diff --git a/Include/MyIncludes/Laguerre_Adaptive_RSI_Calculator.mqh b/Include/MyIncludes/Laguerre_Adaptive_RSI_Calculator.mqh index d0a6e941..38dd874e 100644 --- a/Include/MyIncludes/Laguerre_Adaptive_RSI_Calculator.mqh +++ b/Include/MyIncludes/Laguerre_Adaptive_RSI_Calculator.mqh @@ -2,8 +2,8 @@ //| Laguerre_Adaptive_RSI_Calculator.mqh | //| Copyright 2026, xxxxxxxx| //+------------------------------------------------------------------+ -#property copyright "Copyright 2026, xxxxxxxx" -#property version "1.00" // Adaptive Laguerre RSI engine with ER/ATR/StDev dynamic Gamma +#property copyright "Copyright 2026, xxxxxxxx" +#property version "1.10" // Enterprise Refactor: Embedded Member Engines, Direct Squaring & Precomputed Gamma #property description "Stateful calculator implementing John Ehlers' Laguerre RSI with adaptive Gamma scaling." #ifndef LAGUERRE_ADAPTIVE_RSI_CALCULATOR_MQH @@ -13,7 +13,16 @@ #include #include #include -#include // Share adaptive enums + +#ifndef ENUM_ADAPTIVE_METHOD_DEFINED +#define ENUM_ADAPTIVE_METHOD_DEFINED +enum ENUM_ADAPTIVE_METHOD + { + METHOD_EFFICIENCY_RATIO, // Kaufman's Efficiency Ratio (ER) + METHOD_ATR, // Average True Range (ATR Volatility) + METHOD_STAND_DEV // Standard Deviation (StDev Volatility) + }; +#endif //+==================================================================+ //| CLASS: CLaguerreAdaptiveRSICalculator | @@ -25,6 +34,7 @@ protected: int m_adaptive_period; double m_gamma_min; double m_gamma_max; + double m_gamma_range; // Precalculated (gamma_max - gamma_min) bool m_is_ha; int m_signal_period; @@ -32,14 +42,17 @@ protected: CEfficiencyRatioCalculator *m_er_calc; CATRCalculator *m_atr_calc; - CMovingAverageCalculator *m_ma_calc; + CMovingAverageCalculator m_ma_calc; // Embedded member object (Zero pointer overhead!) + CHeikinAshi_Calculator m_ha_engine; - //--- Persistent State Registers + //--- Persistent State Registers (Strict Instance Isolation - Zero Static Sharing!) double m_price[]; double m_L0[], m_L1[], m_L2[], m_L3[]; double m_adaptive_metric[]; double m_temp_atr[]; double m_temp_stdev[]; + double m_d_vol[]; + double m_ha_open[], m_ha_high[], m_ha_low[], m_ha_close[]; 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[]); @@ -56,7 +69,7 @@ public: const double &open[], const double &high[], const double &low[], const double &close[], double &lrsi_buffer[], double &signal_buffer[]); - //--- Overloaded Calculate (With Volume for VWMA support) + //--- Overloaded Calculate (With Persistent Volume for VWMA support) 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[], const long &volume[], @@ -66,13 +79,31 @@ public: //+------------------------------------------------------------------+ //| Constructor | //+------------------------------------------------------------------+ -CLaguerreAdaptiveRSICalculator::CLaguerreAdaptiveRSICalculator(void) - : m_er_calc(NULL), - m_atr_calc(NULL), - m_ma_calc(NULL), - m_is_ha(false) +CLaguerreAdaptiveRSICalculator::CLaguerreAdaptiveRSICalculator(void) : + m_method(METHOD_EFFICIENCY_RATIO), + m_adaptive_period(10), + m_gamma_min(0.136), + m_gamma_max(0.882), + m_gamma_range(0.746), + m_is_ha(false), + m_signal_period(3), + m_signal_ma_type(EMA), + m_er_calc(NULL), + m_atr_calc(NULL) { - m_ma_calc = new CMovingAverageCalculator(); + ArraySetAsSeries(m_price, false); + ArraySetAsSeries(m_L0, false); + ArraySetAsSeries(m_L1, false); + ArraySetAsSeries(m_L2, false); + ArraySetAsSeries(m_L3, false); + ArraySetAsSeries(m_adaptive_metric, false); + ArraySetAsSeries(m_temp_atr, false); + ArraySetAsSeries(m_temp_stdev, false); + ArraySetAsSeries(m_d_vol, false); + ArraySetAsSeries(m_ha_open, false); + ArraySetAsSeries(m_ha_high, false); + ArraySetAsSeries(m_ha_low, false); + ArraySetAsSeries(m_ha_close, false); } //+------------------------------------------------------------------+ @@ -81,11 +112,15 @@ CLaguerreAdaptiveRSICalculator::CLaguerreAdaptiveRSICalculator(void) CLaguerreAdaptiveRSICalculator::~CLaguerreAdaptiveRSICalculator(void) { if(CheckPointer(m_er_calc) != POINTER_INVALID) + { delete m_er_calc; + m_er_calc = NULL; + } if(CheckPointer(m_atr_calc) != POINTER_INVALID) + { delete m_atr_calc; - if(CheckPointer(m_ma_calc) != POINTER_INVALID) - delete m_ma_calc; + m_atr_calc = NULL; + } } //+------------------------------------------------------------------+ @@ -97,6 +132,15 @@ bool CLaguerreAdaptiveRSICalculator::Init(ENUM_ADAPTIVE_METHOD method, int adapt m_adaptive_period = (adaptive_period < 2) ? 2 : adaptive_period; m_gamma_min = fmax(0.0, fmin(1.0, gamma_min)); m_gamma_max = fmax(0.0, fmin(1.0, gamma_max)); + + if(m_gamma_min > m_gamma_max) + { + double tmp = m_gamma_min; + m_gamma_min = m_gamma_max; + m_gamma_max = tmp; + } + + m_gamma_range = m_gamma_max - m_gamma_min; // Precalculated differential constant m_is_ha = is_ha; m_signal_period = (signal_p < 1) ? 1 : signal_p; m_signal_ma_type = signal_ma; @@ -147,29 +191,28 @@ void CLaguerreAdaptiveRSICalculator::Calculate(int rates_total, int prev_calcula if(rates_total < required_bars) return; -//--- Resize state buffers & enforce chronological safety +// Safe allocation of internal state arrays if(ArraySize(m_price) != rates_total) { ArrayResize(m_price, rates_total); - ArrayResize(m_L0, rates_total); - ArrayResize(m_L1, rates_total); - ArrayResize(m_L2, rates_total); - ArrayResize(m_L3, rates_total); - ArrayResize(m_adaptive_metric, rates_total); - ArraySetAsSeries(m_price, false); + ArrayResize(m_L0, rates_total); ArraySetAsSeries(m_L0, false); + ArrayResize(m_L1, rates_total); ArraySetAsSeries(m_L1, false); + ArrayResize(m_L2, rates_total); ArraySetAsSeries(m_L2, false); + ArrayResize(m_L3, rates_total); ArraySetAsSeries(m_L3, false); + ArrayResize(m_adaptive_metric, rates_total); ArraySetAsSeries(m_adaptive_metric, false); } -//--- Prepare prices and calculate metrics int start_index = (prev_calculated > 0) ? prev_calculated - 1 : 0; if(!PreparePriceSeries(rates_total, start_index, price_type, open, high, low, close)) return; +// 1. Calculate Adaptive Metric [0.0 to 1.0] if(m_method == METHOD_EFFICIENCY_RATIO) { m_er_calc.Calculate(rates_total, prev_calculated, price_type, open, high, low, close, m_adaptive_metric); @@ -185,7 +228,7 @@ void CLaguerreAdaptiveRSICalculator::Calculate(int rates_total, int prev_calcula m_atr_calc.Calculate(rates_total, prev_calculated, open, high, low, close, m_temp_atr); NormalizeMetric(rates_total, prev_calculated, m_temp_atr); } - else // METHOD_STAND_DEV + else // METHOD_STAND_DEV (MathPow-Free Accelerated StDev) { if(ArraySize(m_temp_stdev) != rates_total) { @@ -202,52 +245,77 @@ void CLaguerreAdaptiveRSICalculator::Calculate(int rates_total, int prev_calcula m_temp_stdev[i] = 0.0; } + double inv_p = 1.0 / (double)m_adaptive_period; + for(int i = loop_start; i < rates_total; i++) { double sum = 0.0; for(int j = 0; j < m_adaptive_period; j++) sum += m_price[i - j]; - double mean = sum / m_adaptive_period; + double mean = sum * inv_p; + // Fast scalar multiplication instead of slow pow() double sum_sq = 0.0; for(int j = 0; j < m_adaptive_period; j++) - sum_sq += pow(m_price[i - j] - mean, 2); + { + double diff = m_price[i - j] - mean; + sum_sq += diff * diff; + } - m_temp_stdev[i] = sqrt(sum_sq / m_adaptive_period); + m_temp_stdev[i] = MathSqrt(sum_sq * inv_p); } NormalizeMetric(rates_total, prev_calculated, m_temp_stdev); } -//--- Stateful Adaptive Laguerre States - if(start_index == 0) +// 2. Stateful Adaptive Laguerre RSI States + int i = start_index; + + if(i == 0) { - m_L0[0] = m_price[0]; - m_L1[0] = m_price[0]; - m_L2[0] = m_price[0]; - m_L3[0] = m_price[0]; + double p0 = m_price[0]; + m_L0[0] = p0; + m_L1[0] = p0; + m_L2[0] = p0; + m_L3[0] = p0; lrsi_buffer[0] = 50.0; - start_index = 1; + i = 1; } - for(int i = start_index; i < rates_total; i++) + for(; i < rates_total; i++) { double metric = m_adaptive_metric[i]; - metric = fmax(0.0, fmin(1.0, metric)); + if(metric < 0.0) + metric = 0.0; + else + if(metric > 1.0) + metric = 1.0; - double gamma = m_gamma_max - metric * (m_gamma_max - m_gamma_min); - gamma = fmax(0.0, fmin(1.0, gamma)); + double gamma = m_gamma_max - metric * m_gamma_range; + if(gamma < 0.0) + gamma = 0.0; + else + if(gamma > 1.0) + gamma = 1.0; - m_L0[i] = (1.0 - gamma) * m_price[i] + gamma * m_L0[i - 1]; - m_L1[i] = -gamma * m_L0[i] + m_L0[i - 1] + gamma * m_L1[i - 1]; - m_L2[i] = -gamma * m_L1[i] + m_L1[i - 1] + gamma * m_L2[i - 1]; - m_L3[i] = -gamma * m_L2[i] + m_L2[i - 1] + gamma * m_L3[i - 1]; + double one_minus_gamma = 1.0 - gamma; + double neg_gamma = -gamma; + + double L0_prev = m_L0[i - 1]; + double L1_prev = m_L1[i - 1]; + double L2_prev = m_L2[i - 1]; + double L3_prev = m_L3[i - 1]; + + m_L0[i] = one_minus_gamma * m_price[i] + gamma * L0_prev; + m_L1[i] = neg_gamma * m_L0[i] + L0_prev + gamma * L1_prev; + m_L2[i] = neg_gamma * m_L1[i] + L1_prev + gamma * L2_prev; + m_L3[i] = neg_gamma * m_L2[i] + L2_prev + gamma * L3_prev; // LRSI Difference components double cu = 0.0, cd = 0.0; if(m_L0[i] >= m_L1[i]) - cu = m_L0[i] - m_L1[i]; + cu += m_L0[i] - m_L1[i]; else - cd = m_L1[i] - m_L0[i]; + cd += m_L1[i] - m_L0[i]; if(m_L1[i] >= m_L2[i]) cu += m_L1[i] - m_L2[i]; else @@ -257,21 +325,18 @@ void CLaguerreAdaptiveRSICalculator::Calculate(int rates_total, int prev_calcula else cd += m_L3[i] - m_L2[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; + double sum_c = cu + cd; + double lrsi_value = (sum_c > 1.0e-9) ? (100.0 * cu / sum_c) : ((i > 0) ? lrsi_buffer[i - 1] : 50.0); lrsi_buffer[i] = fmax(0.0, fmin(100.0, lrsi_value)); } -//--- Calculate Signal Line (No Volume) +// 3. Calculate Signal Line (Incremental O(1)) m_ma_calc.CalculateOnArray(rates_total, prev_calculated, lrsi_buffer, signal_buffer, m_adaptive_period); } //+------------------------------------------------------------------+ -//| Calculate (Overloaded - With Volume for VWMA) | +//| Calculate (Overloaded - With Persistent Volume for VWMA) | //+------------------------------------------------------------------+ void CLaguerreAdaptiveRSICalculator::Calculate(int rates_total, int prev_calculated, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[], @@ -282,19 +347,22 @@ void CLaguerreAdaptiveRSICalculator::Calculate(int rates_total, int prev_calcula if(rates_total < required_bars) return; -//--- Convert volume array locally for VWMA - double d_vol[]; - ArrayResize(d_vol, rates_total); - ArraySetAsSeries(d_vol, false); +// Safe allocation of persistent volume buffer (Zero dynamic heap reallocations!) + if(ArraySize(m_d_vol) != rates_total) + { + ArrayResize(m_d_vol, rates_total); + ArraySetAsSeries(m_d_vol, false); + } + int start_sync = (prev_calculated > 0) ? prev_calculated - 1 : 0; for(int i = start_sync; i < rates_total; i++) - d_vol[i] = (double)volume[i]; + m_d_vol[i] = (double)volume[i]; -//--- Run Standard calculation to obtain lrsi_buffer +// 1. Run Standard Calculation to obtain base lrsi_buffer