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https://github.com/softwaredevelop/mql5.git
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Toh4iem9
228 lines
8.3 KiB
Plaintext
228 lines
8.3 KiB
Plaintext
//+------------------------------------------------------------------+
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//| ZeroLag_EMA_Calculator.mqh |
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//| Calculation engine for the John Ehlers' Zero-Lag EMA. |
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//| Supports standard (double EMA) and optimized gain modes. |
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//| Copyright 2025, xxxxxxxx |
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//+------------------------------------------------------------------+
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#property copyright "Copyright 2025, xxxxxxxx"
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#include <MyIncludes\HeikinAshi_Tools.mqh>
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//+==================================================================+
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//| |
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//| CLASS 1: CZeroLagEMACalculator (Base Class) |
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//| |
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//+==================================================================+
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class CZeroLagEMACalculator
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{
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protected:
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int m_period;
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bool m_optimize_gain;
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double m_gain_limit;
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double m_price[];
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virtual bool PreparePriceSeries(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[]);
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public:
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CZeroLagEMACalculator(void) {};
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virtual ~CZeroLagEMACalculator(void) {};
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bool Init(int period, bool optimize_gain, double gain_limit);
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void Calculate(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[], double &zlema_buffer[]);
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};
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//+------------------------------------------------------------------+
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bool CZeroLagEMACalculator::Init(int period, bool optimize_gain, double gain_limit)
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{
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m_period = (period < 1) ? 1 : period;
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m_optimize_gain = optimize_gain;
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m_gain_limit = gain_limit;
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return true;
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}
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//+------------------------------------------------------------------+
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void CZeroLagEMACalculator::Calculate(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[], double &zlema_buffer[])
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{
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if(rates_total < m_period * 2)
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return;
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if(!PreparePriceSeries(rates_total, price_type, open, high, low, close))
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return;
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double alpha = 2.0 / (m_period + 1.0);
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if(!m_optimize_gain)
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{
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// --- Standard (Double EMA) Zero-Lag EMA Calculation ---
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double ema1_buffer[], ema2_buffer[];
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ArrayResize(ema1_buffer, rates_total);
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ArrayResize(ema2_buffer, rates_total);
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double ema1_prev = 0, ema2_prev = 0;
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for(int i = 0; i < rates_total; i++)
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{
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if(i == m_period - 1)
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{
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double sum=0;
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for(int j=0; j<m_period; j++)
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sum+=m_price[i-j];
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ema1_prev = sum/m_period;
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}
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if(i >= m_period)
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{
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double ema1 = m_price[i] * alpha + (1.0 - alpha) * ema1_prev;
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ema1_buffer[i] = ema1;
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if(i == m_period * 2 - 2)
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{
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double sum=0;
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for(int j=0; j<m_period; j++)
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sum+=ema1_buffer[i-j];
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ema2_prev = sum/m_period;
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}
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if(i >= m_period * 2 - 1)
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{
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double ema2 = ema1_buffer[i] * alpha + (1.0 - alpha) * ema2_prev;
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zlema_buffer[i] = 2.0 * ema1 - ema2;
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ema2_prev = ema2;
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}
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ema1_prev = ema1;
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}
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}
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}
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else
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{
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// --- Ehlers' Optimized Gain (Error Correcting) Calculation ---
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double ema_buffer[];
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ArrayResize(ema_buffer, rates_total);
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double ema_prev = 0;
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double ec_prev = 0;
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for(int i = 0; i < rates_total; i++)
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{
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// Calculate standard EMA first
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if(i > 0)
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ema_buffer[i] = m_price[i] * alpha + (1.0 - alpha) * ema_prev;
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else
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ema_buffer[i] = m_price[i];
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ema_prev = ema_buffer[i];
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if(i < 1)
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{
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zlema_buffer[i] = m_price[i];
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ec_prev = m_price[i];
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continue;
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}
