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mql5/Include/MyIncludes/MovingAverage_Engine.mqh
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Toh4iem9 71d3bdefc9 refactor: Added DEMA and TEMA for lag reduction
2025-11-16 14:04:05 +01:00

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//+------------------------------------------------------------------+
//| MovingAverage_Engine.mqh |
//| VERSION 1.30: Added DEMA and TEMA for lag reduction. |
//| Copyright 2025, xxxxxxxx |
//+------------------------------------------------------------------+
#property copyright "Copyright 2025, xxxxxxxx"
#include <MyIncludes\HeikinAshi_Tools.mqh>
//--- UPDATED: Enum to select the MA type for calculation ---
enum ENUM_MA_TYPE
{
SMA,
EMA,
SMMA,
LWMA,
TMA,
DEMA,
TEMA
};
//+==================================================================+
class CMovingAverageCalculator
{
protected:
int m_period;
ENUM_MA_TYPE m_ma_type;
double m_price[];
virtual bool PreparePriceSeries(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[]);
void CalculateEMA(int rates_total, int period, const double &source[], double &dest[]);
public:
CMovingAverageCalculator(void) {};
virtual ~CMovingAverageCalculator(void) {};
bool Init(int period, ENUM_MA_TYPE ma_type);
void Calculate(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[], double &ma_buffer[]);
int GetPeriod(void) const { return m_period; }
};
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
class CMovingAverageCalculator_HA : public CMovingAverageCalculator
{
private:
CHeikinAshi_Calculator m_ha_calculator;
protected:
virtual bool PreparePriceSeries(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[]) override;
};
//+==================================================================+
//| METHOD IMPLEMENTATIONS |
//+==================================================================+
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
bool CMovingAverageCalculator::Init(int period, ENUM_MA_TYPE ma_type)
{
m_period = (period < 1) ? 1 : period;
m_ma_type = ma_type;
return true;
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
void CMovingAverageCalculator::Calculate(int rates_total, 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;
if(!PreparePriceSeries(rates_total, price_type, open, high, low, close))
return;
int start_pos = m_period - 1;
for(int i = 0; i < rates_total; i++) // Clear all values initially
ma_buffer[i] = EMPTY_VALUE;
switch(m_ma_type)
{
case EMA:
CalculateEMA(rates_total, m_period, m_price, ma_buffer);
break;
case SMMA:
for(int i = start_pos; i < rates_total; i++)
{
if(i == start_pos)
{
double sum=0;
for(int j=0; j<m_period; j++)
sum+=m_price[i-j];
ma_buffer[i]=sum/m_period;
}
else
ma_buffer[i]=(ma_buffer[i-1]*(m_period-1)+m_price[i])/m_period;
}
break;
case LWMA:
for(int i = start_pos; i < rates_total; i++)
{
double sum=0, w_sum=0;
for(int j=0; j<m_period; j++)
{
int w=m_period-j;
sum+=m_price[i-j]*w;
w_sum+=w;
}
if(w_sum>0)
ma_buffer[i]=sum/w_sum;
}
break;
case TMA:
{
double sma1_buffer[];
ArrayResize(sma1_buffer, rates_total);
int period1 = (int)ceil((m_period + 1.0) / 2.0);
for(int i = period1 - 1; i < rates_total; i++)
{
double sum = 0;
for(int j = 0; j < period1; j++)
sum += m_price[i-j];
sma1_buffer[i] = sum / period1;
}
int period2 = m_period - period1 + 1;
for(int i = period1 + period2 - 2; i < rates_total; i++)
{
double sum = 0;
for(int j = 0; j < period2; j++)
sum += sma1_buffer[i-j];
ma_buffer[i] = sum / period2;
}
}
break;
case DEMA:
{
double ema1[], ema2[];
ArrayResize(ema1, rates_total);
ArrayResize(ema2, rates_total);
CalculateEMA(rates_total, m_period, m_price, ema1);
CalculateEMA(rates_total, m_period, ema1, ema2);
