//+------------------------------------------------------------------+ //| Butterworth_Calculator.mqh | //| Calculation engine for the John Ehlers' Butterworth Filter. | //| VERSION 2.00: Optimized for incremental calculation. | //| Copyright 2025, xxxxxxxx | //+------------------------------------------------------------------+ #property copyright "Copyright 2025, xxxxxxxx" #include enum ENUM_BUTTERWORTH_POLES { POLES_TWO = 2, POLES_THREE = 3 }; enum ENUM_INPUT_SOURCE { SOURCE_PRICE, SOURCE_MOMENTUM }; //+==================================================================+ //| CLASS 1: CButterworthCalculator | //+==================================================================+ class CButterworthCalculator { protected: int m_period; ENUM_BUTTERWORTH_POLES m_poles; ENUM_INPUT_SOURCE m_source_type; //--- Persistent Buffer for Price double m_price[]; //--- 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: CButterworthCalculator(void) {}; virtual ~CButterworthCalculator(void) {}; bool Init(int period, ENUM_BUTTERWORTH_POLES poles, 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 &filter_buffer[]); }; //+------------------------------------------------------------------+ //| Init | //+------------------------------------------------------------------+ bool CButterworthCalculator::Init(int period, ENUM_BUTTERWORTH_POLES poles, ENUM_INPUT_SOURCE source_type) { m_period = (period < 2) ? 2 : period; m_poles = poles; m_source_type = source_type; return true; } //+------------------------------------------------------------------+ //| Main Calculation (Optimized) | //+------------------------------------------------------------------+ void CButterworthCalculator::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 &filter_buffer[]) { if(rates_total < 4) return; int start_index; if(prev_calculated == 0) start_index = 0; else start_index = prev_calculated - 1; // Resize internal buffer if(ArraySize(m_price) != rates_total) ArrayResize(m_price, rates_total); if(!PreparePriceSeries(rates_total, start_index, price_type, open, high, low, close)) return; //--- Incremental Loop int loop_start = MathMax(3, start_index); // Initialization if(loop_start == 3) { filter_buffer[0] = m_price[0]; filter_buffer[1] = m_price[1]; filter_buffer[2] = m_price[2]; } if(m_poles == POLES_TWO) { double a = exp(-M_SQRT2 * M_PI / m_period); double b = 2.0 * a * cos(M_SQRT2 * M_PI / m_period); double c1 = (1.0 - b + a*a) / 4.0; for(int i = loop_start; i < rates_total; i++) { // Recursive calculation using persistent buffer [i-1], [i-2] double f1 = filter_buffer[i-1]; double f2 = filter_buffer[i-2]; filter_buffer[i] = b * f1 - a * a * f2 + c1 * (m_price[i] + 2.0 * m_price[i-1] + m_price[i-2]); } } else // POLES_THREE { double a = exp(-M_PI / m_period); double b = 2.0 * a * cos(1.738 * M_PI / m_period); // 1.738 is approx sqrt(3) * pi / 3? No, it's specific to 3-pole. double c = a * a; double c1 = (1.0 - b + c) * (1.0 - c) / 8.0; for(int i = loop_start; i < rates_total; i++) { // Recursive calculation using persistent buffer [i-1], [i-2], [i-3] double f1 = filter_buffer[i-1]; double f2 = filter_buffer[i-2]; double f3 = filter_buffer[i-3]; filter_buffer[i] = (b + c) * f1 - (c + b*c) * f2 + c*c * f3 + c1 * (m_price[i] + 3.0 * m_price[i-1] + 3.0 * m_price[i-2] + m_price[i-3]); } } } //+------------------------------------------------------------------+ //| Prepare Price (Standard - Optimized) | //+------------------------------------------------------------------+ bool CButterworthCalculator::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_index; i < rates_total; i++) { if(m_source_type == SOURCE_PRICE) { switch(price_type) { 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]+2*close[i])/4.0; break; default: m_price[i] = close[i]; break; } } else // SOURCE_MOMENTUM { m_price[i] = close[i] - open[i]; } } return true; } //+==================================================================+ //| CLASS 2: CButterworthCalculator_HA | //+==================================================================+ class CButterworthCalculator_HA : public CButterworthCalculator { private: CHeikinAshi_Calculator m_ha_calculator; double m_ha_open[], m_ha_high[], m_ha_low[], m_ha_close[]; protected: 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[]) override; }; //+------------------------------------------------------------------+ //| | //+------------------------------------------------------------------+ bool CButterworthCalculator_HA::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(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_price[i] = m_ha_close[i]; break; case PRICE_OPEN: m_price[i] = m_ha_open[i]; break; case PRICE_HIGH: m_price[i] = m_ha_high[i]; break; case PRICE_LOW: m_price[i] = m_ha_low[i]; break; case PRICE_MEDIAN: m_price[i] = (m_ha_high[i]+m_ha_low[i])/2.0; break; case PRICE_TYPICAL: m_price[i] = (m_ha_high[i]+m_ha_low[i]+m_ha_close[i])/3.0; break; case PRICE_WEIGHTED: m_price[i] = (m_ha_high[i]+m_ha_low[i]+2*m_ha_close[i])/4.0; break; default: m_price[i] = m_ha_close[i]; break; } } else // SOURCE_MOMENTUM { m_price[i] = m_ha_close[i] - m_ha_open[i]; } } return true; } //+------------------------------------------------------------------+