From f79d801777c47668592960dadd159faaf709943d Mon Sep 17 00:00:00 2001 From: Toh4iem9 Date: Sun, 30 Nov 2025 10:38:31 +0100 Subject: [PATCH] refactor: Optimized for incremental calculation --- .../Laguerre_RSI_Adaptive_Calculator.mqh | 492 +++++++++--------- 1 file changed, 247 insertions(+), 245 deletions(-) diff --git a/Include/MyIncludes/Laguerre_RSI_Adaptive_Calculator.mqh b/Include/MyIncludes/Laguerre_RSI_Adaptive_Calculator.mqh index 2d77d1f..456cd60 100644 --- a/Include/MyIncludes/Laguerre_RSI_Adaptive_Calculator.mqh +++ b/Include/MyIncludes/Laguerre_RSI_Adaptive_Calculator.mqh @@ -1,6 +1,6 @@ //+------------------------------------------------------------------+ //| Laguerre_RSI_Adaptive_Calculator.mqh | -//| VERSION 1.10: Added signal line and fixed state management. | +//| VERSION 1.20: Optimized for incremental calculation. | //| Copyright 2025, xxxxxxxx | //+------------------------------------------------------------------+ #property copyright "Copyright 2025, xxxxxxxx" @@ -12,331 +12,333 @@ class CLaguerreRSIAdaptiveCalculator { protected: + //--- Persistent Buffers for Incremental Calculation double m_price[]; + + //--- Internal State Buffers for Homodyne Discriminator + double m_filt_buf[]; + double m_I1_buf[], m_Q1_buf[]; + double m_I2_buf[], m_Q2_buf[]; + double m_Re_buf[], m_Im_buf[]; + double m_Period_buf[]; + double m_DC_Period_buf[]; + + //--- Internal State Buffers for Laguerre RSI + double m_L0_buf[], m_L1_buf[], m_L2_buf[], m_L3_buf[]; + int m_signal_period; ENUM_MA_TYPE m_signal_ma_type; - //--- State variables for the recursive filters --- - double m_Filt_prev, m_Filt_prev2; - double m_I1_prev, m_Q1_prev; - double m_I2_prev, m_Q2_prev; - double m_Period_prev, m_DC_Period_prev; - double m_L0_prev, m_L1_prev, m_L2_prev, m_L3_prev; + //--- Engine for Signal Line + CMovingAverageCalculator *m_signal_ma_engine; - virtual bool PreparePriceSeries(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[]); - void CalculateMA(const double &source_array[], double &dest_array[], int period, ENUM_MA_TYPE method, int start_pos); + //--- 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: - CLaguerreRSIAdaptiveCalculator(void) {}; - virtual ~CLaguerreRSIAdaptiveCalculator(void) {}; + CLaguerreRSIAdaptiveCalculator(void); + virtual ~CLaguerreRSIAdaptiveCalculator(void); bool Init(int signal_p, ENUM_MA_TYPE signal_ma); - void Calculate(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[], - double &lrsi_buffer[], double &signal_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 &lrsi_buffer[], double &signal_buffer[]); }; //+------------------------------------------------------------------+ -//| | +//| Constructor | //+------------------------------------------------------------------+ -class CLaguerreRSIAdaptiveCalculator_HA : public CLaguerreRSIAdaptiveCalculator +CLaguerreRSIAdaptiveCalculator::CLaguerreRSIAdaptiveCalculator(void) { -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; - }; - -//+==================================================================+ -//| METHOD IMPLEMENTATIONS | -//+==================================================================+ + m_signal_ma_engine = new CMovingAverageCalculator(); + } //+------------------------------------------------------------------+ -//| | +//| Destructor | +//+------------------------------------------------------------------+ +CLaguerreRSIAdaptiveCalculator::~CLaguerreRSIAdaptiveCalculator(void) + { + if(CheckPointer(m_signal_ma_engine) != POINTER_INVALID) + delete m_signal_ma_engine; +// Arrays are freed automatically + } + +//+------------------------------------------------------------------+ +//| Init | //+------------------------------------------------------------------+ bool CLaguerreRSIAdaptiveCalculator::Init(int signal_p, ENUM_MA_TYPE signal_ma) { m_signal_period = (signal_p < 1) ? 1 : signal_p; m_signal_ma_type = signal_ma; - m_Filt_prev=0; - m_Filt_prev2=0; - m_I1_prev=0; - m_Q1_prev=0; - m_I2_prev=0; - m_Q2_prev=0; - m_Period_prev=0; - m_DC_Period_prev=0; - m_L0_prev=0; - m_L1_prev=0; - m_L2_prev=0; - m_L3_prev=0; + if(!m_signal_ma_engine.Init(m_signal_period, m_signal_ma_type)) + return false; return true; } //+------------------------------------------------------------------+ -//| | +//| Main Calculation (Optimized) | //+------------------------------------------------------------------+ -void CLaguerreRSIAdaptiveCalculator::Calculate(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[], +void CLaguerreRSIAdaptiveCalculator::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 &lrsi_buffer[], double &signal_buffer[]) { if(rates_total < 10) 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 Internal Buffers + if(ArraySize(m_price) != rates_total) + { + ArrayResize(m_price, rates_total); + ArrayResize(m_filt_buf, rates_total); + ArrayResize(m_I1_buf, rates_total); + ArrayResize(m_Q1_buf, rates_total); + ArrayResize(m_I2_buf, rates_total); + ArrayResize(m_Q2_buf, rates_total); + ArrayResize(m_Re_buf, rates_total); + ArrayResize(m_Im_buf, rates_total); + ArrayResize(m_Period_buf, rates_total); + ArrayResize(m_DC_Period_buf, rates_total); + ArrayResize(m_L0_buf, rates_total); + ArrayResize(m_L1_buf, rates_total); + ArrayResize(m_L2_buf, rates_total); + ArrayResize(m_L3_buf, rates_total); + } + +//--- 3. Prepare Price (Optimized) + if(!PreparePriceSeries(rates_total, start_index, price_type, open, high, low, close)) return; - double filt_buffer[]; - ArrayResize(filt_buffer, rates_total); - double I1=0, Q1=0, I2=0, Q2=0, Re=0, Im=0, Period=0, DC_Period=0; - double L0=0, L1=0, L2=0, L3=0; - +//--- Constants double alpha1 = (cos(0.707 * 2 * M_PI / 48.0) + sin(0.707 * 2 * M_PI / 48.0) - 1.0) / cos(0.707 * 2 * M_PI / 48.0); double beta1 = 1.0 - alpha1 / 2.0; beta1 *= beta1; - for(int i = 0; i < rates_total; i++) - { - double Filt = (i > 1) ? beta1 * (m_price[i] - 2 * m_price[i-1] + m_price[i-2]) + (2 * (1 - alpha1 / 2.0)) * m_Filt_prev - ((1 - alpha1 / 2.0) * (1 - alpha1 / 2.0)) * m_Filt_prev2 : 0; - filt_buffer[i] = Filt; +//--- 4. Main Loop (Incremental) + int i = start_index; - if(i > 6) +// Initialization + if(i < 7) + { + for(int k=0; k<7; k++) { - Q1 = (0.0962 * filt_buffer[i] + 0.5769 * filt_buffer[i-2] - 0.5769 * filt_buffer[i-4] - 0.0962 * filt_buffer[i-6]) * (0.5 + 0.08 * (m_I1_prev + 50)); - I1 = filt_buffer[i-3]; + if(k >= rates_total) + break; + m_filt_buf[k] = 0; + m_I1_buf[k] = 0; + m_Q1_buf[k] = 0; + m_I2_buf[k] = 0; + m_Q2_buf[k] = 0; + m_Re_buf[k] = 0; + m_Im_buf[k] = 0; + m_Period_buf[k] = 