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mql5/Include/MyIncludes/Ehlers_Smoother_Lab_Calculator.mqh
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Toh4iem9 1264d71377 refactor: PreparePriceSeries
2025-10-29 21:53:33 +01:00

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//+------------------------------------------------------------------+
//| Ehlers_Smoother_Lab_Calculator.mqh |
//| Universal calculation engine for a selection of Ehlers' |
//| and classic smoothing filters. |
//| Copyright 2025, xxxxxxxx |
//+------------------------------------------------------------------+
#property copyright "Copyright 2025, xxxxxxxx"
#include <MyIncludes\HeikinAshi_Tools.mqh>
enum ENUM_SMOOTHER_TYPE
{
EMA,
SMA_RECURSIVE,
GAUSSIAN,
BUTTERWORTH_2P,
SUPERSMOOTHER,
ULTIMATESMOOTHER
};
//+==================================================================+
class CSmootherLabCalculator
{
protected:
// Universal Filter Coefficients
double c0, c1, b0, b1, b2, a1, a2;
int N;
int m_period; // Keep period for SMA
ENUM_SMOOTHER_TYPE m_type;
double m_price[];
virtual bool PreparePriceSeries(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[]);
public:
CSmootherLabCalculator(void) {};
virtual ~CSmootherLabCalculator(void) {};
bool Init(ENUM_SMOOTHER_TYPE type, int period);
void Calculate(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[], double &filter_buffer[]);
};
//+------------------------------------------------------------------+
bool CSmootherLabCalculator::Init(ENUM_SMOOTHER_TYPE type, int period)
{
m_type = type;
m_period = period; // Store period for SMA
// Default all coefficients
c0=1;
c1=0;
N=0;
b0=1;
b1=0;
b2=0;
a1=0;
a2=0;
switch(type)
{
case EMA:
{
if(period<1)
period=1;
double alpha = 2.0 / (period + 1.0);
b0 = alpha;
a1 = 1.0 - alpha;
break;
}
case SMA_RECURSIVE:
{
// No coefficients needed, will be handled by a special case in Calculate()
break;
}
// ... (Other cases are unchanged and correct)
case GAUSSIAN:
{
if(period<2)
period=2;
double beta = 2.451 * (1.0 - cos(2.0 * M_PI / period));
double alpha = -beta + sqrt(beta * beta + 2.0 * beta);
c0 = alpha * alpha;
b0 = 1.0;
a1 = 2.0 * (1.0 - alpha);
a2 = -pow(1.0 - alpha, 2);
break;
}
case BUTTERWORTH_2P:
{
if(period<2)
period=2;
double beta = 2.451 * (1.0 - cos(2.0 * M_PI / period));
double alpha = -beta + sqrt(beta * beta + 2.0 * beta);
c0 = alpha * alpha / 4.0;
b0 = 1.0;
b1 = 2.0;
b2 = 1.0;
a1 = 2.0 * (1.0 - alpha);
a2 = -pow(1.0 - alpha, 2);
break;
}
case SUPERSMOOTHER:
{
if(period<2)
period=2;
double arg = M_SQRT2 * M_PI / period;
double a_ss = exp(-arg);
double b_ss = 2.0 * a_ss * cos(arg);
double c1_ss = 1.0 - b_ss + a_ss * a_ss;
c0 = 1.0;
b0 = c1_ss / 2.0;
b1 = c1_ss / 2.0;
a1 = b_ss;
a2 = -a_ss * a_ss;
break;
}
case ULTIMATESMOOTHER:
{
if(period<2)
period=2;
double arg = M_SQRT2 * M_PI / period;
double a_us = exp(-arg);
double b_us = 2.0 * a_us * cos(arg);
double c3_us = -a_us * a_us;
double c1_hp = (1.0 + b_us - c3_us) / 4.0;
c0 = 1.0;
b0 = 1.0 - c1_hp;
b1 = 2.0 * c1_hp - b_us;
b2 = -(c1_hp + c3_us);
a1 = b_us;
a2 = c3_us;
break;
}
}
return true;
}
//+------------------------------------------------------------------+
void CSmootherLabCalculator::Calculate(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[], double &filter_buffer[])
{
if(rates_total < m_period + 3)
return;
if(!PreparePriceSeries(rates_total, price_type, open, high, low, close))
return;
// --- CORRECTED: Special handling for Recursive SMA ---
if(m_type == SMA_RECURSIVE)
{
