mirror of
https://github.com/softwaredevelop/mql5.git
synced 2026-11-02 11:16:15 +00:00
296 lines
10 KiB
Plaintext
296 lines
10 KiB
Plaintext
//+------------------------------------------------------------------+
|
|
//| EScore_Calculator.mqh|
|
|
//| Engine for Statistical E-Score (Ehlers Smoother Z-Score) |
|
|
//| Copyright 2026, xxxxxxxx|
|
|
//+------------------------------------------------------------------+
|
|
#property copyright "Copyright 2026, xxxxxxxx"
|
|
#property version "3.20" // Fixed: Preserved Persistent Smoother History on Resize
|
|
|
|
#ifndef ESCORE_CALCULATOR_MQH
|
|
#define ESCORE_CALCULATOR_MQH
|
|
|
|
#include <MyIncludes\Ehlers_Smoother_Calculator.mqh>
|
|
|
|
//+==================================================================+
|
|
//| CLASS: CEScoreCalculator |
|
|
//+==================================================================+
|
|
class CEScoreCalculator
|
|
{
|
|
private:
|
|
int m_period;
|
|
ENUM_SMOOTHER_TYPE m_type;
|
|
ENUM_APPLIED_PRICE_HA_ALL m_source_price;
|
|
|
|
CEhlersSmootherCalculator *m_smoother_calc;
|
|
CHeikinAshi_Calculator m_ha_calc;
|
|
|
|
double m_smooth_buf[];
|
|
double m_price_buf[];
|
|
double m_ha_open[], m_ha_high[], m_ha_low[], m_ha_close[];
|
|
|
|
bool PreparePriceSeries(const int rates_total, const int start_index,
|
|
const double &open[], const double &high[],
|
|
const double &low[], const double &close[]);
|
|
|
|
public:
|
|
CEScoreCalculator(void);
|
|
~CEScoreCalculator(void);
|
|
|
|
//--- Legacy Compatible Init (3 Parameters)
|
|
bool Init(const int period, const ENUM_SMOOTHER_TYPE type, const bool use_ha)
|
|
{
|
|
ENUM_APPLIED_PRICE_HA_ALL src = use_ha ? PRICE_HA_CLOSE : PRICE_CLOSE_STD;
|
|
return Init(period, type, src);
|
|
}
|
|
|
|
//--- Enhanced Pro Init (3 Parameters with Full Price Enum)
|
|
bool Init(const int period, const ENUM_SMOOTHER_TYPE type, const ENUM_APPLIED_PRICE_HA_ALL price_source);
|
|
|
|
void Calculate(const int rates_total, const int prev_calculated,
|
|
const double &open[], const double &high[],
|
|
const double &low[], const double &close[],
|
|
double &out_escore[]);
|
|
|
|
//--- Legacy Overload with price_type parameter
|
|
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 &out_escore[])
|
|
{
|
|
Calculate(rates_total, prev_calculated, open, high, low, close, out_escore);
|
|
}
|
|
|
|
int GetRequiredWarmup(void) const { return m_period + 3; }
|
|
};
|
|
|
|
//+------------------------------------------------------------------+
|
|
//| Constructor |
|
|
//+------------------------------------------------------------------+
|
|
CEScoreCalculator::CEScoreCalculator(void) : m_period(20),
|
|
m_type(SUPERSMOOTHER),
|
|
m_source_price(PRICE_CLOSE_STD),
|
|
m_smoother_calc(NULL)
|
|
{
|
|
ArraySetAsSeries(m_smooth_buf, false);
|
|
ArraySetAsSeries(m_price_buf, false);
|
|
ArraySetAsSeries(m_ha_open, false);
|
|
ArraySetAsSeries(m_ha_high, false);
|
|
ArraySetAsSeries(m_ha_low, false);
|
|
ArraySetAsSeries(m_ha_close, false);
|
|
}
|
|
|
|
//+------------------------------------------------------------------+