0; + m_DC_Period_buf[k] = 0; + m_L0_buf[k] = m_price[k]; + m_L1_buf[k] = m_price[k]; + m_L2_buf[k] = m_price[k]; + m_L3_buf[k] = m_price[k]; + lrsi_buffer[k] = 50.0; } - if(i > 0) - { - I2 = I1 - m_Q1_prev; - Q2 = Q1 + m_I1_prev; - Re = I2 * m_I2_prev + Q2 * m_Q2_prev; - Im = I2 * m_Q2_prev - Q2 * m_I2_prev; - } - if(Im != 0.0 && Re != 0.0) - Period = 2 * M_PI / atan(Im / Re); - else - Period = 0.0; - if(Period > 1.5 * m_Period_prev && i > 0) - Period = 1.5 * m_Period_prev; - if(Period < 0.67 * m_Period_prev) - Period = 0.67 * m_Period_prev; + i = 7; + } + + for(; i < rates_total; i++) + { + // --- Homodyne Discriminator Logic --- + m_filt_buf[i] = beta1 * (m_price[i] - 2 * m_price[i-1] + m_price[i-2]) + + (2 * (1 - alpha1 / 2.0)) * m_filt_buf[i-1] - + ((1 - alpha1 / 2.0) * (1 - alpha1 / 2.0)) * m_filt_buf[i-2]; + + m_Q1_buf[i] = (0.0962 * m_filt_buf[i] + 0.5769 * m_filt_buf[i-2] - 0.5769 * m_filt_buf[i-4] - 0.0962 * m_filt_buf[i-6]) * + (0.5 + 0.08 * (m_I1_buf[i-1] + 50)); + m_I1_buf[i] = m_filt_buf[i-3]; + + m_I2_buf[i] = m_I1_buf[i] - m_Q1_buf[i-1]; + m_Q2_buf[i] = m_Q1_buf[i] + m_I1_buf[i-1]; + + m_Re_buf[i] = m_I2_buf[i] * m_I2_buf[i-1] + m_Q2_buf[i] * m_Q2_buf[i-1]; + m_Im_buf[i] = m_I2_buf[i] * m_Q2_buf[i-1] - m_Q2_buf[i] * m_I2_buf[i-1]; + + m_Re_buf[i] = 0.2 * m_Re_buf[i] + 0.8 * m_Re_buf[i-1]; + m_Im_buf[i] = 0.2 * m_Im_buf[i] + 0.8 * m_Im_buf[i-1]; + + double Period = 0; + if(m_Im_buf[i] != 0.0 && m_Re_buf[i] != 0.0) + Period = 2 * M_PI / atan(m_Im_buf[i] / m_Re_buf[i]); + + if(Period > 1.5 * m_Period_buf[i-1]) + Period = 1.5 * m_Period_buf[i-1]; + if(Period < 0.67 * m_Period_buf[i-1]) + Period = 0.67 * m_Period_buf[i-1]; if(Period < 6) Period = 6; if(Period > 50) Period = 50; - DC_Period = 0.2 * Period + 0.8 * m_DC_Period_prev; - double gamma = (DC_Period > 0) ? 4.0 / DC_Period : 0; + m_Period_buf[i] = 0.2 * Period + 0.8 * m_Period_buf[i-1]; + m_DC_Period_buf[i] = 0.33 * Period + 0.67 * m_DC_Period_buf[i-1]; - if(i > 0) - { - L0 = (1.0 - gamma) * m_price[i] + gamma * m_L0_prev; - L1 = -gamma * L0 + m_L0_prev + gamma * m_L1_prev; - L2 = -gamma * L1 + m_L1_prev + gamma * m_L2_prev; - L3 = -gamma * L2 + m_L2_prev + gamma * m_L3_prev; - } - else - { - L0=m_price[i]; - L1=m_price[i]; - L2=m_price[i]; - L3=m_price[i]; - } + double gamma = 0.0; + if(m_DC_Period_buf[i] > 0) + gamma = 4.0 / m_DC_Period_buf[i]; + + // --- Laguerre RSI Logic --- + double L0_prev = m_L0_buf[i-1]; + double L1_prev = m_L1_buf[i-1]; + double L2_prev = m_L2_buf[i-1]; + double L3_prev = m_L3_buf[i-1]; + + m_L0_buf[i] = (1.0 - gamma) * m_price[i] + gamma * L0_prev; + m_L1_buf[i] = -gamma * m_L0_buf[i] + L0_prev + gamma * L1_prev; + m_L2_buf[i] = -gamma * m_L1_buf[i] + L1_prev + gamma * L2_prev; + m_L3_buf[i] = -gamma * m_L2_buf[i] + L2_prev + gamma * L3_prev; double cu = 0.0, cd = 0.0; - if(L0 >= L1) - cu = L0 - L1; + if(m_L0_buf[i] >= m_L1_buf[i]) + cu = m_L0_buf[i] - m_L1_buf[i]; else - cd = L1 - L0; - if(L1 >= L2) - cu += L1 - L2; + cd = m_L1_buf[i] - m_L0_buf[i]; + + if(m_L1_buf[i] >= m_L2_buf[i]) + cu += m_L1_buf[i] - m_L2_buf[i]; else - cd += L2 - L1; - if(L2 >= L3) - cu += L2 - L3; + cd += m_L2_buf[i] - m_L1_buf[i]; + + if(m_L2_buf[i] >= m_L3_buf[i]) + cu += m_L2_buf[i] - m_L3_buf[i]; else - cd += L3 - L2; + cd += m_L3_buf[i] - m_L2_buf[i]; double lrsi_value; if(cu + cd > 0.0) lrsi_value = 100.0 * cu / (cu + cd); else lrsi_value = (i > 0) ? lrsi_buffer[i-1] : 50.0; + if(lrsi_value > 100.0) lrsi_value = 100.0; if(lrsi_value < 0.0) lrsi_value = 0.0; - lrsi_buffer[i] = lrsi_value; - m_Filt_prev2 = m_Filt_prev; - m_Filt_prev = Filt; - m_I1_prev = I1; - m_Q1_prev = Q1; - m_I2_prev = I2; - m_Q2_prev = Q2; - m_Period_prev = Period; - m_DC_Period_prev = DC_Period; - m_L0_prev = L0; - m_L1_prev = L1; - m_L2_prev = L2; - m_L3_prev = L3; + lrsi_buffer[i] = lrsi_value; } - int signal_start = 10 + m_signal_period - 1; - CalculateMA(lrsi_buffer, signal_buffer, m_signal_period, m_signal_ma_type, signal_start); +//--- 5. Calculate Signal Line (Using Optimized Engine) + m_signal_ma_engine.Calculate(rates_total, prev_calculated, PRICE_CLOSE, + lrsi_buffer, lrsi_buffer, lrsi_buffer, lrsi_buffer, + signal_buffer); } //+------------------------------------------------------------------+ -//| | +//| Prepare Price (Standard - Optimized) | //+------------------------------------------------------------------+ -void CLaguerreRSIAdaptiveCalculator::CalculateMA(const double &source_array[], double &dest_array[], int period, ENUM_MA_TYPE method, int start_pos) +bool CLaguerreRSIAdaptiveCalculator::PreparePriceSeries(int rates_total, int start_index, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[]) { - for(int i = start_pos; i < ArraySize(source_array); i++) +// Optimized copy loop + for(int i = start_index; i < rates_total; i++) { - switch(method) + switch(price_type) { - case EMA: - case SMMA: - if(i == start_pos) - { - double sum=0; - int count=0; - for(int j=0; j 0) - dest_array[i]=sum/count; - } - else - { - if(method==EMA) - { - double pr=2.0/(period+1.0); - dest_array[i]=source_array[i]*pr+dest_array[i-1]*(1.0-pr); - } - else - dest_array[i]=(dest_array[i-1]*(period-1)+source_array[i])/period; - } + case PRICE_CLOSE: + m_price[i] = close[i]; + break; + case PRICE_OPEN: + m_price[i] = open[i]; + break; + case PRICE_HIGH: + m_price[i] = high[i]; + break; + case PRICE_LOW: + m_price[i] = low[i]; + break; + case PRICE_MEDIAN: + m_price[i] = (high[i]+low[i])/2.0; + break; + case PRICE_TYPICAL: + m_price[i] = (high[i]+low[i]+close[i])/3.0; + break; + case PRICE_WEIGHTED: + m_price[i] = (high[i]+low[i]+close[i]+close[i])/4.0; + break; + default: + m_price[i] = close[i]; break; - case LWMA: - { - double sum=0, w_sum=0; - for(int j=0; j0) - dest_array[i]=sum/w_sum; - } - break; - default: // SMA - { - double sum=0; - int count=0; - for(int j=0; j 0) - dest_array[i]=sum/count; - } - break; } } - } - -//+------------------------------------------------------------------+ -//| | -//+------------------------------------------------------------------+ -bool CLaguerreRSIAdaptiveCalculator::PreparePriceSeries(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[]) - { - ArrayResize(m_price, rates_total); - switch(price_type) - { - case PRICE_CLOSE: - ArrayCopy(m_price, close, 0, 0, rates_total); - break; - case PRICE_OPEN: - ArrayCopy(m_price, open, 0, 0, rates_total); - break; - case PRICE_HIGH: - ArrayCopy(m_price, high, 0, 0, rates_total); - break; - case PRICE_LOW: - ArrayCopy(m_price, low, 0, 0, rates_total); - break; - case PRICE_MEDIAN: - for(int i=0; i