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Toh4iem9
209 lines
8.1 KiB
Plaintext
209 lines
8.1 KiB
Plaintext
//+------------------------------------------------------------------+
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//| LinearRegression_Calculator.mqh |
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//| Calculation engine for Standard and Heikin Ashi LinReg Channels. |
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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 for Channel Calculation Mode ---
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enum ENUM_CHANNEL_MODE
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{
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DEVIATION_STANDARD, // Channel width based on Standard Deviation
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DEVIATION_MAXIMUM // Channel width based on Maximum Deviation
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};
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//+==================================================================+
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//| |
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//| CLASS 1: CLinearRegressionCalculator (Base Class) |
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//| |
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//+==================================================================+
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class CLinearRegressionCalculator
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{
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protected:
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int m_period;
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ENUM_CHANNEL_MODE m_channel_mode;
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double m_deviations;
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double m_price[];
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virtual bool PreparePriceSeries(int rates_total, const double &open[], const double &high[], const double &low[], const double &close[], ENUM_APPLIED_PRICE price_type);
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public:
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CLinearRegressionCalculator(void) {};
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virtual ~CLinearRegressionCalculator(void) {};
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bool Init(int period, ENUM_CHANNEL_MODE mode, double deviations);
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void Calculate(int rates_total, const double &open[], const double &high[], const double &low[], const double &close[], ENUM_APPLIED_PRICE price_type,
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double &middle_buffer[], double &upper_buffer[], double &lower_buffer[]);
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};
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//+------------------------------------------------------------------+
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//| CLinearRegressionCalculator: Initialization |
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//+------------------------------------------------------------------+
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bool CLinearRegressionCalculator::Init(int period, ENUM_CHANNEL_MODE mode, double deviations)
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{
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m_period = (period < 2) ? 2 : period;
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m_channel_mode = mode;
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m_deviations = (deviations <= 0) ? 2.0 : deviations;
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return true;
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}
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//+------------------------------------------------------------------+
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//| CLinearRegressionCalculator: Main Calculation Method |
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//+------------------------------------------------------------------+
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void CLinearRegressionCalculator::Calculate(int rates_total, const double &open[], const double &high[], const double &low[], const double &close[], ENUM_APPLIED_PRICE price_type,
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double &middle_buffer[], double &upper_buffer[], double &lower_buffer[])
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{
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if(rates_total < m_period)
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return;
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if(!PreparePriceSeries(rates_total, open, high, low, close, price_type))
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return;
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int start_index = rates_total - m_period;
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double sum_x = 0, sum_y = 0, sum_xy = 0, sum_x2 = 0;
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for(int i = 0; i < m_period; i++)
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{
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double y = m_price[start_index + i];
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double x = i;
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sum_x += x;
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sum_y += y;
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sum_xy += x * y;
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sum_x2 += x * x;
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}
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double b = (m_period * sum_xy - sum_x * sum_y) / (m_period * sum_x2 - sum_x * sum_x);
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double a = (sum_y - b * sum_x) / m_period;
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double deviation_offset = 0;
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double regression_values[];
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ArrayResize(regression_values, m_period);
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if(m_channel_mode == DEVIATION_STANDARD)
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{
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double dev_sum_sq = 0;
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for(int i = 0; i < m_period; i++)
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{
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regression_values[i] = a + b * i;
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dev_sum_sq += MathPow(m_price[start_index + i] - regression_values[i], 2);
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}
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deviation_offset = m_deviations * MathSqrt(dev_sum_sq / m_period);
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}
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else // DEVIATION_MAXIMUM
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{
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double max_dev = 0;
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for(int i = 0; i < m_period; i++)
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{
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regression_values[i] = a + b * i;
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max_dev = MathMax(max_dev, MathAbs(m_price[start_index + i] - regression_values[i]));
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}
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deviation_offset = max_dev;
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}
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for(int i = 0; i < m_period; i++)
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{
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int buffer_index = start_index + i;
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middle_buffer[buffer_index] = regression_values[i];
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upper_buffer[buffer_index] = regression_values[i] + deviation_offset;
