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Toh4iem9
251 lines
10 KiB
Plaintext
251 lines
10 KiB
Plaintext
//+------------------------------------------------------------------+
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//| Fisher_Transform_Calculator.mqh |
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//| Copyright 2026, xxxxxxxx|
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//+------------------------------------------------------------------+
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#property copyright "Copyright 2026, xxxxxxxx"
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#property version "2.12" // Fully corrected class implementation and dynamic initialization
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#ifndef FISHER_TRANSFORM_CALCULATOR_MQH
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#define FISHER_TRANSFORM_CALCULATOR_MQH
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#include <MyIncludes\HeikinAshi_Tools.mqh>
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#include <MyIncludes\MovingAverage_Engine.mqh>
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//--- Enum for Signal Line Type
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enum ENUM_FISHER_SIGNAL_TYPE
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{
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SIGNAL_DELAY_1BAR, // Classic Ehlers (1-Bar Delay)
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SIGNAL_MA // Custom Moving Average (Supports VWMA)
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};
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//+==================================================================+
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//| CLASS 1: CFisherTransformCalculator (Base Class) |
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//+==================================================================+
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class CFisherTransformCalculator
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{
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protected:
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int m_period;
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double m_alpha;
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//--- Signal Settings
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ENUM_FISHER_SIGNAL_TYPE m_signal_type;
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int m_signal_period;
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ENUM_MA_TYPE m_signal_method;
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//--- Composition
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CMovingAverageCalculator *m_signal_engine;
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//--- Persistent Buffers for Incremental Calculation
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double m_price[];
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double m_volume[]; // Local volume double buffer for VWMA support
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double m_value1[]; // Smoothed normalized price
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double m_fish[]; // Fisher Transform value
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//--- Updated: Accepts start_index
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virtual bool PreparePriceSeries(int rates_total, int start_index, const double &open[], const double &high[], const double &low[], const double &close[]);
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public:
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CFisherTransformCalculator(void);
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virtual ~CFisherTransformCalculator(void);
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bool Init(int period, double alpha, ENUM_FISHER_SIGNAL_TYPE sig_type, int sig_period, ENUM_MA_TYPE sig_method);
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//--- Standard Calculate (Without volume data) - Redirects to overloaded with dummy volume fallback
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void Calculate(int rates_total, int prev_calculated, const double &open[], const double &high[], const double &low[], const double &close[],
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double &fisher_buffer[], double &signal_buffer[]);
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//--- Overloaded Calculate with Volume (Specifically for VWMA support)
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void Calculate(int rates_total, int prev_calculated, const double &open[], const double &high[], const double &low[], const double &close[],
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const long &volume[],
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double &fisher_buffer[], double &signal_buffer[]);
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};
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//+------------------------------------------------------------------+
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//| Constructor |
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//+------------------------------------------------------------------+
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CFisherTransformCalculator::CFisherTransformCalculator(void)
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{
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m_signal_engine = NULL;
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}
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//+------------------------------------------------------------------+
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//| Destructor |
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//+------------------------------------------------------------------+
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CFisherTransformCalculator::~CFisherTransformCalculator(void)
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{
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if(CheckPointer(m_signal_engine) != POINTER_INVALID)
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delete m_signal_engine;
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}
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//+------------------------------------------------------------------+
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//| Init |
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//+------------------------------------------------------------------+
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bool CFisherTransformCalculator::Init(int period, double alpha, ENUM_FISHER_SIGNAL_TYPE sig_type, int sig_period, ENUM_MA_TYPE sig_method)
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{
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m_period = (period < 2) ? 2 : period;
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m_alpha = alpha;
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m_signal_type = sig_type;
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m_signal_period = (sig_period < 1) ? 1 : sig_period;
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m_signal_method = sig_method;
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if(m_signal_type == SIGNAL_MA)
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{
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m_signal_engine = new CMovingAverageCalculator();
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if(CheckPointer(m_signal_engine) == POINTER_INVALID || !m_signal_engine.Init(m_signal_period, m_signal_method))
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return false;
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}
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return true;
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}
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//+------------------------------------------------------------------+
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//| Calculate (Standard OHLC) - Dummy Volume Fallback Pattern |
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//+------------------------------------------------------------------+
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void CFisherTransformCalculator::Calculate(int rates_total, int prev_calculated, const double &open[], const double &high[], const double &low[], const double &close[],
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double &fisher_buffer[], double &signal_buffer[])
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{
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long dummy_vol[];
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ArrayResize(dummy_vol, rates_total);
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ArrayInitialize(dummy_vol, 1);
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Calculate(rates_total, prev_calculated, open, high, low, close, dummy_vol, fisher_buffer, signal_buffer);
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}
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//+------------------------------------------------------------------+
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//| Overloaded Calculate (OHLC) with Volume |
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//+------------------------------------------------------------------+
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void CFisherTransformCalculator::Calculate(int rates_total, int prev_calculated, const double &open[], const double &high[], const double &low[], const double &close[],
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const long &volume[],
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double &fisher_buffer[], double &signal_buffer[])
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{
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if(rates_total < m_period)
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return;
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//--- 1. Determine Start Index