Calculate(rates_total, prev_calculated, price_type, open, high, low, close, lrsi_buffer, signal_buffer); -//--- Overwrite Signal Line calculation using Volume - m_ma_calc.CalculateOnArray(rates_total, prev_calculated, lrsi_buffer, d_vol, signal_buffer, m_adaptive_period); +// 2. Overwrite Signal Line calculation using Persistent Volume + m_ma_calc.CalculateOnArray(rates_total, prev_calculated, lrsi_buffer, m_d_vol, signal_buffer, m_adaptive_period); } //+------------------------------------------------------------------+ @@ -302,9 +370,9 @@ void CLaguerreAdaptiveRSICalculator::Calculate(int rates_total, int prev_calcula //+------------------------------------------------------------------+ void CLaguerreAdaptiveRSICalculator::NormalizeMetric(int rates_total, int prev_calculated, const double &src_array[]) { - int start_sync = (prev_calculated > 0) ? prev_calculated - 1 : 0; + int start_sync = (prev_calculated > 0) ? prev_calculated - 1 : 0; int min_lookback = m_adaptive_period; - int loop_start = MathMax(min_lookback * 2, start_sync); + int loop_start = MathMax(min_lookback * 2, start_sync); if(loop_start == min_lookback * 2) { @@ -333,53 +401,52 @@ void CLaguerreAdaptiveRSICalculator::NormalizeMetric(int rates_total, int prev_c } //+------------------------------------------------------------------+ -//| Prepare Price Series | +//| Prepare Price Series (Instance Isolated Caches - Zero Static!) | //+------------------------------------------------------------------+ bool CLaguerreAdaptiveRSICalculator::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(m_is_ha) { - static CHeikinAshi_Calculator ha_calc; - static double ha_open[], ha_high[], ha_low[], ha_close[]; - if(ArraySize(ha_open) != rates_total) + if(ArraySize(m_ha_open) != rates_total) { - ArrayResize(ha_open, rates_total); - ArrayResize(ha_high, rates_total); - ArrayResize(ha_low, rates_total); - ArrayResize(ha_close, rates_total); - ArraySetAsSeries(ha_open, false); - ArraySetAsSeries(ha_high, false); - ArraySetAsSeries(ha_low, false); - ArraySetAsSeries(ha_close, false); + ArrayResize(m_ha_open, rates_total); + ArraySetAsSeries(m_ha_open, false); + ArrayResize(m_ha_high, rates_total); + ArraySetAsSeries(m_ha_high, false); + ArrayResize(m_ha_low, rates_total); + ArraySetAsSeries(m_ha_low, false); + ArrayResize(m_ha_close, rates_total); + ArraySetAsSeries(m_ha_close, false); } - ha_calc.Calculate(rates_total, start_index, open, high, low, close, ha_open, ha_high, ha_low, ha_close); + m_ha_engine.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_OPEN: - m_price[i] = ha_open[i]; + m_price[i] = m_ha_open[i]; break; case PRICE_HIGH: - m_price[i] = ha_high[i]; + m_price[i] = m_ha_high[i]; break; case PRICE_LOW: - m_price[i] = ha_low[i]; + m_price[i] = m_ha_low[i]; break; case PRICE_MEDIAN: - m_price[i] = (ha_high[i] + ha_low[i]) * 0.5; + m_price[i] = (m_ha_high[i] + m_ha_low[i]) * 0.5; break; case PRICE_TYPICAL: - m_price[i] = (ha_high[i] + ha_low[i] + ha_close[i]) / 3.0; + m_price[i] = (m_ha_high[i] + m_ha_low[i] + m_ha_close[i]) / 3.0; break; case PRICE_WEIGHTED: - m_price[i] = (ha_high[i] + ha_low[i] + ha_close[i] * 2.0) * 0.25; + m_price[i] = (m_ha_high[i] + m_ha_low[i] + 2.0 * m_ha_close[i]) * 0.25; break; default: - m_price[i] = ha_close[i]; + m_price[i] = m_ha_close[i]; break; } } @@ -406,7 +473,7 @@ bool CLaguerreAdaptiveRSICalculator::PreparePriceSeries(int rates_total, int sta m_price[i] = (high[i] + low[i] + close[i]) / 3.0; break; case PRICE_WEIGHTED: - m_price[i] = (high[i] + low[i] + close[i] * 2.0) * 0.25; + m_price[i] = (high[i] + low[i] + 2.0 * close[i]) * 0.25; break; default: m_price[i] = close[i];