mql5/Include/MyIncludes/Ehlers_Smoother_Calculator.mqh

//+------------------------------------------------------------------+
//|                                   Ehlers_Smoother_Calculator.mqh |
//|      Calculation engine for John Ehlers' SuperSmoother and       |
//|      Ultimate Smoother filters. Definition-true implementation.  |
//|                                        Copyright 2025, xxxxxxxx  |
//+------------------------------------------------------------------+
#property copyright "Copyright 2025, xxxxxxxx"

#include <MyIncludes\HeikinAshi_Tools.mqh>

//--- Enum names now match the Ehlers articles exactly
enum ENUM_SMOOTHER_TYPE
  {
   SUPERSMOOTHER,
   ULTIMATESMOOTHER
  };

//+==================================================================+
//|                                                                  |
//|           CLASS 1: CEhlersSmootherCalculator (Base)              |
//|                                                                  |
//+==================================================================+
class CEhlersSmootherCalculator
  {
protected:
   int                 m_period;
   ENUM_SMOOTHER_TYPE  m_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[]);

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

   bool              Init(int period, ENUM_SMOOTHER_TYPE type);
   void              Calculate(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[], double &filter_buffer[]);
  };

//+------------------------------------------------------------------+
bool CEhlersSmootherCalculator::Init(int period, ENUM_SMOOTHER_TYPE type)
  {
   m_period = (period < 2) ? 2 : period;
   m_type = type;
   return true;
  }

//+------------------------------------------------------------------+
//| REFACTORED: Using internal state variables for robust recursion. |
//+------------------------------------------------------------------+
void CEhlersSmootherCalculator::Calculate(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[], double &filter_buffer[])
  {
   if(rates_total < 4)
      return;
   if(!PreparePriceSeries(rates_total, price_type, open, high, low, close))
      return;

// --- Calculate coefficients exactly as per Ehlers' articles ---
   double a1 = exp(-M_SQRT2 * M_PI / m_period);
   double b1 = 2.0 * a1 * cos(M_SQRT2 * M_PI / m_period);
   double c2 = b1;
   double c3 = -a1 * a1;
   double c1 = 0;

   if(m_type == SUPERSMOOTHER)
     {
      c1 = 1.0 - c2 - c3;
     }
   else // ULTIMATESMOOTHER
     {
      c1 = (1.0 + c2 - c3) / 4.0;
     }

// --- State variables for recursive calculation ---
   double f1=0, f2=0; // f[1], f[2]

// --- Initialization for the first few bars, as per Ehlers' code ---
   filter_buffer[0] = m_price[0];
   filter_buffer[1] = m_price[1];
   filter_buffer[2] = m_price[2];
   f1 = filter_buffer[2];
   f2 = filter_buffer[1];

// --- Full recalculation loop for stability ---
   for(int i = 3; i < rates_total; i++)
     {
      double current_f = 0;
      if(m_type == SUPERSMOOTHER)
        {
         current_f = c1 * (m_price[i] + m_price[i-1]) / 2.0 + c2 * f1 + c3 * f2;
        }
      else // ULTIMATESMOOTHER
        {
         current_f = (1.0 - c1) * m_price[i]
                     + (2.0 * c1 - c2) * m_price[i-1]
                     - (c1 + c3) * m_price[i-2]
                     + c2 * f1
                     + c3 * f2;
        }

      filter_buffer[i] = current_f;

      // Update state for next iteration
      f2 = f1;
      f1 = current_f;
     }
  }

//+------------------------------------------------------------------+
bool CEhlersSmootherCalculator::PreparePriceSeries(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[])
  {
   ArrayResize(m_price, rates_total);
   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]+2*close[i])/4.0;
         break;
      default:
         return false;
     }
   return true;
  }
//+------------------------------------------------------------------+
//|                                                                  |
//+------------------------------------------------------------------+
class CEhlersSmootherCalculator_HA : public CEhlersSmootherCalculator
  {
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;
  };
//+------------------------------------------------------------------+
//|                                                                  |
//+------------------------------------------------------------------+
bool CEhlersSmootherCalculator_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);
   ArrayResize(m_price, rates_total);
   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]+2*ha_close[i])/4.0;
         break;
      default:
         return false;
     }
   return true;
  }
//+------------------------------------------------------------------+
//+------------------------------------------------------------------+