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int start_index = (prev_calculated == 0) ? 0 : prev_calculated - 1;
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//--- 2. Resize Buffers & force strict chronological sorting
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if(ArraySize(m_price) != rates_total)
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{
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ArrayResize(m_price, rates_total);
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ArrayResize(m_volume, rates_total);
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ArrayResize(m_value1, rates_total);
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ArrayResize(m_fish, rates_total);
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ArraySetAsSeries(m_price, false);
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ArraySetAsSeries(m_volume, false);
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ArraySetAsSeries(m_value1, false);
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ArraySetAsSeries(m_fish, false);
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}
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//--- 3. Prepare Price (Optimized)
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if(!PreparePriceSeries(rates_total, start_index, open, high, low, close))
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return;
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for(int i = start_index; i < rates_total; i++)
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m_volume[i] = (double)volume[i];
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//--- 4. Calculate Fisher Transform (Incremental Loop)
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int loop_start = MathMax(m_period - 1, start_index);
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for(int i = loop_start; i < rates_total; i++)
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{
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// Find Highest High and Lowest Low over period
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int high_idx = ArrayMaximum(m_price, i - m_period + 1, m_period);
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int low_idx = ArrayMinimum(m_price, i - m_period + 1, m_period);
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double maxH = m_price[high_idx];
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double minL = m_price[low_idx];
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double norm_price = 0.0;
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if(maxH - minL != 0)
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norm_price = 2.0 * ((m_price[i] - minL) / (maxH - minL) - 0.5);
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// Recursive smoothing using persistent buffer [i-1]
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double value1_prev = (i > 0) ? m_value1[i-1] : 0;
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m_value1[i] = m_alpha * norm_price + (1.0 - m_alpha) * value1_prev;
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// Clamp value to avoid log error
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if(m_value1[i] > 0.999)
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m_value1[i] = 0.999;
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if(m_value1[i] < -0.999)
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m_value1[i] = -0.999;
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// Fisher calculation
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double fish_prev = (i > 0) ? m_fish[i-1] : 0;
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m_fish[i] = 0.5 * log((1.0 + m_value1[i]) / (1.0 - m_value1[i])) + 0.5 * fish_prev;
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fisher_buffer[i] = m_fish[i];
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}
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//--- 5. Calculate Signal Line
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if(m_signal_type == SIGNAL_DELAY_1BAR)
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{
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for(int i = loop_start; i < rates_total; i++)
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signal_buffer[i] = m_fish[i-1];
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}
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else // SIGNAL_MA (Smoothed Moving Average supporting Volume-Weighting / VWMA)
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{
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if(CheckPointer(m_signal_engine) != POINTER_INVALID)
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{
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// Map calculated m_fish buffer as close source, and m_volume double buffer as volume source
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m_signal_engine.CalculateOnArray(rates_total, prev_calculated, m_fish, m_volume, signal_buffer, m_period - 1);
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}
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}
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}
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//+------------------------------------------------------------------+
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//| Prepare Price (Standard - Optimized) |
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//+------------------------------------------------------------------+
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bool CFisherTransformCalculator::PreparePriceSeries(int rates_total, int start_index, const double &open[], const double &high[], const double &low[], const double &close[])
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{
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for(int i = start_index; i < rates_total; i++)
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{
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// Ehlers uses (High+Low)/2
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m_price[i] = (high[i] + low[i]) / 2.0;
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}
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return true;
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}
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//+==================================================================+
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//| CLASS 2: CFisherTransformCalculator_HA |
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//+==================================================================+
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class CFisherTransformCalculator_HA : public CFisherTransformCalculator
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{
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private:
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CHeikinAshi_Calculator m_ha_calculator;
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// Internal HA buffers
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double m_ha_open[], m_ha_high[], m_ha_low[], m_ha_close[];
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protected:
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virtual bool PreparePriceSeries(int rates_total, int start_index, const double &open[], const double &high[], const double &low[], const double &close[]) override;
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};
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//+------------------------------------------------------------------+
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//| Prepare Price (Heikin Ashi - Optimized) |
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//+------------------------------------------------------------------+
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bool CFisherTransformCalculator_HA::PreparePriceSeries(int rates_total, int start_index, const double &open[], const double &high[], const double &low[], const double &close[])
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{
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if(ArraySize(m_ha_open) != rates_total)
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{
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ArrayResize(m_ha_open, rates_total);
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ArrayResize(m_ha_high, rates_total);
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ArrayResize(m_ha_low, rates_total);
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ArrayResize(m_ha_close, rates_total);
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ArraySetAsSeries(m_ha_open, false);
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ArraySetAsSeries(m_ha_high, false);
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ArraySetAsSeries(m_ha_low, false);
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ArraySetAsSeries(m_ha_close, false);
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}
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//--- STRICT CALL: Use the optimized 10-param HA calculation
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m_ha_calculator.Calculate(rates_total, start_index, open, high, low, close,
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m_ha_open, m_ha_high, m_ha_low, m_ha_close);
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for(int i = start_index; i < rates_total; i++)
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{
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m_price[i] = (m_ha_high[i] + m_ha_low[i]) / 2.0;
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}
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return true;
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}
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#endif // FISHER_TRANSFORM_CALCULATOR_MQH
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//+------------------------------------------------------------------+
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