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mql5/Include/MyIncludes/MovingAverage_Engine.mqh
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//+------------------------------------------------------------------+
//| MovingAverage_Engine.mqh |
//| VERSION 2.50: Enhanced Chronological Safeguards & VWMA |
//| Copyright 2026, xxxxxxxx|
//+------------------------------------------------------------------+
#property copyright "Copyright 2026, xxxxxxxx"
#property version "2.50" // 100% Backward Compatible Universal Moving Average Engine
#ifndef MOVING_AVERAGE_ENGINE_MQH
#define MOVING_AVERAGE_ENGINE_MQH
#include <MyIncludes\HeikinAshi_Tools.mqh>
//--- Enum to select the MA type for calculation
#ifndef ENUM_MA_TYPE_DEFINED
#define ENUM_MA_TYPE_DEFINED
enum ENUM_MA_TYPE
{
SMA,
EMA,
SMMA,
LWMA,
TMA,
DEMA,
TEMA,
VWMA
};
#endif
//+==================================================================+
//| CLASS: CMovingAverageCalculator |
//+==================================================================+
class CMovingAverageCalculator
{
protected:
int m_period;
ENUM_MA_TYPE m_ma_type;
//--- Persistent State Buffers
double m_price[];
double m_volume[];
double m_temp_buffer1[];
double m_temp_buffer2[];
double m_temp_buffer3[];
virtual bool PreparePriceSeries(const int rates_total, const int start_index, const ENUM_APPLIED_PRICE price_type,
const double &open[], const double &high[], const double &low[], const double &close[]);
void CalculateEMA(const int rates_total, const int start_index, const int period, const double &source[], double &dest[]);
void RunCalculation(const int rates_total, const int start_index, double &output_buffer[], const int data_offset = 0);
public:
CMovingAverageCalculator(void);
virtual ~CMovingAverageCalculator(void) {};
bool Init(const int period, const ENUM_MA_TYPE ma_type);
//--- Standard Calculation (OHLC input - No Volume, legacy compatible)
void Calculate(const int rates_total, const int prev_calculated, const ENUM_APPLIED_PRICE price_type,
const double &open[], const double &high[], const double &low[], const double &close[],
double &ma_buffer[]);
//--- Overloaded Calculation with Volume (Specifically for VWMA support)
void Calculate(const int rates_total, const int prev_calculated, const ENUM_APPLIED_PRICE price_type,
const double &open[], const double &high[], const double &low[], const double &close[],
const long &volume[],
double &ma_buffer[]);
//--- Overloaded Calculation with Double Volume Array (For MTF VWMA)
void Calculate(const int rates_total, const int prev_calculated, const ENUM_APPLIED_PRICE price_type,
const double &open[], const double &high[], const double &low[], const double &close[],
const double &volume[],
double &ma_buffer[]);
//--- Calculation on Custom Array (No Volume)
void CalculateOnArray(const int rates_total, const int prev_calculated, const double &src_buffer[],
double &output_buffer[], const int src_start_index = 0);
//--- Overloaded Calculation on Custom Array with Volume (For VWMA Signals)
void CalculateOnArray(const int rates_total, const int prev_calculated, const double &src_buffer[],
const double &volume_buffer[], double &output_buffer[], const int src_start_index = 0);
int GetPeriod(void) const { return m_period; }
ENUM_MA_TYPE GetMAType(void) const { return m_ma_type; }
};
//+------------------------------------------------------------------+
//| Constructor |
//+------------------------------------------------------------------+
CMovingAverageCalculator::CMovingAverageCalculator(void) : m_period(20), m_ma_type(SMA)
{