|
|
//| Destructor |
|
|
//+------------------------------------------------------------------+
|
|
CEScoreCalculator::~CEScoreCalculator(void)
|
|
{
|
|
if(CheckPointer(m_smoother_calc) != POINTER_INVALID)
|
|
{
|
|
delete m_smoother_calc;
|
|
m_smoother_calc = NULL;
|
|
}
|
|
}
|
|
|
|
//+------------------------------------------------------------------+
|
|
//| Enhanced Pro Initialization |
|
|
//+------------------------------------------------------------------+
|
|
bool CEScoreCalculator::Init(const int period, const ENUM_SMOOTHER_TYPE type, const ENUM_APPLIED_PRICE_HA_ALL price_source)
|
|
{
|
|
m_period = (period < 2) ? 2 : period;
|
|
m_type = type;
|
|
m_source_price = price_source;
|
|
|
|
if(CheckPointer(m_smoother_calc) != POINTER_INVALID)
|
|
{
|
|
delete m_smoother_calc;
|
|
m_smoother_calc = NULL;
|
|
}
|
|
|
|
m_smoother_calc = new CEhlersSmootherCalculator();
|
|
if(CheckPointer(m_smoother_calc) == POINTER_INVALID)
|
|
return false;
|
|
|
|
return m_smoother_calc.Init(m_period, m_type, SOURCE_PRICE, m_source_price);
|
|
}
|
|
|
|
//+------------------------------------------------------------------+
|
|
//| Prepare Price Series (Standard / Heikin Ashi) |
|
|
//+------------------------------------------------------------------+
|
|
bool CEScoreCalculator::PreparePriceSeries(const int rates_total, const int start_index,
|
|
const double &open[], const double &high[],
|
|
const double &low[], const double &close[])
|
|
{
|
|
if(ArraySize(m_price_buf) != rates_total)
|
|
{
|
|
ArrayResize(m_price_buf, rates_total);
|
|
ArraySetAsSeries(m_price_buf, false);
|
|
}
|
|
|
|
bool is_heikin_ashi = (m_source_price <= PRICE_HA_CLOSE);
|
|
|
|
if(is_heikin_ashi)
|
|
{
|
|
if(ArraySize(m_ha_open) != rates_total)
|
|
{
|
|
ArrayResize(m_ha_open, rates_total);
|
|
ArrayResize(m_ha_high, rates_total);
|
|
ArrayResize(m_ha_low, rates_total);
|
|
ArrayResize(m_ha_close, rates_total);
|
|
|
|
ArraySetAsSeries(m_ha_open, false);
|
|
ArraySetAsSeries(m_ha_high, false);
|
|
ArraySetAsSeries(m_ha_low, false);
|
|
ArraySetAsSeries(m_ha_close, false);
|
|
}
|
|
|
|
m_ha_calc.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(m_source_price)
|
|
{
|
|
case PRICE_HA_OPEN:
|
|
m_price_buf[i] = m_ha_open[i];
|
|
break;
|
|
case PRICE_HA_HIGH:
|
|
m_price_buf[i] = m_ha_high[i];
|
|
break;
|
|
case PRICE_HA_LOW:
|
|
m_price_buf[i] = m_ha_low[i];
|
|
break;
|
|
case PRICE_HA_MEDIAN:
|
|
m_price_buf[i] = (m_ha_high[i] + m_ha_low[i]) / 2.0;
|
|
break;
|
|
case PRICE_HA_TYPICAL:
|
|
m_price_buf[i] = (m_ha_high[i] + m_ha_low[i] + m_ha_close[i]) / 3.0;
|
|
break;
|
|
case PRICE_HA_WEIGHTED:
|
|
m_price_buf[i] = (m_ha_high[i] + m_ha_low[i] + 2.0 * m_ha_close[i]) / 4.0;
|
|
break;
|
|
case PRICE_HA_CLOSE:
|
|
default:
|
|
m_price_buf[i] = m_ha_close[i];
|
|
break;
|
|
}
|
|
}
|
|
}
|
|
else
|
|
{
|
|
for(int i = start_index; i < rates_total; i++)
|
|
{
|
|
switch(m_source_price)
|
|
{
|
|
case PRICE_OPEN_STD:
|
|
m_price_buf[i] = open[i];
|
|
break;
|
|
case PRICE_HIGH_STD:
|
|
m_price_buf[i] = high[i];
