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Toh4iem9
270 lines
9.9 KiB
Plaintext
270 lines
9.9 KiB
Plaintext
//+------------------------------------------------------------------+
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//| BScore_Calculator.mqh|
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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 "1.02" // Fully corrected dynamic buffers, dynamic pointers and Ha subclass
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#ifndef BSCORE_CALCULATOR_MQH
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#define BSCORE_CALCULATOR_MQH
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#include <MyIncludes\Butterworth_Calculator.mqh>
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//+==================================================================+
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//| CLASS: CBScoreCalculator |
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//+==================================================================+
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class CBScoreCalculator
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{
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protected:
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int m_period; // Volatility lookback period (N)
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int m_butter_period;// Butterworth cutoff period
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ENUM_BUTTERWORTH_POLES m_poles; // Butterworth poles
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bool m_use_ha; // Use Heikin Ashi price?
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CButterworthCalculator *m_butter_calc; // Embedded Butterworth Filter engine
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double m_butter_buf[]; // Cached Butterworth centerline
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double m_price_buf[]; // Cached price buffer
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double m_ha_open[], m_ha_high[], m_ha_low[], m_ha_close[];
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CHeikinAshi_Calculator m_ha_calc;
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virtual void CreateEngine(void);
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virtual bool PreparePriceSeries(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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CBScoreCalculator(void);
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virtual ~CBScoreCalculator(void);
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bool Init(int period, int butter_period, ENUM_BUTTERWORTH_POLES poles, bool use_ha);
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void Calculate(int rates_total, int prev_calculated, ENUM_APPLIED_PRICE price_type,
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const double &open[], const double &high[], const double &low[], const double &close[],
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double &out_bscore[]);
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};
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//+------------------------------------------------------------------+
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//| Constructor |
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//+------------------------------------------------------------------+
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CBScoreCalculator::CBScoreCalculator(void) : m_period(20), m_butter_period(20), m_poles(POLES_TWO), m_use_ha(false), m_butter_calc(NULL)
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{
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}
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//+------------------------------------------------------------------+
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//| Destructor |
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//+------------------------------------------------------------------+
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CBScoreCalculator::~CBScoreCalculator(void)
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{
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if(CheckPointer(m_butter_calc) != POINTER_INVALID)
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delete m_butter_calc;
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}
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//+------------------------------------------------------------------+
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//| Factory Method |
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//+------------------------------------------------------------------+
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void CBScoreCalculator::CreateEngine(void)
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{
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m_butter_calc = new CButterworthCalculator();
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}
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//+------------------------------------------------------------------+
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//| Init |
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//+------------------------------------------------------------------+
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bool CBScoreCalculator::Init(int period, int butter_period, ENUM_BUTTERWORTH_POLES poles, bool use_ha)
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{
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m_period = (period < 2) ? 2 : period;
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m_butter_period = (butter_period < 2) ? 2 : butter_period;
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m_poles = poles;
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m_use_ha = use_ha;
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CreateEngine(); // Polymorphically instantiates the correct engine
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if(CheckPointer(m_butter_calc) == POINTER_INVALID)
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return false;
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return m_butter_calc.Init(m_butter_period, m_poles, SOURCE_PRICE);
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}
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//+------------------------------------------------------------------+
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//| Calculate (Incremental O(1)) |
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//+------------------------------------------------------------------+
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void CBScoreCalculator::Calculate(int rates_total, int prev_calculated, ENUM_APPLIED_PRICE price_type,
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const double &open[], const double &high[], const double &low[], const double &close[],
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double &out_bscore[])
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{
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if(rates_total < m_period + 5)
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return;
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if(CheckPointer(m_butter_calc) == POINTER_INVALID)
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return;
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//--- Resize Internal Buffers & force strict chronological indexing
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if(ArraySize(m_butter_buf) != rates_total)
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{
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ArrayResize(m_butter_buf, rates_total);
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ArraySetAsSeries(m_butter_buf, false);
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}
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// 1. Prepare aligned source prices (Standard or Heikin Ashi)
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if(!PreparePriceSeries(rates_total, prev_calculated, price_type, open, high, low, close))
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return;
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// 2. Calculate underlying Ehlers Butterworth Filter
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m_butter_calc.Calculate(rates_total, prev_calculated, price_type, open, high, low, close, m_butter_buf);
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// 3. Compute rolling Z-Score around Butterworth Filter centerline
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int start = (prev_calculated > m_period) ? prev_calculated - 1 : m_period;
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for(int i = start; i < rates_total; i++)