ArraySetAsSeries(m_price, false);
ArraySetAsSeries(m_volume, false);
ArraySetAsSeries(m_temp_buffer1, false);
ArraySetAsSeries(m_temp_buffer2, false);
ArraySetAsSeries(m_temp_buffer3, false);
}
//+------------------------------------------------------------------+
//| Init |
//+------------------------------------------------------------------+
bool CMovingAverageCalculator::Init(const int period, const ENUM_MA_TYPE ma_type)
{
m_period = (period < 1) ? 1 : period;
m_ma_type = ma_type;
return true;
}
//+------------------------------------------------------------------+
//| Calculate (Standard OHLC - No Volume) |
//+------------------------------------------------------------------+
void CMovingAverageCalculator::Calculate(const int rates_total, const int prev_calculated, const ENUM_APPLIED_PRICE price_type,
const double &open[], const double &high[], const double &low[], const double &close[],
double &ma_buffer[])
{
if(rates_total < m_period)
return;
int start_index = (prev_calculated == 0) ? 0 : (prev_calculated - 1);
if(ArraySize(m_price) != rates_total)
{
ArrayResize(m_price, rates_total);
ArraySetAsSeries(m_price, false);
if(m_ma_type == TMA || m_ma_type == DEMA || m_ma_type == TEMA)
{
ArrayResize(m_temp_buffer1, rates_total);
ArraySetAsSeries(m_temp_buffer1, false);
}
if(m_ma_type == DEMA || m_ma_type == TEMA)
{
ArrayResize(m_temp_buffer2, rates_total);
ArraySetAsSeries(m_temp_buffer2, false);
}
if(m_ma_type == TEMA)
{
ArrayResize(m_temp_buffer3, rates_total);
ArraySetAsSeries(m_temp_buffer3, false);
}
}
if(!PreparePriceSeries(rates_total, start_index, price_type, open, high, low, close))
return;
RunCalculation(rates_total, start_index, ma_buffer, 0);
}
//+------------------------------------------------------------------+
//| Calculate (Overloaded OHLC - With Long Volume) |
//+------------------------------------------------------------------+
void CMovingAverageCalculator::Calculate(const int rates_total, const int prev_calculated, const ENUM_APPLIED_PRICE price_type,
const double &open[], const double &high[], const double &low[], const double &close[],
const long &volume[],
double &ma_buffer[])
{
if(rates_total < m_period)
return;
int start_index = (prev_calculated == 0) ? 0 : (prev_calculated - 1);
if(ArraySize(m_price) != rates_total)
{
ArrayResize(m_price, rates_total);
ArraySetAsSeries(m_price, false);
if(m_ma_type == TMA || m_ma_type == DEMA || m_ma_type == TEMA)
{
ArrayResize(m_temp_buffer1, rates_total);
ArraySetAsSeries(m_temp_buffer1, false);
}
if(m_ma_type == DEMA || m_ma_type == TEMA)
{
ArrayResize(m_temp_buffer2, rates_total);
ArraySetAsSeries(m_temp_buffer2, false);
}
if(m_ma_type == TEMA)
{
ArrayResize(m_temp_buffer3, rates_total);
ArraySetAsSeries(m_temp_buffer3, false);
}
}
if(ArraySize(m_volume) != rates_total)
{
ArrayResize(m_volume, rates_total);
ArraySetAsSeries(m_volume, false);
}
if(!PreparePriceSeries(rates_total, start_index, price_type, open, high, low, close))
return;
for(int i = start_index; i < rates_total; i++)
m_volume[i] = (volume[i] < 1) ? 1.0 : (double)volume[i];
RunCalculation(rates_total, start_index, ma_buffer, 0);
}
//+------------------------------------------------------------------+
//| Calculate (Overloaded OHLC - With Double Volume) |
//+------------------------------------------------------------------+
void CMovingAverageCalculator::Calculate(const int rates_total, const int prev_calculated, const ENUM_APPLIED_PRICE price_type,
const double &open[], const double &high[], const double &low[], const double &close[],
const double &volume[],
double &ma_buffer[])
{
