//+------------------------------------------------------------------+ //| Laguerre_RSI_Volatility_Calculator.mqh | //| Calculation engine for Volatility-Adaptive Laguerre RSI. | //| Copyright 2025, xxxxxxxx | //+------------------------------------------------------------------+ #property copyright "Copyright 2025, xxxxxxxx" #include #include //+==================================================================+ class CLaguerreRSIVolatilityCalculator { protected: int m_period1; // Lookback for High/Low of Diff int m_period2; // Lookback for Median of Alpha int m_signal_period; ENUM_MA_TYPE m_signal_ma_type; CMovingAverageCalculator *m_signal_ma_engine; //--- Persistent Buffers for Volatility Logic double m_price[]; double m_diff_buf[]; double m_mid_buf[]; //--- Internal State Buffers for Laguerre RSI (L0..L3) // Note: We need separate buffers for the RSI calculation, distinct from the price filter double m_L0_buf[], m_L1_buf[], m_L2_buf[], m_L3_buf[]; //--- Helper buffer for previous filter value (needed for volatility calc) double m_prev_filter_buf[]; 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[]); //--- Helpers (Copied from Filter Calculator for independence) double GetHighest(const double &arr[], int start_idx, int len); double GetLowest(const double &arr[], int start_idx, int len); double GetMedian(const double &arr[], int start_idx, int len); public: CLaguerreRSIVolatilityCalculator(void); virtual ~CLaguerreRSIVolatilityCalculator(void); bool Init(int p1, int p2, int sig_p, ENUM_MA_TYPE sig_type); 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[]); }; //+------------------------------------------------------------------+ CLaguerreRSIVolatilityCalculator::CLaguerreRSIVolatilityCalculator(void) { m_signal_ma_engine = new CMovingAverageCalculator(); } //+------------------------------------------------------------------+ //| | //+------------------------------------------------------------------+ CLaguerreRSIVolatilityCalculator::~CLaguerreRSIVolatilityCalculator(void) { if(CheckPointer(m_signal_ma_engine) != POINTER_INVALID) delete m_signal_ma_engine; } //+------------------------------------------------------------------+ //| | //+------------------------------------------------------------------+ bool CLaguerreRSIVolatilityCalculator::Init(int p1, int p2, int sig_p, ENUM_MA_TYPE sig_type) { m_period1 = (p1 < 1) ? 1 : p1; m_period2 = (p2 < 1) ? 1 : p2; m_signal_period = (sig_p < 1) ? 1 : sig_p; m_signal_ma_type = sig_type; return m_signal_ma_engine.Init(m_signal_period, m_signal_ma_type); } //+------------------------------------------------------------------+ //| | //+------------------------------------------------------------------+ void CLaguerreRSIVolatilityCalculator::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[]) { int needed_history = MathMax(m_period1, m_period2) + 1; if(rates_total < needed_history) return; int start_index = (prev_calculated > 0) ? prev_calculated - 1 : 0; // Resize Buffers if(ArraySize(m_price) != rates_total) { ArrayResize(m_price, rates_total); ArrayResize(m_diff_buf, rates_total); ArrayResize(m_mid_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); ArrayResize(m_prev_filter_buf, rates_total); } if(!PreparePriceSeries(rates_total, start_index, price_type, open, high, low, close)) return; int i = start_index; // Initialization if(i == 0) { m_diff_buf[0] = 0; m_mid_buf[0] = 0; m_L0_buf[0] = m_price[0]; m_L1_buf[0] = m_price[0]; m_L2_buf[0] = m_price[0]; m_L3_buf[0] = m_price[0]; m_prev_filter_buf[0] = m_price[0]; // Used for volatility calc lrsi_buffer[0] = 50.0; i = 1; } for(; i < rates_total; i++) { // --- 1. Calculate Volatility Alpha --- // We need a reference "filter" to calculate diff. // In the filter indicator, this is the filter itself. // Here, we maintain a parallel simple Laguerre filter just for alpha calculation. double prev_F = m_prev_filter_buf[i-1]; m_diff_buf[i] = MathAbs(m_price[i] - prev_F); double alpha = 0.5; if(i >= m_period1) { double hh = GetHighest(m_diff_buf, i, m_period1); double ll = GetLowest(m_diff_buf, i, m_period1); double mid = (hh - ll != 0) ? (m_diff_buf[i] - ll) / (hh - ll) : 0; m_mid_buf[i] = mid; if(i >= m_period2) alpha = GetMedian(m_mid_buf, i, m_period2); } else { m_mid_buf[i] = 0; } // Update the reference filter for next bar's diff calculation // Using the calculated alpha // Simple 1-pole Laguerre for reference m_prev_filter_buf[i] = alpha * m_price[i] + (1 - alpha) * prev_F; // --- 2. Calculate Laguerre RSI Components --- 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] = alpha * m_price[i] + (1 - alpha) * L0_prev; m_L1_buf[i] = -(1 - alpha) * m_L0_buf[i] + L0_prev + (1 - alpha) * L1_prev; m_L2_buf[i] = -(1 - alpha) * m_L1_buf[i] + L1_prev + (1 - alpha) * L2_prev; m_L3_buf[i] = -(1 - alpha) * m_L2_buf[i] + L2_prev + (1 - alpha) * L3_prev; // --- 3. Calculate RSI --- double cu = 0, cd = 0; if(m_L0_buf[i] >= m_L1_buf[i]) cu = m_L0_buf[i] - m_L1_buf[i]; else 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 += 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 += m_L3_buf[i] - m_L2_buf[i]; if(cu + cd > 0) lrsi_buffer[i] = 100.0 * cu / (cu + cd); else lrsi_buffer[i] = (i > 0) ? lrsi_buffer[i-1] : 50.0; } // --- 4. Signal Line --- m_signal_ma_engine.Calculate(rates_total, prev_calculated, PRICE_CLOSE, lrsi_buffer, lrsi_buffer, lrsi_buffer, lrsi_buffer, signal_buffer); } //+------------------------------------------------------------------+ //| Helpers | //+------------------------------------------------------------------+ double CLaguerreRSIVolatilityCalculator::GetHighest(const double &arr[], int start_idx, int len) { double max_val = arr[start_idx]; for(int k=1; k max_val) max_val = arr[start_idx-k]; return max_val; } //+------------------------------------------------------------------+ //| | //+------------------------------------------------------------------+ double CLaguerreRSIVolatilityCalculator::GetLowest(const double &arr[], int start_idx, int len) { double min_val = arr[start_idx]; for(int k=1; k