double sma_prev = 0;
// Initial SMA calculation
double first_sum = 0;
for(int i = 0; i < m_period; i++)
{
first_sum += m_price[i];
}
filter_buffer[m_period - 1] = first_sum / m_period;
sma_prev = filter_buffer[m_period - 1];
// Recursive calculation for the rest of the bars
for(int i = m_period; i < rates_total; i++)
{
double current_sma = sma_prev + (m_price[i] - m_price[i - m_period]) / m_period;
filter_buffer[i] = current_sma;
sma_prev = current_sma;
}
return; // Calculation for SMA is done, exit the method
}
// --- General IIR Filter Calculation for all other types ---
double f1=0, f2=0;
for(int i = 0; i < rates_total; i++)
{
if(i < N + 2)
{
filter_buffer[i] = m_price[i];
continue;
}
double input_term = c0 * (b0 * m_price[i] + b1 * m_price[i-1] + b2 * m_price[i-2]);
double feedback_term = a1 * f1 + a2 * f2;
double subtract_term = (N > 0) ? c1 * m_price[i-N] : 0;
double current_f = input_term + feedback_term - subtract_term;
filter_buffer[i] = current_f;
f2 = f1;
f1 = current_f;
}
}
// ... (PreparePriceSeries and _HA class are unchanged) ...
//+------------------------------------------------------------------+
bool CSmootherLabCalculator::PreparePriceSeries(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[])
{
ArrayResize(m_price, rates_total);
switch(price_type)
{
case PRICE_CLOSE:
ArrayCopy(m_price, close, 0, 0, rates_total);
break;
case PRICE_OPEN:
ArrayCopy(m_price, open, 0, 0, rates_total);
break;
case PRICE_HIGH:
ArrayCopy(m_price, high, 0, 0, rates_total);
break;
case PRICE_LOW:
ArrayCopy(m_price, low, 0, 0, rates_total);
break;
case PRICE_MEDIAN:
for(int i=0; i<rates_total; i++)
m_price[i] = (high[i]+low[i])/2.0;
break;
case PRICE_TYPICAL:
for(int i=0; i<rates_total; i++)
m_price[i] = (high[i]+low[i]+close[i])/3.0;
break;
case PRICE_WEIGHTED:
for(int i=0; i<rates_total; i++)
m_price[i] = (high[i]+low[i]+close[i]+close[i])/4.0;
break;
default:
return false;
}
return true;
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
class CSmootherLabCalculator_HA : public CSmootherLabCalculator
{
private:
CHeikinAshi_Calculator m_ha_calculator;
protected:
virtual bool PreparePriceSeries(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[]) override;
};
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
bool CSmootherLabCalculator_HA::PreparePriceSeries(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[])
{
double ha_open[], ha_high[], ha_low[], ha_close[];
ArrayResize(ha_open, rates_total);
ArrayResize(ha_high, rates_total);
ArrayResize(ha_low, rates_total);
ArrayResize(ha_close, rates_total);
m_ha_calculator.Calculate(rates_total, open, high, low, close, ha_open, ha_high, ha_low, ha_close);
ArrayResize(m_price, rates_total);
switch(price_type)
{
case PRICE_CLOSE:
ArrayCopy(m_price, ha_close, 0, 0, rates_total);
break;
case PRICE_OPEN:
ArrayCopy(m_price, ha_open, 0, 0, rates_total);
break;
case PRICE_HIGH:
ArrayCopy(m_price, ha_high, 0, 0, rates_total);
break;
case PRICE_LOW:
ArrayCopy(m_price, ha_low, 0, 0, rates_total);
break;
case PRICE_MEDIAN:
for(int i=0; i<rates_total; i++)
m_price[i] = (ha_high[i]+ha_low[i])/2.0;
break;
case PRICE_TYPICAL:
for(int i=0; i<rates_total; i++)
m_price[i] = (ha_high[i]+ha_low[i]+ha_close[i])/3.0;
break;
case PRICE_WEIGHTED:
for(int i=0; i<rates_total; i++)
m_price[i] = (ha_high[i]+ha_low[i]+ha_close[i]+ha_close[i])/4.0;
break;
default:
return false;
}
return true;
}
//+------------------------------------------------------------------+
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