 2.0 * m_ha_close[i]) * 0.25;
break;
case PRICE_CLOSE:
default:
m_price[i] = m_ha_close[i];
break;