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// Find the BestGain for the current bar
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double least_error = 1e10;
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double best_gain = 0;
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int gain_steps = (int)(m_gain_limit * 10);
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for(int j = -gain_steps; j <= gain_steps; j++)
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{
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double current_gain = j / 10.0;
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double ec_trial = alpha * (ema_buffer[i] + current_gain * (m_price[i] - ec_prev)) + (1.0 - alpha) * ec_prev;
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double error = m_price[i] - ec_trial;
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if(fabs(error) < least_error)
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{
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least_error = fabs(error);
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best_gain = current_gain;
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}
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}
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// Calculate the final ZLEMA (EC) with the BestGain
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zlema_buffer[i] = alpha * (ema_buffer[i] + best_gain * (m_price[i] - ec_prev)) + (1.0 - alpha) * ec_prev;
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ec_prev = zlema_buffer[i];
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}
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}
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}
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//+------------------------------------------------------------------+
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bool CZeroLagEMACalculator::PreparePriceSeries(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[])
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{
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ArrayResize(m_price, rates_total);
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switch(price_type)
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{
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case PRICE_CLOSE:
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ArrayCopy(m_price, close, 0, 0, rates_total);
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break;
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case PRICE_OPEN:
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ArrayCopy(m_price, open, 0, 0, rates_total);
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break;
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case PRICE_HIGH:
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ArrayCopy(m_price, high, 0, 0, rates_total);
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break;
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case PRICE_LOW:
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ArrayCopy(m_price, low, 0, 0, rates_total);
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break;
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case PRICE_MEDIAN:
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for(int i=0; i<rates_total; i++)
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m_price[i] = (high[i]+low[i])/2.0;
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break;
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case PRICE_TYPICAL:
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for(int i=0; i<rates_total; i++)
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m_price[i] = (high[i]+low[i]+close[i])/3.0;
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break;
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case PRICE_WEIGHTED:
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for(int i=0; i<rates_total; i++)
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m_price[i] = (high[i]+low[i]+close[i]+close[i])/4.0;
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break;
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default:
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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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//| |
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//+------------------------------------------------------------------+
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class CZeroLagEMACalculator_HA : public CZeroLagEMACalculator
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{
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private:
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CHeikinAshi_Calculator m_ha_calculator;
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protected:
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virtual bool PreparePriceSeries(int rates_total, ENUM_APPLIED_PRICE price_type, 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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//| |
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//+------------------------------------------------------------------+
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bool CZeroLagEMACalculator_HA::PreparePriceSeries(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[])
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{
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double ha_open[], ha_high[], ha_low[], ha_close[];
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ArrayResize(ha_open, rates_total);
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ArrayResize(ha_high, rates_total);
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ArrayResize(ha_low, rates_total);
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ArrayResize(ha_close, rates_total);
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m_ha_calculator.Calculate(rates_total, open, high, low, close, ha_open, ha_high, ha_low, ha_close);
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ArrayResize(m_price, rates_total);
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switch(price_type)
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{
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case PRICE_CLOSE:
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ArrayCopy(m_price, ha_close, 0, 0, rates_total);
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break;
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case PRICE_OPEN:
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ArrayCopy(m_price, ha_open, 0, 0, rates_total);
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break;
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case PRICE_HIGH:
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ArrayCopy(m_price, ha_high, 0, 0, rates_total);
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break;
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case PRICE_LOW:
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ArrayCopy(m_price, ha_low, 0, 0, rates_total);
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break;
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case PRICE_MEDIAN:
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for(int i=0; i<rates_total; i++)
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m_price[i] = (ha_high[i]+ha_low[i])/2.0;
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break;
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case PRICE_TYPICAL:
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for(int i=0; i<rates_total; i++)
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m_price[i] = (ha_high[i]+ha_low[i]+ha_close[i])/3.0;
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break;
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case PRICE_WEIGHTED:
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for(int i=0; i<rates_total; i++)
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m_price[i] = (ha_high[i]+ha_low[i]+ha_close[i]+ha_close[i])/4.0;
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break;
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default:
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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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