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228 lines
8.2 KiB
Plaintext
228 lines
8.2 KiB
Plaintext
//+------------------------------------------------------------------+
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//| Windowed_MA_Calculator.mqh |
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//| Calculation engine for Hann Windowed FIR filter. |
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//| VERSION 2.00: Optimized for incremental calculation. |
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//| Copyright 2025, xxxxxxxx |
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//+------------------------------------------------------------------+
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#property copyright "Copyright 2025, xxxxxxxx"
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#include <MyIncludes\HeikinAshi_Tools.mqh>
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enum ENUM_INPUT_SOURCE { SOURCE_PRICE, SOURCE_MOMENTUM }; // Price or (Close-Open)
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//+==================================================================+
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//| CLASS 1: CWindowedMACalculator (Base Class) |
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//+==================================================================+
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class CWindowedMACalculator
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{
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protected:
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int m_period;
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ENUM_INPUT_SOURCE m_source_type;
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//--- Persistent Buffer for Incremental Calculation
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double m_source_data[];
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//--- Pre-calculated Weights
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double m_weights[];
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double m_weight_sum;
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//--- Updated: Accepts start_index
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virtual bool PrepareSourceData(int rates_total, int start_index, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[]);
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public:
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CWindowedMACalculator(void) {};
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virtual ~CWindowedMACalculator(void) {};
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bool Init(int period, ENUM_INPUT_SOURCE source_type);
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//--- Updated: Accepts prev_calculated
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void Calculate(int rates_total, int prev_calculated, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[], double &output_buffer[]);
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};
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//+------------------------------------------------------------------+
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//| Init |
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//+------------------------------------------------------------------+
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bool CWindowedMACalculator::Init(int period, ENUM_INPUT_SOURCE source_type)
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{
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m_period = (period < 2) ? 2 : period;
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m_source_type = source_type;
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// Pre-calculate Weights
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ArrayResize(m_weights, m_period);
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m_weight_sum = 0;
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for(int j = 0; j < m_period; j++)
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{
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// FIX: Changed from Standard Hann to Ehlers' Modified Hann
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// Standard: 0.5 * (1 - cos(2*pi*j / (N-1))) -> Edges are ZERO.
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// Ehlers: 1.0 - cos(2*pi*(j+1) / (N+1)) -> Edges are NON-ZERO.
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// Ehlers uses 1-based indexing in formula (count), we use 0-based (j).
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// So (count) becomes (j + 1.0).
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double weight = 1.0 - cos(2.0 * M_PI * (j + 1.0) / (m_period + 1.0));
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m_weights[j] = weight;
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m_weight_sum += weight;
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}
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return (m_weight_sum > 0);
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}
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//+------------------------------------------------------------------+
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//| Main Calculation (Optimized) |
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//+------------------------------------------------------------------+
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void CWindowedMACalculator::Calculate(int rates_total, int prev_calculated, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[], double &output_buffer[])
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{
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if(rates_total < m_period)
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return;
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//--- 1. Determine Start Index
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int start_index;
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if(prev_calculated == 0)
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start_index = 0;
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else
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start_index = prev_calculated - 1;
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//--- 2. Resize Buffer
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if(ArraySize(m_source_data) != rates_total)
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ArrayResize(m_source_data, rates_total);
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//--- 3. Prepare Source Data (Optimized)
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if(!PrepareSourceData(rates_total, start_index, price_type, open, high, low, close))
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return;
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//--- 4. Calculate Windowed MA (Incremental Loop)
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int loop_start = MathMax(m_period - 1, start_index);
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for(int i = loop_start; i < rates_total; i++)
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{
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double sum = 0;
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// Convolution: Sum(Price[i-j] * Weight[j])
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// Optimization: Weights are pre-calculated
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for(int j = 0; j < m_period; j++)
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{
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sum += m_source_data[i-j] * m_weights[j];
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}
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output_buffer[i] = sum / m_weight_sum;
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}
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}
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//+------------------------------------------------------------------+
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//| Prepare Source Data (Standard - Optimized) |
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//+------------------------------------------------------------------+
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bool CWindowedMACalculator::PrepareSourceData(int rates_total, int start_index, ENUM_APPLIED_PRICE price_type, 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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if(m_source_type == SOURCE_PRICE)
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{
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switch(price_type)
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{
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case PRICE_CLOSE:
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m_source_data[i] = close[i];
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break;
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case PRICE_OPEN:
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m_source_data[i] = open[i];
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break;
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case PRICE_HIGH:
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m_source_data[i] = high[i];
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break;
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case PRICE_LOW:
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m_source_data[i] = low[i];
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break;
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case PRICE_MEDIAN:
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m_source_data[i] = (high[i]+low[i])/2.0;
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break;
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case PRICE_TYPICAL:
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m_source_data[i] = (high[i]+low[i]+close[i])/3.0;
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break;
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case PRICE_WEIGHTED:
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m_source_data[i] = (high[i]+low[i]+2*close[i])/4.0;
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break;
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default:
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m_source_data[i] = close[i];
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break;
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}
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}
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else // SOURCE_MOMENTUM
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{
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m_source_data[i] = close[i] - open[i];
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}
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}
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return true;
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}
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//+==================================================================+
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//| CLASS 2: CWindowedMACalculator_HA (Heikin Ashi) |
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//+==================================================================+
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class CWindowedMACalculator_HA : public CWindowedMACalculator
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{
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private:
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CHeikinAshi_Calculator m_ha_calculator;
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// Internal HA buffers
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double m_ha_open[], m_ha_high[], m_ha_low[], m_ha_close[];
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protected:
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virtual bool PrepareSourceData(int rates_total, int start_index, ENUM_APPLIED_PRICE price_type, 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 (Heikin Ashi - Optimized) |
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//+------------------------------------------------------------------+
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bool CWindowedMACalculator_HA::PrepareSourceData(int rates_total, int start_index, ENUM_APPLIED_PRICE price_type, 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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ArrayResize(m_ha_high, rates_total);
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ArrayResize(m_ha_low, rates_total);
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ArrayResize(m_ha_close, rates_total);
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}
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m_ha_calculator.Calculate(rates_total, start_index, open, high, low, close,
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m_ha_open, m_ha_high, m_ha_low, m_ha_close);
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for(int i = start_index; i < rates_total; i++)
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{
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if(m_source_type == SOURCE_PRICE)
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{
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switch(price_type)
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{
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case PRICE_CLOSE:
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m_source_data[i] = m_ha_close[i];
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break;
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case PRICE_OPEN:
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m_source_data[i] = m_ha_open[i];
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break;
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case PRICE_HIGH:
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m_source_data[i] = m_ha_high[i];
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break;
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case PRICE_LOW:
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m_source_data[i] = m_ha_low[i];
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break;
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case PRICE_MEDIAN:
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m_source_data[i] = (m_ha_high[i]+m_ha_low[i])/2.0;
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break;
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case PRICE_TYPICAL:
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m_source_data[i] = (m_ha_high[i]+m_ha_low[i]+m_ha_close[i])/3.0;
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break;
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case PRICE_WEIGHTED:
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m_source_data[i] = (m_ha_high[i]+m_ha_low[i]+2*m_ha_close[i])/4.0;
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break;
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default:
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m_source_data[i] = m_ha_close[i];
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break;
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}
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}
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else // SOURCE_MOMENTUM
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{
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m_source_data[i] = m_ha_close[i] - m_ha_open[i];
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}
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}
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return true;
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}
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//+------------------------------------------------------------------+
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