mirror of
https://github.com/softwaredevelop/mql5.git
synced 2026-07-27 20:47:44 +00:00
Toh4iem9
205 lines
7.6 KiB
Plaintext
205 lines
7.6 KiB
Plaintext
//+------------------------------------------------------------------+
|
|
//| Fourier_Series_Calculator.mqh |
|
|
//| VERSION 2.00: Optimized for incremental calculation. |
|
|
//| Copyright 2025, xxxxxxxx |
|
|
//+------------------------------------------------------------------+
|
|
#property copyright "Copyright 2025, xxxxxxxx"
|
|
|
|
#include <MyIncludes\HeikinAshi_Tools.mqh>
|
|
|
|
//+==================================================================+
|
|
//| CLASS 1: CFourierSeriesCalculator |
|
|
//+==================================================================+
|
|
class CFourierSeriesCalculator
|
|
{
|
|
protected:
|
|
int m_period;
|
|
double m_bandwidth;
|
|
|
|
//--- Persistent Buffers
|
|
double m_price[];
|
|
double m_bp1[], m_bp2[], m_bp3[];
|
|
double m_q1[], m_q2[], m_q3[];
|
|
|
|
// Filter coefficients
|
|
double L1, G1, S1;
|
|
double L2, G2, S2;
|
|
double L3, G3, S3;
|
|
|
|
//--- 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:
|
|
CFourierSeriesCalculator(void) {};
|
|
virtual ~CFourierSeriesCalculator(void) {};
|
|
|
|
bool Init(int period, double bandwidth);
|
|
|
|
//--- 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 &wave_buffer[], double &roc_buffer[]);
|
|
};
|
|
|
|
//+------------------------------------------------------------------+
|
|
//| Init |
|
|
//+------------------------------------------------------------------+
|
|
bool CFourierSeriesCalculator::Init(int period, double bandwidth)
|
|
{
|
|
m_period = (period < 10) ? 10 : period;
|
|
m_bandwidth = bandwidth;
|
|
|
|
// Pre-calculate filter coefficients
|
|
L1 = cos(2 * M_PI / m_period);
|
|
G1 = cos(m_bandwidth * 2 * M_PI / m_period);
|
|
S1 = 1.0 / G1 - sqrt(1.0 / (G1 * G1) - 1.0);
|
|
|
|
L2 = cos(2 * M_PI / (m_period / 2.0));
|
|
G2 = cos(m_bandwidth * 2 * M_PI / (m_period / 2.0));
|
|
S2 = 1.0 / G2 - sqrt(1.0 / (G2 * G2) - 1.0);
|
|
|
|
L3 = cos(2 * M_PI / (m_period / 3.0));
|
|
G3 = cos(m_bandwidth * 2 * M_PI / (m_period / 3.0));
|
|
S3 = 1.0 / G3 - sqrt(1.0 / (G3 * G3) - 1.0);
|
|
|
|
return true;
|
|
}
|
|
|
|
//+------------------------------------------------------------------+
|
|
//| Main Calculation (Optimized) |
|
|
//+------------------------------------------------------------------+
|
|
void CFourierSeriesCalculator::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 &wave_buffer[], double &roc_buffer[])
|
|
{
|
|
if(rates_total < m_period * 2)
|
|
return;
|
|
|
|
int start_index;
|
|
if(prev_calculated == 0)
|
|
start_index = 0;
|
|
else
|
|
start_index = prev_calculated - 1;
|
|
|
|
// Resize Buffers
|
|
if(ArraySize(m_price) != rates_total)
|
|
{
|
|
ArrayResize(m_price, rates_total);
|
|
ArrayResize(m_bp1, rates_total);
|
|
ArrayResize(m_bp2, rates_total);
|
|
ArrayResize(m_bp3, rates_total);
|
|
ArrayResize(m_q1, rates_total);
|
|
ArrayResize(m_q2, rates_total);