if(rates_total < m_period)
return;
int start_index = (prev_calculated == 0) ? 0 : (prev_calculated - 1);
if(ArraySize(m_price) != rates_total)
{
ArrayResize(m_price, rates_total);
ArraySetAsSeries(m_price, false);
if(m_ma_type == TMA || m_ma_type == DEMA || m_ma_type == TEMA)
{
ArrayResize(m_temp_buffer1, rates_total);
ArraySetAsSeries(m_temp_buffer1, false);
}
if(m_ma_type == DEMA || m_ma_type == TEMA)
{
ArrayResize(m_temp_buffer2, rates_total);
ArraySetAsSeries(m_temp_buffer2, false);
}
if(m_ma_type == TEMA)
{
ArrayResize(m_temp_buffer3, rates_total);
ArraySetAsSeries(m_temp_buffer3, false);
}
}
if(ArraySize(m_volume) != rates_total)
{
ArrayResize(m_volume, rates_total);
ArraySetAsSeries(m_volume, false);
}
if(!PreparePriceSeries(rates_total, start_index, price_type, open, high, low, close))
return;
for(int i = start_index; i < rates_total; i++)
m_volume[i] = (volume[i] < 1.0) ? 1.0 : volume[i];
RunCalculation(rates_total, start_index, ma_buffer, 0);
}
//+------------------------------------------------------------------+
//| CalculateOnArray (Custom Input - No Volume) |
//+------------------------------------------------------------------+
void CMovingAverageCalculator::CalculateOnArray(const int rates_total, const int prev_calculated, const double &src_buffer[],
double &output_buffer[], const int src_start_index)
{
if(rates_total < src_start_index + m_period)
return;
int start_index = (prev_calculated == 0) ? 0 : (prev_calculated - 1);
if(ArraySize(m_price) != rates_total)
{
ArrayResize(m_price, rates_total);
ArraySetAsSeries(m_price, false);
if(m_ma_type == TMA || m_ma_type == DEMA || m_ma_type == TEMA)
{
ArrayResize(m_temp_buffer1, rates_total);
ArraySetAsSeries(m_temp_buffer1, false);
}
if(m_ma_type == DEMA || m_ma_type == TEMA)
{
ArrayResize(m_temp_buffer2, rates_total);
ArraySetAsSeries(m_temp_buffer2, false);
}
if(m_ma_type == TEMA)
{
ArrayResize(m_temp_buffer3, rates_total);
ArraySetAsSeries(m_temp_buffer3, false);
}
}
int copy_start = MathMax(start_index, src_start_index);
for(int i = copy_start; i < rates_total; i++)
m_price[i] = src_buffer[i];
RunCalculation(rates_total, start_index, output_buffer, src_start_index);
}
//+------------------------------------------------------------------+
//| CalculateOnArray (Overloaded Custom Input - With Volume) |
//+------------------------------------------------------------------+
void CMovingAverageCalculator::CalculateOnArray(const int rates_total, const int prev_calculated, const double &src_buffer[],
const double &volume_buffer[], double &output_buffer[], const int src_start_index)
{
if(rates_total < src_start_index + m_period)
return;
int start_index = (prev_calculated == 0) ? 0 : (prev_calculated - 1);
if(ArraySize(m_price) != rates_total)
{
ArrayResize(m_price, rates_total);
ArraySetAsSeries(m_price, false);
if(m_ma_type == TMA || m_ma_type == DEMA || m_ma_type == TEMA)
{
ArrayResize(m_temp_buffer1, rates_total);
ArraySetAsSeries(m_temp_buffer1, false);
}
if(m_ma_type == DEMA || m_ma_type == TEMA)
{
ArrayResize(m_temp_buffer2, rates_total);
ArraySetAsSeries(m_temp_buffer2, false);
}
if(m_ma_type == TEMA)
{
ArrayResize(m_temp_buffer3, rates_total);
ArraySetAsSeries(m_temp_buffer3, false);
}
}
if(ArraySize(m_volume) != rates_total)
{
ArrayResize(m_volume, rates_total);
ArraySetAsSeries(m_volume, false);
}
int copy_start = MathMax(start_index, src_start_index);
for(int i = copy_start; i < rates_total; i++)
{
m_price[i] = src_buffer[i];
m_volume[i] = (volume_buffer[i] < 1.0) ? 1.0 : volume_buffer[i];
}
RunCalculation(rates_total, start_index, output_buffer, src_start_index);