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{
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double current_butter = m_butter_buf[i];
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double p = m_price_buf[i];
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if(current_butter == 0.0 || current_butter == EMPTY_VALUE)
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current_butter = p;
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double sum_sq_diff = 0;
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for(int k = 0; k < m_period; k++)
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{
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int idx = i - k;
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double p_k = m_price_buf[idx];
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double b_k = m_butter_buf[idx];
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if(b_k == 0.0 || b_k == EMPTY_VALUE)
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b_k = p_k;
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double diff = p_k - b_k;
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sum_sq_diff += diff * diff;
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}
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double std_dev = MathSqrt(sum_sq_diff / m_period);
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if(std_dev > 1.0e-9)
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out_bscore[i] = (p - current_butter) / std_dev;
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else
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out_bscore[i] = 0.0;
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}
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}
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//+------------------------------------------------------------------+
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//| PreparePriceSeries |
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//+------------------------------------------------------------------+
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bool CBScoreCalculator::PreparePriceSeries(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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int start = (start_index == 0) ? 0 : start_index;
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if(ArraySize(m_price_buf) != rates_total)
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{
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ArrayResize(m_price_buf, rates_total);
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ArraySetAsSeries(m_price_buf, false); // Fixed: chronological sorting safety
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}
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for(int i = start; i < rates_total; i++)
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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_price_buf[i] = close[i];
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break;
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case PRICE_OPEN:
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m_price_buf[i] = open[i];
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break;
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case PRICE_HIGH:
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m_price_buf[i] = high[i];
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break;
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case PRICE_LOW:
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m_price_buf[i] = low[i];
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break;
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case PRICE_MEDIAN:
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m_price_buf[i] = (high[i] + low[i]) / 2.0;
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break;
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case PRICE_TYPICAL:
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m_price_buf[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_price_buf[i] = (high[i] + low[i] + 2.0 * close[i]) / 4.0;
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break;
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default:
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m_price_buf[i] = close[i];
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break;
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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: CBScoreCalculator_HA |
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//+==================================================================+
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class CBScoreCalculator_HA : public CBScoreCalculator
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{
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protected:
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virtual void CreateEngine(void) override;
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virtual bool PreparePriceSeries(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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void CBScoreCalculator_HA::CreateEngine(void)
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{
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m_butter_calc = new CButterworthCalculator_HA();
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}
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//+------------------------------------------------------------------+
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bool CBScoreCalculator_HA::PreparePriceSeries(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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int start = (start_index == 0) ? 0 : start_index;
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if(ArraySize(m_price_buf) != rates_total)
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{
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ArrayResize(m_price_buf, rates_total);
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ArraySetAsSeries(m_price_buf, false);
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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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ArraySetAsSeries(m_ha_open, false);
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ArraySetAsSeries(m_ha_high, false);
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ArraySetAsSeries(m_ha_low, false);
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ArraySetAsSeries(m_ha_close, false);
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}
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m_ha_calc.Calculate(rates_total, start, open, high, low, close, m_ha_open, m_ha_high, m_ha_low, m_ha_close);
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for(int i = start; i < rates_total; i++)
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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_price_buf[i] = m_ha_close[i];
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break;
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case PRICE_OPEN:
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m_price_buf[i] = m_ha_open[i];
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break;
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case PRICE_HIGH:
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m_price_buf[i] = m_ha_high[i];
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break;
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case PRICE_LOW:
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m_price_buf[i] = m_ha_low[i];
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break;
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case PRICE_MEDIAN:
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m_price_buf[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_price_buf[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_price_buf[i] = (m_ha_high[i] + m_ha_low[i] + 2.0 * m_ha_close[i]) / 4.0;
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break;
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default:
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m_price_buf[i] = m_ha_close[i];
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break;
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}
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}
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return true;
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}
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#endif // BSCORE_CALCULATOR_MQH
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//+------------------------------------------------------------------+
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