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217 lines
8.7 KiB
Plaintext
217 lines
8.7 KiB
Plaintext
//+------------------------------------------------------------------+
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//| Stochastic_DoubleSmoothed_Calculator.mqh |
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//| VERSION 2.10: In-Place Heikin Ashi Math & State Safety |
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//| Copyright 2026, xxxxxxxx |
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//+------------------------------------------------------------------+
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#property copyright "Copyright 2026, xxxxxxxx"
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#property version "2.10" // Enterprise Refactor: In-Place HA Mapping & Chronological Array Bounds
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#property description "High-performance calculation engine for William Blau's Double Smoothed Stochastic."
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#ifndef STOCHASTIC_DOUBLE_SMOOTHED_CALCULATOR_MQH
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#define STOCHASTIC_DOUBLE_SMOOTHED_CALCULATOR_MQH
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#include <MyIncludes\MovingAverage_Engine.mqh>
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#include <MyIncludes\HeikinAshi_Tools.mqh>
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//+==================================================================+
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//| CLASS 1: CStochasticDoubleSmoothedCalculator |
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//+==================================================================+
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class CStochasticDoubleSmoothedCalculator
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{
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protected:
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int m_q, m_r, m_s, m_signal_p;
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//--- Engines for Double Smoothing Cascade (Zero Heap Overhead!)
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CMovingAverageCalculator m_num_ema1_engine;
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CMovingAverageCalculator m_den_ema1_engine;
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CMovingAverageCalculator m_num_ema2_engine;
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CMovingAverageCalculator m_den_ema2_engine;
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CMovingAverageCalculator m_signal_engine;
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//--- Persistent State Buffers
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double m_high[], m_low[], m_close[];
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double m_num_raw[], m_den_raw[];
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double m_num_ema1[], m_den_ema1[];
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double m_num_ema2[], m_den_ema2[];
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virtual bool PrepareSourceData(int rates_total, int start_index, const double &open[], const double &high[], const double &low[], const double &close[]);
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public:
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CStochasticDoubleSmoothedCalculator(void) : m_q(5), m_r(3), m_s(3), m_signal_p(3) {};
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virtual ~CStochasticDoubleSmoothedCalculator(void) {};
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bool Init(int q, int r, ENUM_MA_TYPE r_ma, int s, ENUM_MA_TYPE s_ma, int signal_p, ENUM_MA_TYPE signal_ma);
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void Calculate(int rates_total, int prev_calculated, const double &open[], const double &high[], const double &low[], const double &close[],
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double &k_buffer[], double &d_buffer[]);
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};
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//+------------------------------------------------------------------+
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//| Init |
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//+------------------------------------------------------------------+
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bool CStochasticDoubleSmoothedCalculator::Init(int q, int r, ENUM_MA_TYPE r_ma, int s, ENUM_MA_TYPE s_ma, int signal_p, ENUM_MA_TYPE signal_ma)
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{
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m_q = (q < 1) ? 1 : q;
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m_r = (r < 1) ? 1 : r;
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m_s = (s < 1) ? 1 : s;
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m_signal_p = (signal_p < 1) ? 1 : signal_p;
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// Initialize all 5 smoothing engines
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if(!m_num_ema1_engine.Init(m_r, r_ma))
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return false;
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if(!m_den_ema1_engine.Init(m_r, r_ma))
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return false;
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if(!m_num_ema2_engine.Init(m_s, s_ma))
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return false;
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if(!m_den_ema2_engine.Init(m_s, s_ma))
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return false;
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if(!m_signal_engine.Init(m_signal_p, signal_ma))
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return false;
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return true;
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}
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//+------------------------------------------------------------------+
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//| Main Calculation (Incremental O(1)) |
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//+------------------------------------------------------------------+
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void CStochasticDoubleSmoothedCalculator::Calculate(int rates_total, int prev_calculated, const double &open[], const double &high[], const double &low[], const double &close[],
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double &k_buffer[], double &d_buffer[])
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{
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int warmup = m_q + m_r + m_s + m_signal_p;
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if(rates_total <= warmup)
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return;
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int start_index = (prev_calculated == 0) ? 0 : prev_calculated - 1;
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// Resize internal state buffers & enforce chronological safety
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if(ArraySize(m_high) != rates_total)
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{
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ArrayResize(m_high, rates_total);
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ArraySetAsSeries(m_high, false);
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ArrayResize(m_low, rates_total);
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ArraySetAsSeries(m_low, false);
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ArrayResize(m_close, rates_total);
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ArraySetAsSeries(m_close, false);
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ArrayResize(m_num_raw, rates_total);
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ArraySetAsSeries(m_num_raw, false);
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ArrayResize(m_den_raw, rates_total);
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ArraySetAsSeries(m_den_raw, false);
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ArrayResize(m_num_ema1, rates_total);
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ArraySetAsSeries(m_num_ema1, false);
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ArrayResize(m_den_ema1, rates_total);
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ArraySetAsSeries(m_den_ema1, false);
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ArrayResize(m_num_ema2, rates_total);