}
//+------------------------------------------------------------------+
//| RunCalculation (Core Mathematical Execution Engine) |
//+------------------------------------------------------------------+
void CMovingAverageCalculator::RunCalculation(const int rates_total, const int start_index, double &output_buffer[], const int data_offset)
{
int start_pos = data_offset + m_period - 1;
int loop_start = MathMax(start_pos, start_index);
switch(m_ma_type)
{
case EMA:
CalculateEMA(rates_total, loop_start, m_period, m_price, output_buffer);
break;
case SMMA:
for(int i = loop_start; i < rates_total; i++)
{
if(i == start_pos)
{
double sum = 0.0;
for(int j = 0; j < m_period; j++)
sum += m_price[i - j];
output_buffer[i] = sum / (double)m_period;
}
else
{
output_buffer[i] = (output_buffer[i - 1] * (double)(m_period - 1) + m_price[i]) / (double)m_period;
}
}
break;
case LWMA:
for(int i = loop_start; i < rates_total; i++)
{
double sum = 0.0, w_sum = 0.0;
for(int j = 0; j < m_period; j++)
{
double w = (double)(m_period - j);
sum += m_price[i - j] * w;
w_sum += w;
}
output_buffer[i] = (w_sum > 0.0) ? (sum / w_sum) : m_price[i];
}
break;
case TMA:
{
int period1 = (int)ceil((m_period + 1.0) / 2.0);
int start_pos1 = data_offset + period1 - 1;
int loop_start_tma = MathMax(start_pos1, start_index);
for(int i = loop_start_tma; i < rates_total; i++)
{
double sum = 0.0;
for(int j = 0; j < period1; j++)
sum += m_price[i - j];
m_temp_buffer1[i] = sum / (double)period1;
}
int period2 = m_period - period1 + 1;
int start_pos2 = start_pos1 + period2 - 1;
int loop_start_final = MathMax(start_pos2, start_index);
for(int i = loop_start_final; i < rates_total; i++)
{
double sum = 0.0;
for(int j = 0; j < period2; j++)
sum += m_temp_buffer1[i - j];
output_buffer[i] = sum / (double)period2;
}
break;
}
case DEMA:
CalculateEMA(rates_total, loop_start, m_period, m_price, m_temp_buffer1);
CalculateEMA(rates_total, loop_start, m_period, m_temp_buffer1, m_temp_buffer2);
for(int i = loop_start; i < rates_total; i++)
{
if(m_temp_buffer1[i] != EMPTY_VALUE && m_temp_buffer2[i] != EMPTY_VALUE)
output_buffer[i] = 2.0 * m_temp_buffer1[i] - m_temp_buffer2[i];
else
output_buffer[i] = EMPTY_VALUE;
}
break;
case TEMA:
CalculateEMA(rates_total, loop_start, m_period, m_price, m_temp_buffer1);
CalculateEMA(rates_total, loop_start, m_period, m_temp_buffer1, m_temp_buffer2);
CalculateEMA(rates_total, loop_start, m_period, m_temp_buffer2, m_temp_buffer3);
for(int i = loop_start; i < rates_total; i++)
{
if(m_temp_buffer1[i] != EMPTY_VALUE && m_temp_buffer2[i] != EMPTY_VALUE && m_temp_buffer3[i] != EMPTY_VALUE)
output_buffer[i] = 3.0 * m_temp_buffer1[i] - 3.0 * m_temp_buffer2[i] + m_temp_buffer3[i];
else
output_buffer[i] = EMPTY_VALUE;
}
break;
case VWMA:
{
if(ArraySize(m_volume) != rates_total)
{
for(int i = loop_start; i < rates_total; i++)
output_buffer[i] = EMPTY_VALUE;
}
else
{
for(int i = loop_start; i < rates_total; i++)
{
double sum_pv = 0.0;
double sum_v = 0.0;
for(int j = 0; j < m_period; j++)
{
double v = m_volume[i - j];
sum_pv += m_price[i - j] * v;
sum_v += v;
}
output_buffer[i] = (sum_v > 0.0) ? (sum_pv / sum_v) : m_price[i];
}
}
break;
}
default: // SMA
for(int i = loop_start; i < rates_total; i++)
{
double sum = 0.0;
for(int j = 0; j < m_period; j++)
sum += m_price[i - j];
output_buffer[i] = sum / (double)m_period;
}
break;
}
}
//+------------------------------------------------------------------+
//| Calculate EMA (Optimized) |
//+------------------------------------------------------------------+