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lower_buffer[buffer_index] = regression_values[i] - deviation_offset;
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}
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PlotIndexSetInteger(0, PLOT_DRAW_BEGIN, start_index);
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PlotIndexSetInteger(1, PLOT_DRAW_BEGIN, start_index);
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PlotIndexSetInteger(2, PLOT_DRAW_BEGIN, start_index);
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}
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//+------------------------------------------------------------------+
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//| CLinearRegressionCalculator: Prepares the standard source price. |
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//+------------------------------------------------------------------+
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bool CLinearRegressionCalculator::PreparePriceSeries(int rates_total, const double &open[], const double &high[], const double &low[], const double &close[], ENUM_APPLIED_PRICE price_type)
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{
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ArrayResize(m_price, rates_total);
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switch(price_type)
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{
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case PRICE_OPEN:
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ArrayCopy(m_price, open, 0, 0, rates_total);
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break;
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case PRICE_HIGH:
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ArrayCopy(m_price, high, 0, 0, rates_total);
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break;
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case PRICE_LOW:
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ArrayCopy(m_price, low, 0, 0, rates_total);
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break;
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case PRICE_MEDIAN:
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for(int i=0; i<rates_total; i++)
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m_price[i] = (high[i]+low[i])/2.0;
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break;
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case PRICE_TYPICAL:
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for(int i=0; i<rates_total; i++)
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m_price[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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for(int i=0; i<rates_total; i++)
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m_price[i] = (high[i]+low[i]+2*close[i])/4.0;
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break;
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default:
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ArrayCopy(m_price, close, 0, 0, rates_total);
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break;
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}
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return true;
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}
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//+==================================================================+
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//| |
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//| CLASS 2: CLinearRegressionCalculator_HA (Heikin Ashi) |
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//| |
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//+==================================================================+
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class CLinearRegressionCalculator_HA : public CLinearRegressionCalculator
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{
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private:
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CHeikinAshi_Calculator m_ha_calculator;
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protected:
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virtual bool PreparePriceSeries(int rates_total, const double &open[], const double &high[], const double &low[], const double &close[], ENUM_APPLIED_PRICE price_type) override;
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};
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//+------------------------------------------------------------------+
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//| CLinearRegressionCalculator_HA: Prepares the HA source price. |
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//+------------------------------------------------------------------+
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bool CLinearRegressionCalculator_HA::PreparePriceSeries(int rates_total, const double &open[], const double &high[], const double &low[], const double &close[], ENUM_APPLIED_PRICE price_type)
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{
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double ha_open[], ha_high[], ha_low[], ha_close[];
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ArrayResize(ha_open, rates_total);
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ArrayResize(ha_high, rates_total);
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ArrayResize(ha_low, rates_total);
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ArrayResize(ha_close, rates_total);
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m_ha_calculator.Calculate(rates_total, open, high, low, close, ha_open, ha_high, ha_low, ha_close);
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ArrayResize(m_price, rates_total);
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switch(price_type)
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{
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case PRICE_OPEN:
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ArrayCopy(m_price, ha_open, 0, 0, rates_total);
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break;
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case PRICE_HIGH:
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ArrayCopy(m_price, ha_high, 0, 0, rates_total);
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break;
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case PRICE_LOW:
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ArrayCopy(m_price, ha_low, 0, 0, rates_total);
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break;
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case PRICE_MEDIAN:
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for(int i=0; i<rates_total; i++)
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m_price[i] = (ha_high[i]+ha_low[i])/2.0;
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break;
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case PRICE_TYPICAL:
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for(int i=0; i<rates_total; i++)
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m_price[i] = (ha_high[i]+ha_low[i]+ha_close[i])/3.0;
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break;
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case PRICE_WEIGHTED:
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for(int i=0; i<rates_total; i++)
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m_price[i] = (ha_high[i]+ha_low[i]+2*ha_close[i])/4.0;
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break;
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default:
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ArrayCopy(m_price, ha_close, 0, 0, rates_total);
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break;
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}
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return true;
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}
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//+------------------------------------------------------------------+
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//+------------------------------------------------------------------+
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