From f9a4ce229a2c11121fa70c2c7b28b89b16e64be9 Mon Sep 17 00:00:00 2001 From: Toh4iem9 Date: Thu, 1 Jan 2026 11:46:46 +0100 Subject: [PATCH] refactor(indicators): Optimized for incremental calculation --- .../MyIncludes/Fourier_Series_Calculator.mqh | 174 +++++++++++------- 1 file changed, 109 insertions(+), 65 deletions(-) diff --git a/Include/MyIncludes/Fourier_Series_Calculator.mqh b/Include/MyIncludes/Fourier_Series_Calculator.mqh index ac110aa..dc4f421 100644 --- a/Include/MyIncludes/Fourier_Series_Calculator.mqh +++ b/Include/MyIncludes/Fourier_Series_Calculator.mqh @@ -1,6 +1,6 @@ //+------------------------------------------------------------------+ //| Fourier_Series_Calculator.mqh | -//| Calculation engine for the John Ehlers' Fourier Series. | +//| VERSION 2.00: Optimized for incremental calculation. | //| Copyright 2025, xxxxxxxx | //+------------------------------------------------------------------+ #property copyright "Copyright 2025, xxxxxxxx" @@ -8,33 +8,40 @@ #include //+==================================================================+ -//| | -//| CLASS 1: CFourierSeriesCalculator (Base Class) | -//| | +//| CLASS 1: CFourierSeriesCalculator | //+==================================================================+ class CFourierSeriesCalculator { protected: int m_period; double m_bandwidth; + + //--- Persistent Buffers double m_price[]; + double m_bp1[], m_bp2[], m_bp3[]; + double m_q1[], m_q2[], m_q3[]; // Filter coefficients double L1, G1, S1; double L2, G2, S2; double L3, G3, S3; - 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: CFourierSeriesCalculator(void) {}; virtual ~CFourierSeriesCalculator(void) {}; bool Init(int period, double bandwidth); - 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 &wave_buffer[], double &roc_buffer[]); }; +//+------------------------------------------------------------------+ +//| Init | //+------------------------------------------------------------------+ bool CFourierSeriesCalculator::Init(int period, double bandwidth) { @@ -58,103 +65,140 @@ bool CFourierSeriesCalculator::Init(int period, double bandwidth) } //+------------------------------------------------------------------+ -void CFourierSeriesCalculator::Calculate(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[], +//| Main Calculation (Optimized) | +//+------------------------------------------------------------------+ +void CFourierSeriesCalculator::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 &wave_buffer[], double &roc_buffer[]) { if(rates_total < m_period * 2) return; - if(!PreparePriceSeries(rates_total, price_type, open, high, low, close)) - return; -// Intermediate buffers - double bp1[], bp2[], bp3[], q1[], q2[], q3[]; - ArrayResize(bp1, rates_total); - ArrayResize(bp2, rates_total); - ArrayResize(bp3, rates_total); - ArrayResize(q1, rates_total); - ArrayResize(q2, rates_total); - ArrayResize(q3, rates_total); + int start_index; + if(prev_calculated == 0) + start_index = 0; + else + start_index = prev_calculated - 1; -// State variables for recursive filters - double bp1_p1=0, bp1_p2=0, bp2_p1=0, bp2_p2=0, bp3_p1=0, bp3_p2=0; - - for(int i = 2; i < rates_total; i++) +// Resize Buffers + if(ArraySize(m_price) != rates_total) { - // Step 2: Band-Pass Filters - bp1[i] = 0.5 * (1.0 - S1) * (m_price[i] - m_price[i-2]) + L1 * (1.0 + S1) * bp1_p1 - S1 * bp1_p2; - bp2[i] = 0.5 * (1.0 - S2) * (m_price[i] - m_price[i-2]) + L2 * (1.0 + S2) * bp2_p1 - S2 * bp2_p2; - bp3[i] = 0.5 * (1.0 - S3) * (m_price[i] - m_price[i-2]) + L3 * (1.0 + S3) * bp3_p1 - S3 * bp3_p2; - - // Step 3: Quadrature Components - q1[i] = (m_period / (2.0 * M_PI)) * (bp1[i] - bp1[i-1]); - q2[i] = (m_period / (2.0 * M_PI)) * (bp2[i] - bp2[i-1]); - q3[i] = (m_period / (2.0 * M_PI)) * (bp3[i] - bp3[i-1]); - - // Update state variables - bp1_p2 = bp1_p1; - bp1_p1 = bp1[i]; - bp2_p2 = bp2_p1; - bp2_p1 = bp2[i]; - bp3_p2 = bp3_p1; - bp3_p1 = bp3[i]; + ArrayResize(m_price, rates_total); + ArrayResize(m_bp1, rates_total); + ArrayResize(m_bp2, rates_total); + ArrayResize(m_bp3, rates_total); + ArrayResize(m_q1, rates_total); + ArrayResize(m_q2, rates_total); + ArrayResize(m_q3, rates_total); } - for(int i = m_period * 2 -1; i < rates_total; i++) + if(!PreparePriceSeries(rates_total, start_index, price_type, open, high, low, close)) + return; + +//--- 1. Calculate Band-Pass Filters and Quadrature (Incremental) + int loop_start_bp = MathMax(2, start_index); + + if(loop_start_bp == 2) + { + // Initialize first few values + m_bp1[0]=0; + m_bp1[1]=0; + m_bp2[0]=0; + m_bp2[1]=0; + m_bp3[0]=0; + m_bp3[1]=0; + m_q1[0]=0; + m_q1[1]=0; + m_q2[0]=0; + m_q2[1]=0; + m_q3[0]=0; + m_q3[1]=0; + } + + for(int i = loop_start_bp; i < rates_total; i++) + { + // Recursive calculation using persistent buffers [i-1], [i-2] + m_bp1[i] = 0.5 * (1.0 - S1) * (m_price[i] - m_price[i-2]) + L1 * (1.0 + S1) * m_bp1[i-1] - S1 * m_bp1[i-2]; + m_bp2[i] = 0.5 * (1.0 - S2) * (m_price[i] - m_price[i-2]) + L2 * (1.0 + S2) * m_bp2[i-1] - S2 * m_bp2[i-2]; + m_bp3[i] = 0.5 * (1.0 - S3) * (m_price[i] - m_price[i-2]) + L3 * (1.0 + S3) * m_bp3[i-1] - S3 * m_bp3[i-2]; + + m_q1[i] = (m_period / (2.0 * M_PI)) * (m_bp1[i] - m_bp1[i-1]); + m_q2[i] = (m_period / (2.0 * M_PI)) * (m_bp2[i] - m_bp2[i-1]); + m_q3[i] = (m_period / (2.0 * M_PI)) * (m_bp3[i] - m_bp3[i-1]); + } + +//--- 2. Calculate Power and Synthesize Wave (Incremental) + int loop_start_wave = MathMax(m_period * 2 - 1, start_index); + + for(int i = loop_start_wave; i < rates_total; i++) { - // Step 4: Calculate Power double p1=0, p2=0, p3=0; + + // Sum power over the period for(int j = 0; j < m_period; j++) { - p1 += bp1[i-j]*bp1[i-j] + q1[i-j]*q1[i-j]; - p2 += bp2[i-j]*bp2[i-j] + q2[i-j]*q2[i-j]; - p3 += bp3[i-j]*bp3[i-j] + q3[i-j]*q3[i-j]; + p1 += m_bp1[i-j]*m_bp1[i-j] + m_q1[i-j]*m_q1[i-j]; + p2 += m_bp2[i-j]*m_bp2[i-j] + m_q2[i-j]*m_q2[i-j]; + p3 += m_bp3[i-j]*m_bp3[i-j] + m_q3[i-j]*m_q3[i-j]; } - // Step 5: Synthesize Wave if(p1 > 0) { - wave_buffer[i] = bp1[i] + sqrt(p2/p1)*bp2[i] + sqrt(p3/p1)*bp3[i]; + wave_buffer[i] = m_bp1[i] + sqrt(p2/p1)*m_bp2[i] + sqrt(p3/p1)*m_bp3[i]; + } + else + { + wave_buffer[i] = 0; } - // Step 6: Optional ROC + // ROC if(i > 1) roc_buffer[i] = (m_period / (4.0 * M_PI)) * (wave_buffer[i] - wave_buffer[i-2]); } } //+------------------------------------------------------------------+ -bool CFourierSeriesCalculator::PreparePriceSeries(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[]) +//| Prepare Price (Standard - Optimized) | +//+------------------------------------------------------------------+ +bool CFourierSeriesCalculator::PreparePriceSeries(int rates_total, int start_index, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[]) { - ArrayResize(m_price, rates_total); -// Ehlers' example uses Median Price - for(int i=0; i