void CMovingAverageCalculator::CalculateEMA(const int rates_total, const int start_index, const int period, const double &source[], double &dest[])
{
if(rates_total < period)
return;
double pr = 2.0 / (double)(period + 1.0);
bool force_init = (start_index == 0);
for(int i = start_index; i < rates_total; i++)
{
bool has_prev = (!force_init && i > 0 && dest[i - 1] != 0.0 && dest[i - 1] != EMPTY_VALUE);
if(has_prev)
{
if(source[i] != EMPTY_VALUE)
dest[i] = source[i] * pr + dest[i - 1] * (1.0 - pr);
else
dest[i] = dest[i - 1];
}
else
{
if(i < period - 1)
{
dest[i] = EMPTY_VALUE;
continue;
}
double sum = 0.0;
int count = 0;
for(int j = 0; j < period; j++)
{
if(source[i - j] != EMPTY_VALUE)
{
sum += source[i - j];
count++;
}
}
dest[i] = (count > 0) ? (sum / (double)count) : source[i];
}
}
}
//+------------------------------------------------------------------+
//| Prepare Price (Standard - Optimized) |
//+------------------------------------------------------------------+
bool CMovingAverageCalculator::PreparePriceSeries(const int rates_total, const int start_index, const 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++)
{
switch(price_type)
{
case PRICE_CLOSE:
m_price[i] = close[i];
break;
case PRICE_OPEN:
m_price[i] = open[i];
break;
case PRICE_HIGH:
m_price[i] = high[i];
break;
case PRICE_LOW:
m_price[i] = low[i];
break;
case PRICE_MEDIAN:
m_price[i] = (high[i] + low[i]) / 2.0;
break;
case PRICE_TYPICAL:
m_price[i] = (high[i] + low[i] + close[i]) / 3.0;
break;
case PRICE_WEIGHTED:
m_price[i] = (high[i] + low[i] + 2.0 * close[i]) / 4.0;
break;
default:
m_price[i] = close[i];
break;
}
}
return true;
}
//+==================================================================+
//| CLASS 2: CMovingAverageCalculator_HA |
//+==================================================================+
class CMovingAverageCalculator_HA : public CMovingAverageCalculator
{
private:
CHeikinAshi_Calculator m_ha_calculator;
double m_ha_open[], m_ha_high[], m_ha_low[], m_ha_close[];
protected:
virtual bool PreparePriceSeries(const int rates_total, const int start_index, const ENUM_APPLIED_PRICE price_type,
const double &open[], const double &high[], const double &low[], const double &close[]) override;
};
//+------------------------------------------------------------------+
//| Prepare Price (Heikin Ashi - Optimized) |
//+------------------------------------------------------------------+
bool CMovingAverageCalculator_HA::PreparePriceSeries(const int rates_total, const int start_index, const 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);
ArraySetAsSeries(m_ha_open, false);
ArrayResize(m_ha_high, rates_total);
ArraySetAsSeries(m_ha_high, false);
ArrayResize(m_ha_low, rates_total);
ArraySetAsSeries(m_ha_low, false);
ArrayResize(m_ha_close, rates_total);
ArraySetAsSeries(m_ha_close, false);
}
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++)
{
switch(price_type)
{
case PRICE_CLOSE:
m_price[i] = m_ha_close[i];
break;
case PRICE_OPEN:
m_price[i] = m_ha_open[i];
break;
case PRICE_HIGH:
m_price[i] = m_ha_high[i];
break;
case PRICE_LOW:
m_price[i] = m_ha_low[i];
break;
case PRICE_MEDIAN:
m_price[i] = (m_ha_high[i] + m_ha_low[i]) / 2.0;
break;
case PRICE_TYPICAL:
m_price[i] = (m_ha_high[i] + m_ha_low[i] + m_ha_close[i]) / 3.0;
break;
case PRICE_WEIGHTED:
m_price[i] = (m_ha_high[i] + m_ha_low[i] + 2.0 * m_ha_close[i]) / 4.0;
break;
default:
m_price[i] = m_ha_close[i];
break;
}
}
return true;
}
#endif // MOVING_AVERAGE_ENGINE_MQH
//+------------------------------------------------------------------+
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