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ArraySetAsSeries(m_num_ema2, false);
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ArrayResize(m_den_ema2, rates_total);
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ArraySetAsSeries(m_den_ema2, false);
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}
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// Safe allocation of output buffers
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if(ArraySize(k_buffer) != rates_total)
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{
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ArrayResize(k_buffer, rates_total);
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ArraySetAsSeries(k_buffer, false);
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ArrayInitialize(k_buffer, EMPTY_VALUE);
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}
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if(ArraySize(d_buffer) != rates_total)
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{
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ArrayResize(d_buffer, rates_total);
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ArraySetAsSeries(d_buffer, false);
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ArrayInitialize(d_buffer, EMPTY_VALUE);
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}
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if(!PrepareSourceData(rates_total, start_index, open, high, low, close))
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return;
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// 1. Calculate Raw Numerator and Denominator
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int loop_start_raw = MathMax(m_q - 1, start_index);
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for(int i = loop_start_raw; i < rates_total; i++)
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{
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double highest = m_high[i];
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double lowest = m_low[i];
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for(int j = 1; j < m_q; j++)
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{
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highest = MathMax(highest, m_high[i - j]);
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lowest = MathMin(lowest, m_low[i - j]);
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}
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m_num_raw[i] = m_close[i] - lowest;
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m_den_raw[i] = highest - lowest;
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}
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// 2. First Smoothing Stage (EMA1)
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int offset1 = m_q - 1;
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m_num_ema1_engine.CalculateOnArray(rates_total, prev_calculated, m_num_raw, m_num_ema1, offset1);
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m_den_ema1_engine.CalculateOnArray(rates_total, prev_calculated, m_den_raw, m_den_ema1, offset1);
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// 3. Second Smoothing Stage (EMA2)
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int offset2 = offset1 + m_r - 1;
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m_num_ema2_engine.CalculateOnArray(rates_total, prev_calculated, m_num_ema1, m_num_ema2, offset2);
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m_den_ema2_engine.CalculateOnArray(rates_total, prev_calculated, m_den_ema1, m_den_ema2, offset2);
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// 4. Calculate %K Ratio (Post-Smoothing Division)
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int k_start = offset2 + m_s - 1;
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int loop_start_k = MathMax(k_start, start_index);
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for(int i = loop_start_k; i < rates_total; i++)
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{
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if(m_den_ema2[i] > 1.0e-9)
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k_buffer[i] = 100.0 * (m_num_ema2[i] / m_den_ema2[i]);
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else
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k_buffer[i] = (i > 0) ? k_buffer[i - 1] : 50.0;
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}
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// 5. Calculate %D Signal Line (Smoothing of %K)
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m_signal_engine.CalculateOnArray(rates_total, prev_calculated, k_buffer, d_buffer, k_start);
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}
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//+------------------------------------------------------------------+
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//| Prepare Source Data (Standard) |
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//+------------------------------------------------------------------+
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bool CStochasticDoubleSmoothedCalculator::PrepareSourceData(int rates_total, int start_index, const double &open[], const double &high[], const double &low[], const double &close[])
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{
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for(int i = start_index; i < rates_total; i++)
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{
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m_high[i] = high[i];
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m_low[i] = low[i];
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m_close[i] = close[i];
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}
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return true;
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}
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//+==================================================================+
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//| CLASS 2: CStochasticDoubleSmoothedCalculator_HA |
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//+==================================================================+
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class CStochasticDoubleSmoothedCalculator_HA : public CStochasticDoubleSmoothedCalculator
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{
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private:
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CHeikinAshi_Calculator m_ha_calculator;
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double m_ha_open[];
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protected:
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virtual bool PrepareSourceData(int rates_total, int start_index, 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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//| Prepare Source Data (Direct In-Place Heikin Ashi Calculation) |
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//+------------------------------------------------------------------+
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bool CStochasticDoubleSmoothedCalculator_HA::PrepareSourceData(int rates_total, int start_index, const double &open[], const double &high[], const double &low[], const double &close[])
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{
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if(ArraySize(m_ha_open) != rates_total)
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{
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ArrayResize(m_ha_open, rates_total);
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ArraySetAsSeries(m_ha_open, false);
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}
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// DIRECT IN-PLACE CALCULATION: Eliminates 3 temp arrays and 1 copy loop!
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m_ha_calculator.Calculate(rates_total, start_index, open, high, low, close,
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m_ha_open, m_high, m_low, m_close);
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return true;
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}
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#endif // STOCHASTIC_DOUBLE_SMOOTHED_CALCULATOR_MQH
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//+------------------------------------------------------------------+
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