for(int i = (m_period - 1) * 2; i < rates_total; i++)
ma_buffer[i] = 2 * ema1[i] - ema2[i];
break;
}
case TEMA:
{
double ema1[], ema2[], ema3[];
ArrayResize(ema1, rates_total);
ArrayResize(ema2, rates_total);
ArrayResize(ema3, rates_total);
CalculateEMA(rates_total, m_period, m_price, ema1);
CalculateEMA(rates_total, m_period, ema1, ema2);
CalculateEMA(rates_total, m_period, ema2, ema3);
for(int i = (m_period - 1) * 3; i < rates_total; i++)
ma_buffer[i] = 3 * ema1[i] - 3 * ema2[i] + ema3[i];
break;
}
default: // SMA
for(int i = start_pos; i < rates_total; i++)
{
double sum=0;
for(int j=0; j<m_period; j++)
sum+=m_price[i-j];
ma_buffer[i]=sum/m_period;
}
break;
}
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
void CMovingAverageCalculator::CalculateEMA(int rates_total, int period, const double &source[], double &dest[])
{
if(rates_total < period)
return;
int start_pos = period - 1;
double pr = 2.0 / (double)(period + 1.0);
for(int i=0; i<start_pos; i++)
dest[i] = EMPTY_VALUE;
double sum=0;
for(int j=0; j<period; j++)
if(source[start_pos-j] != EMPTY_VALUE)
sum += source[start_pos-j];
dest[start_pos] = sum / period;
for(int i = start_pos + 1; i < rates_total; i++)
{
if(source[i] != EMPTY_VALUE)
dest[i] = source[i] * pr + dest[i-1] * (1.0 - pr);
else
dest[i] = dest[i-1];
}
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
bool CMovingAverageCalculator::PreparePriceSeries(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[])
{
if(ArraySize(m_price) != rates_total)
if(ArrayResize(m_price, rates_total) != rates_total)
return false;
switch(price_type)
{
case PRICE_CLOSE:
ArrayCopy(m_price, close, 0, 0, rates_total);
break;
case PRICE_OPEN:
ArrayCopy(m_price, open, 0, 0, rates_total);
break;
case PRICE_HIGH:
ArrayCopy(m_price, high, 0, 0, rates_total);
break;
case PRICE_LOW:
ArrayCopy(m_price, low, 0, 0, rates_total);
break;
case PRICE_MEDIAN:
for(int i=0; i<rates_total; i++)
m_price[i] = (high[i]+low[i])/2.0;
break;
case PRICE_TYPICAL:
for(int i=0; i<rates_total; i++)
m_price[i] = (high[i]+low[i]+close[i])/3.0;
break;
case PRICE_WEIGHTED:
for(int i=0; i<rates_total; i++)
m_price[i] = (high[i]+low[i]+close[i]+close[i])/4.0;
break;
default:
return false;
}
return true;
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
bool CMovingAverageCalculator_HA::PreparePriceSeries(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[])
{
double ha_open[], ha_high[], ha_low[], ha_close[];
ArrayResize(ha_open, rates_total);
ArrayResize(ha_high, rates_total);
ArrayResize(ha_low, rates_total);
ArrayResize(ha_close, rates_total);
m_ha_calculator.Calculate(rates_total, open, high, low, close, ha_open, ha_high, ha_low, ha_close);
if(ArraySize(m_price) != rates_total)
if(ArrayResize(m_price, rates_total) != rates_total)
return false;
switch(price_type)
{
case PRICE_CLOSE:
ArrayCopy(m_price, ha_close, 0, 0, rates_total);
break;
case PRICE_OPEN:
ArrayCopy(m_price, ha_open, 0, 0, rates_total);
break;
case PRICE_HIGH:
ArrayCopy(m_price, ha_high, 0, 0, rates_total);
break;
case PRICE_LOW:
ArrayCopy(m_price, ha_low, 0, 0, rates_total);
break;
case PRICE_MEDIAN:
for(int i=0; i<rates_total; i++)
m_price[i] = (ha_high[i]+ha_low[i])/2.0;
break;
case PRICE_TYPICAL:
for(int i=0; i<rates_total; i++)
m_price[i] = (ha_high[i]+ha_low[i]+ha_close[i])/3.0;
break;
case PRICE_WEIGHTED:
for(int i=0; i<rates_total; i++)
m_price[i] = (ha_high[i]+ha_low[i]+ha_close[i]+ha_close[i])/4.0;
break;
default:
return false;
}
return true;
}
//+------------------------------------------------------------------+
//+------------------------------------------------------------------+
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