|
|
ArrayResize(m_q3, rates_total);
|
|
}
|
|
|
|
if(!PreparePriceSeries(rates_total, start_index, price_type, open, high, low, close))
|
|
return;
|
|
|
|
//--- 1. Calculate Band-Pass Filters and Quadrature (Incremental)
|
|
int loop_start_bp = MathMax(2, start_index);
|
|
|
|
if(loop_start_bp == 2)
|
|
{
|
|
// Initialize first few values
|
|
m_bp1[0]=0;
|
|
m_bp1[1]=0;
|
|
m_bp2[0]=0;
|
|
m_bp2[1]=0;
|
|
m_bp3[0]=0;
|
|
m_bp3[1]=0;
|
|
m_q1[0]=0;
|
|
m_q1[1]=0;
|
|
m_q2[0]=0;
|
|
m_q2[1]=0;
|
|
m_q3[0]=0;
|
|
m_q3[1]=0;
|
|
}
|
|
|
|
for(int i = loop_start_bp; i < rates_total; i++)
|
|
{
|
|
// Recursive calculation using persistent buffers [i-1], [i-2]
|
|
m_bp1[i] = 0.5 * (1.0 - S1) * (m_price[i] - m_price[i-2]) + L1 * (1.0 + S1) * m_bp1[i-1] - S1 * m_bp1[i-2];
|
|
m_bp2[i] = 0.5 * (1.0 - S2) * (m_price[i] - m_price[i-2]) + L2 * (1.0 + S2) * m_bp2[i-1] - S2 * m_bp2[i-2];
|
|
m_bp3[i] = 0.5 * (1.0 - S3) * (m_price[i] - m_price[i-2]) + L3 * (1.0 + S3) * m_bp3[i-1] - S3 * m_bp3[i-2];
|
|
|
|
m_q1[i] = (m_period / (2.0 * M_PI)) * (m_bp1[i] - m_bp1[i-1]);
|
|
m_q2[i] = (m_period / (2.0 * M_PI)) * (m_bp2[i] - m_bp2[i-1]);
|
|
m_q3[i] = (m_period / (2.0 * M_PI)) * (m_bp3[i] - m_bp3[i-1]);
|
|
}
|
|
|
|
//--- 2. Calculate Power and Synthesize Wave (Incremental)
|
|
int loop_start_wave = MathMax(m_period * 2 - 1, start_index);
|
|
|
|
for(int i = loop_start_wave; i < rates_total; i++)
|
|
{
|
|
double p1=0, p2=0, p3=0;
|
|
|
|
// Sum power over the period
|
|
for(int j = 0; j < m_period; j++)
|
|
{
|
|
p1 += m_bp1[i-j]*m_bp1[i-j] + m_q1[i-j]*m_q1[i-j];
|
|
p2 += m_bp2[i-j]*m_bp2[i-j] + m_q2[i-j]*m_q2[i-j];
|
|
p3 += m_bp3[i-j]*m_bp3[i-j] + m_q3[i-j]*m_q3[i-j];
|
|
}
|
|
|
|
if(p1 > 0)
|
|
{
|
|
wave_buffer[i] = m_bp1[i] + sqrt(p2/p1)*m_bp2[i] + sqrt(p3/p1)*m_bp3[i];
|
|
}
|
|
else
|
|
{
|
|
wave_buffer[i] = 0;
|
|
}
|
|
|
|
// ROC
|
|
if(i > 1)
|
|
roc_buffer[i] = (m_period / (4.0 * M_PI)) * (wave_buffer[i] - wave_buffer[i-2]);
|
|
}
|
|
}
|
|
|
|
//+------------------------------------------------------------------+
|
|
//| Prepare Price (Standard - Optimized) |
|
|
//+------------------------------------------------------------------+
|
|
bool CFourierSeriesCalculator::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++)
|
|
{
|
|
// Ehlers' example uses Median Price (HL/2)
|
|
m_price[i] = (high[i] + low[i]) / 2.0;
|
|
}
|
|
return true;
|
|
}
|
|
|
|
//+==================================================================+
|
|
//| CLASS 2: CFourierSeriesCalculator_HA |
|
|
//+==================================================================+
|
|
class CFourierSeriesCalculator_HA : public CFourierSeriesCalculator
|
|
{
|
|
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 CFourierSeriesCalculator_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++)
|
|
{
|
|
m_price[i] = (m_ha_high[i] + m_ha_low[i]) / 2.0;
|
|
}
|
|
return true;
|
|
}
|
|
//+------------------------------------------------------------------+
|