mql5/Include/MyIncludes/Windowed_MA_Calculator.mqh

//+------------------------------------------------------------------+
//|                                     Windowed_MA_Calculator.mqh   |
//|      Calculation engine for Hann Windowed FIR filter.            |
//|      VERSION 2.10: Added CalculateOnArray support.               |
//|                                        Copyright 2026, xxxxxxxx  |
//+------------------------------------------------------------------+
#property copyright "Copyright 2026, xxxxxxxx"

#include <MyIncludes\HeikinAshi_Tools.mqh>

enum ENUM_INPUT_SOURCE { SOURCE_PRICE, SOURCE_MOMENTUM };

//+==================================================================+
//|             CLASS 1: CWindowedMACalculator (Base Class)          |
//+==================================================================+
class CWindowedMACalculator
  {
protected:
   int                 m_period;
   ENUM_INPUT_SOURCE   m_source_type;

   //--- Persistent Buffer for Incremental Calculation (OHLC mode)
   double              m_source_data[];

   //--- Pre-calculated Weights
   double              m_weights[];
   double              m_weight_sum;

   virtual bool      PrepareSourceData(int rates_total, int start_index, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[]);

public:
                     CWindowedMACalculator(void) {};
   virtual          ~CWindowedMACalculator(void) {};

   bool              Init(int period, ENUM_INPUT_SOURCE source_type);

   //--- Standard Calculation (OHLC)
   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 &output_buffer[]);

   //--- Calculation on Custom Array
   void              CalculateOnArray(int rates_total, int prev_calculated, const double &src_buffer[], double &output_buffer[]);
  };

//+------------------------------------------------------------------+
//| Init                                                             |
//+------------------------------------------------------------------+
bool CWindowedMACalculator::Init(int period, ENUM_INPUT_SOURCE source_type)
  {
   m_period = (period < 2) ? 2 : period;
   m_source_type = source_type;

// Pre-calculate Weights (Ehlers' Modified Hann)
   ArrayResize(m_weights, m_period);
   m_weight_sum = 0;

   for(int j = 0; j < m_period; j++)
     {
      // Ehlers formula: 1 - cos(2*pi*(j+1) / (N+1))
      double weight = 1.0 - cos(2.0 * M_PI * (j + 1.0) / (m_period + 1.0));
      m_weights[j] = weight;
      m_weight_sum += weight;
     }

   return (m_weight_sum > 0);
  }

//+------------------------------------------------------------------+
//| Main Calculation (Wrapper for OHLC)                              |
//+------------------------------------------------------------------+
void CWindowedMACalculator::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 &output_buffer[])
  {
   if(rates_total < m_period)
      return;

   int start_index = (prev_calculated == 0) ? 0 : prev_calculated - 1;

   if(ArraySize(m_source_data) != rates_total)
      ArrayResize(m_source_data, rates_total);

   if(!PrepareSourceData(rates_total, start_index, price_type, open, high, low, close))
      return;

// Delegate to generic array calculation
   CalculateOnArray(rates_total, prev_calculated, m_source_data, output_buffer);
  }

//+------------------------------------------------------------------+
//| Calculate On Array (Core Logic)                                  |
//+------------------------------------------------------------------+
void CWindowedMACalculator::CalculateOnArray(int rates_total, int prev_calculated, const double &src_buffer[], double &output_buffer[])
  {
   if(rates_total < m_period)
      return;

   int start_index = (prev_calculated == 0) ? 0 : prev_calculated - 1;
   int loop_start = MathMax(m_period - 1, start_index);

   for(int i = loop_start; i < rates_total; i++)
     {
      double sum = 0;
      // Convolution: Sum(Src[i-j] * Weight[j])
      for(int j = 0; j < m_period; j++)
        {
         sum += src_buffer[i-j] * m_weights[j];
        }
      output_buffer[i] = sum / m_weight_sum;
     }
  }

//+------------------------------------------------------------------+
//| Prepare Source Data (Standard)                                   |
//+------------------------------------------------------------------+
bool CWindowedMACalculator::PrepareSourceData(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_source_data[i] = close[i];
               break;
            case PRICE_OPEN:
               m_source_data[i] = open[i];
               break;
            case PRICE_HIGH:
               m_source_data[i] = high[i];
               break;
            case PRICE_LOW:
               m_source_data[i] = low[i];
               break;
            case PRICE_MEDIAN:
               m_source_data[i] = (high[i] + low[i]) / 2.0;
               break;
            case PRICE_TYPICAL:
               m_source_data[i] = (high[i] + low[i] + close[i]) / 3.0;
               break;
            case PRICE_WEIGHTED:
               m_source_data[i] = (high[i] + low[i] + 2 * close[i]) / 4.0;
               break;
            default:
               m_source_data[i] = close[i];
               break;
           }
        }
      else // SOURCE_MOMENTUM
        {
         m_source_data[i] = close[i] - open[i];
        }
     }
   return true;
  }

//+==================================================================+
//|             CLASS 2: CWindowedMACalculator_HA                    |
//+==================================================================+
class CWindowedMACalculator_HA : public CWindowedMACalculator
  {
private:
   CHeikinAshi_Calculator m_ha_calculator;
   double            m_ha_open[], m_ha_high[], m_ha_low[], m_ha_close[];

protected:
   virtual bool      PrepareSourceData(int rates_total, int start_index, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[]) override;
  };

//+------------------------------------------------------------------+
//| Prepare Source Data (Heikin Ashi)                                |
//+------------------------------------------------------------------+
bool CWindowedMACalculator_HA::PrepareSourceData(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_source_data[i] = m_ha_close[i];
               break;
            case PRICE_OPEN:
               m_source_data[i] = m_ha_open[i];
               break;
            case PRICE_HIGH:
               m_source_data[i] = m_ha_high[i];
               break;
            case PRICE_LOW:
               m_source_data[i] = m_ha_low[i];
               break;
            case PRICE_MEDIAN:
               m_source_data[i] = (m_ha_high[i] + m_ha_low[i]) / 2.0;
               break;
            case PRICE_TYPICAL:
               m_source_data[i] = (m_ha_high[i] + m_ha_low[i] + m_ha_close[i]) / 3.0;
               break;
            case PRICE_WEIGHTED:
               m_source_data[i] = (m_ha_high[i] + m_ha_low[i] + 2 * m_ha_close[i]) / 4.0;
               break;
            default:
               m_source_data[i] = m_ha_close[i];
               break;
           }
        }
      else // SOURCE_MOMENTUM
        {
         m_source_data[i] = m_ha_close[i] - m_ha_open[i];
        }
     }
   return true;
  }
//+------------------------------------------------------------------+