|
|
break;
|
|
case PRICE_LOW_STD:
|
|
m_price_buf[i] = low[i];
|
|
break;
|
|
case PRICE_MEDIAN_STD:
|
|
m_price_buf[i] = (high[i] + low[i]) / 2.0;
|
|
break;
|
|
case PRICE_TYPICAL_STD:
|
|
m_price_buf[i] = (high[i] + low[i] + close[i]) / 3.0;
|
|
break;
|
|
case PRICE_WEIGHTED_STD:
|
|
m_price_buf[i] = (high[i] + low[i] + 2.0 * close[i]) / 4.0;
|
|
break;
|
|
case PRICE_CLOSE_STD:
|
|
default:
|
|
m_price_buf[i] = close[i];
|
|
break;
|
|
}
|
|
}
|
|
}
|
|
|
|
return true;
|
|
}
|
|
|
|
//+------------------------------------------------------------------+
|
|
//| Main Incremental Calculation Loop |
|
|
//+------------------------------------------------------------------+
|
|
void CEScoreCalculator::Calculate(const int rates_total, const int prev_calculated,
|
|
const double &open[], const double &high[],
|
|
const double &low[], const double &close[],
|
|
double &out_escore[])
|
|
{
|
|
int warmup = GetRequiredWarmup();
|
|
if(rates_total <= warmup || CheckPointer(m_smoother_calc) == POINTER_INVALID)
|
|
return;
|
|
|
|
// Safe allocation of destination array without wiping history
|
|
if(ArraySize(out_escore) != rates_total)
|
|
{
|
|
ArrayResize(out_escore, rates_total);
|
|
ArraySetAsSeries(out_escore, false);
|
|
}
|
|
|
|
// Safe allocation of internal smoother buffer (Preserves historical elements)
|
|
if(ArraySize(m_smooth_buf) != rates_total)
|
|
{
|
|
ArrayResize(m_smooth_buf, rates_total);
|
|
ArraySetAsSeries(m_smooth_buf, false);
|
|
}
|
|
|
|
int start_index = (prev_calculated > 0) ? (prev_calculated - 1) : 0;
|
|
|
|
// 1. Prepare Price Data
|
|
if(!PreparePriceSeries(rates_total, start_index, open, high, low, close))
|
|
return;
|
|
|
|
// 2. Compute Underlying Ehlers Smoother
|
|
m_smoother_calc.Calculate(rates_total, prev_calculated, open, high, low, close, m_smooth_buf);
|
|
|
|
// 3. Clean invalid initial range strictly on fresh calculation
|
|
if(prev_calculated == 0)
|
|
{
|
|
for(int i = 0; i < warmup; i++)
|
|
out_escore[i] = 0.0;
|
|
}
|
|
|
|
int start = (prev_calculated > warmup) ? (prev_calculated - 1) : warmup;
|
|
if(start < warmup)
|
|
start = warmup;
|
|
|
|
// 4. Compute Rolling Z-Score of difference (m_price_buf - m_smooth_buf)
|
|
for(int i = start; i < rates_total; i++)
|
|
{
|
|
double current_smooth = m_smooth_buf[i];
|
|
double p = m_price_buf[i];
|
|
|
|
if(current_smooth == 0.0 || current_smooth == EMPTY_VALUE)
|
|
{
|
|
out_escore[i] = 0.0;
|
|
continue;
|
|
}
|
|
|
|
double sum_sq_diff = 0.0;
|
|
for(int k = 0; k < m_period; k++)
|
|
{
|
|
int idx = i - k;
|
|
double p_k = m_price_buf[idx];
|
|
double s_k = m_smooth_buf[idx];
|
|
|
|
if(s_k == 0.0 || s_k == EMPTY_VALUE)
|
|
s_k = p_k;
|
|
|
|
double diff = p_k - s_k;
|
|
sum_sq_diff += diff * diff;
|
|
}
|
|
|
|
double std_dev = MathSqrt(sum_sq_diff / (double)m_period);
|
|
|
|
if(std_dev > 1.0e-9)
|
|
out_escore[i] = (p - current_smooth) / std_dev;
|
|
else
|
|
out_escore[i] = 0.0;
|
|
}
|
|
}
|
|
|
|
#endif // ESCORE_CALCULATOR_MQH
|
|
//+------------------------------------------------------------------+
|