//+------------------------------------------------------------------+ //| Windowed_MA_Calculator.mqh | //| Calculation engine for Hann Windowed FIR filter. | //| VERSION 2.00: Optimized for incremental calculation. | //| Copyright 2025, xxxxxxxx | //+------------------------------------------------------------------+ #property copyright "Copyright 2025, xxxxxxxx" #include enum ENUM_INPUT_SOURCE { SOURCE_PRICE, SOURCE_MOMENTUM }; // Price or (Close-Open) //+==================================================================+ //| CLASS 1: CWindowedMACalculator (Base Class) | //+==================================================================+ class CWindowedMACalculator { protected: int m_period; ENUM_INPUT_SOURCE m_source_type; //--- Persistent Buffer for Incremental Calculation double m_source_data[]; //--- Pre-calculated Weights double m_weights[]; double m_weight_sum; //--- Updated: Accepts start_index virtual bool PrepareSourceData(int rates_total, int start_index, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[]); public: CWindowedMACalculator(void) {}; virtual ~CWindowedMACalculator(void) {}; bool Init(int period, ENUM_INPUT_SOURCE source_type); //--- 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 &output_buffer[]); }; //+------------------------------------------------------------------+ //| Init | //+------------------------------------------------------------------+ bool CWindowedMACalculator::Init(int period, ENUM_INPUT_SOURCE source_type) { m_period = (period < 2) ? 2 : period; m_source_type = source_type; // Pre-calculate Weights ArrayResize(m_weights, m_period); m_weight_sum = 0; for(int j = 0; j < m_period; j++) { // FIX: Changed from Standard Hann to Ehlers' Modified Hann // Standard: 0.5 * (1 - cos(2*pi*j / (N-1))) -> Edges are ZERO. // Ehlers: 1.0 - cos(2*pi*(j+1) / (N+1)) -> Edges are NON-ZERO. // Ehlers uses 1-based indexing in formula (count), we use 0-based (j). // So (count) becomes (j + 1.0). double weight = 1.0 - cos(2.0 * M_PI * (j + 1.0) / (m_period + 1.0)); m_weights[j] = weight; m_weight_sum += weight; } return (m_weight_sum > 0); } //+------------------------------------------------------------------+ //| Main Calculation (Optimized) | //+------------------------------------------------------------------+ void CWindowedMACalculator::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 &output_buffer[]) { if(rates_total < m_period) return; //--- 1. Determine Start Index int start_index; if(prev_calculated == 0) start_index = 0; else start_index = prev_calculated - 1; //--- 2. Resize Buffer if(ArraySize(m_source_data) != rates_total) ArrayResize(m_source_data, rates_total); //--- 3. Prepare Source Data (Optimized) if(!PrepareSourceData(rates_total, start_index, price_type, open, high, low, close)) return; //--- 4. Calculate Windowed MA (Incremental Loop) int loop_start = MathMax(m_period - 1, start_index); for(int i = loop_start; i < rates_total; i++) { double sum = 0; // Convolution: Sum(Price[i-j] * Weight[j]) // Optimization: Weights are pre-calculated for(int j = 0; j < m_period; j++) { sum += m_source_data[i-j] * m_weights[j]; } output_buffer[i] = sum / m_weight_sum; } } //+------------------------------------------------------------------+ //| Prepare Source Data (Standard - Optimized) | //+------------------------------------------------------------------+ bool CWindowedMACalculator::PrepareSourceData(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_index; i < rates_total; i++) { if(m_source_type == SOURCE_PRICE) { switch(price_type) { case PRICE_CLOSE: m_source_data[i] = close[i]; break; case PRICE_OPEN: m_source_data[i] = open[i]; break; case PRICE_HIGH: m_source_data[i] = high[i]; break; case PRICE_LOW: m_source_data[i] = low[i]; break; case PRICE_MEDIAN: m_source_data[i] = (high[i]+low[i])/2.0; break; case PRICE_TYPICAL: m_source_data[i] = (high[i]+low[i]+close[i])/3.0; break; case PRICE_WEIGHTED: m_source_data[i] = (high[i]+low[i]+2*close[i])/4.0; break; default: m_source_data[i] = close[i]; break; } } else // SOURCE_MOMENTUM { m_source_data[i] = close[i] - open[i]; } } return true; } //+==================================================================+ //| CLASS 2: CWindowedMACalculator_HA (Heikin Ashi) | //+==================================================================+ class CWindowedMACalculator_HA : public CWindowedMACalculator { private: CHeikinAshi_Calculator m_ha_calculator; // Internal HA buffers double m_ha_open[], m_ha_high[], m_ha_low[], m_ha_close[]; protected: virtual bool PrepareSourceData(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 Source Data (Heikin Ashi - Optimized) | //+------------------------------------------------------------------+ bool CWindowedMACalculator_HA::PrepareSourceData(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++) { if(m_source_type == SOURCE_PRICE) { switch(price_type) { case PRICE_CLOSE: m_source_data[i] = m_ha_close[i]; break; case PRICE_OPEN: m_source_data[i] = m_ha_open[i]; break; case PRICE_HIGH: m_source_data[i] = m_ha_high[i]; break; case PRICE_LOW: m_source_data[i] = m_ha_low[i]; break; case PRICE_MEDIAN: m_source_data[i] = (m_ha_high[i]+m_ha_low[i])/2.0; break; case PRICE_TYPICAL: m_source_data[i] = (m_ha_high[i]+m_ha_low[i]+m_ha_close[i])/3.0; break; case PRICE_WEIGHTED: m_source_data[i] = (m_ha_high[i]+m_ha_low[i]+2*m_ha_close[i])/4.0; break; default: m_source_data[i] = m_ha_close[i]; break; } } else // SOURCE_MOMENTUM { m_source_data[i] = m_ha_close[i] - m_ha_open[i]; } } return true; } //+------------------------------------------------------------------+