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mql5/Include/MyIncludes/MESA_Calculator.mqh
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Toh4iem9 c3940801cc refactor:
2025-09-21 23:45:31 +02:00

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//+------------------------------------------------------------------+
//| MESA_Calculator.mqh |
//| Calculation engines for Standard and Heikin Ashi MAMA/FAMA. |
//| (Based on the official MotiveWave pseudo-code) |
//| Copyright 2025, xxxxxxxx |
//+------------------------------------------------------------------+
#property copyright "Copyright 2025, xxxxxxxx"
#include <MyIncludes\HeikinAshi_Tools.mqh>
//+==================================================================+
//| |
//| CLASS 1: CMESACalculator (Standard) |
//| |
//+==================================================================+
class CMESACalculator
{
protected:
double m_fast_limit;
double m_slow_limit;
#define DECLARE_BUFFER(name) double m_##name[]
DECLARE_BUFFER(price);
DECLARE_BUFFER(smooth);
DECLARE_BUFFER(detrender);
DECLARE_BUFFER(i1);
DECLARE_BUFFER(q1);
DECLARE_BUFFER(jI);
DECLARE_BUFFER(jQ);
DECLARE_BUFFER(i2);
DECLARE_BUFFER(q2);
DECLARE_BUFFER(re);
DECLARE_BUFFER(im);
DECLARE_BUFFER(period);
DECLARE_BUFFER(smooth_period);
DECLARE_BUFFER(phase);
DECLARE_BUFFER(alpha);
DECLARE_BUFFER(mama);
DECLARE_BUFFER(fama);
#undef DECLARE_BUFFER
virtual bool PreparePriceSeries(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[]);
public:
CMESACalculator(void);
virtual ~CMESACalculator(void) {};
bool Init(double fast_limit, double slow_limit);
void Calculate(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[], double &mama_out[], double &fama_out[]);
};
//+------------------------------------------------------------------+
//| CMESACalculator: Constructor |
//+------------------------------------------------------------------+
CMESACalculator::CMESACalculator(void) : m_fast_limit(0.5), m_slow_limit(0.05)
{
}
//+------------------------------------------------------------------+
//| CMESACalculator: Initialization |
//+------------------------------------------------------------------+
bool CMESACalculator::Init(double fast_limit, double slow_limit)
{
m_fast_limit = fast_limit;
m_slow_limit = slow_limit;
return true;
}
//+------------------------------------------------------------------+
//| CMESACalculator: Main Calculation Method |
//+------------------------------------------------------------------+
void CMESACalculator::Calculate(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[], double &mama_out[], double &fama_out[])
{
int warmup_period = 10;
if(rates_total < warmup_period)
return;
#define RESIZE_BUFFER(name) ArrayResize(m_##name, rates_total, 0)
RESIZE_BUFFER(price);
RESIZE_BUFFER(smooth);
RESIZE_BUFFER(detrender);
RESIZE_BUFFER(i1);
RESIZE_BUFFER(q1);
RESIZE_BUFFER(jI);
RESIZE_BUFFER(jQ);
RESIZE_BUFFER(i2);
RESIZE_BUFFER(q2);
RESIZE_BUFFER(re);
RESIZE_BUFFER(im);
RESIZE_BUFFER(period);
RESIZE_BUFFER(smooth_period);
RESIZE_BUFFER(phase);
RESIZE_BUFFER(alpha);
RESIZE_BUFFER(mama);
RESIZE_BUFFER(fama);
#undef RESIZE_BUFFER
if(!PreparePriceSeries(rates_total, price_type, open, high, low, close))
return;
#define nz(arr, idx) ( (i >= idx) ? arr[i-idx] : 0 )
for(int i = 0; i < rates_total; i++)
{
if(i < warmup_period)
{
m_mama[i] = m_price[i];
m_fama[i] = m_price[i];
m_period[i] = 20;
m_smooth_period[i] = 20;
continue;
}
m_smooth[i] = (4 * m_price[i] + 3 * nz(m_price,1) + 2 * nz(m_price,2) + nz(m_price,3)) / 10.0;
m_detrender[i] = (0.0962 * m_smooth[i] + 0.5769 * nz(m_smooth,2) - 0.5769 * nz(m_smooth,4) - 0.0962 * nz(m_smooth,6)) * (0.075 * nz(m_period,1) + 0.54);
m_q1[i] = (0.0962 * m_detrender[i] + 0.5769 * nz(m_detrender,2) - 0.5769 * nz(m_detrender,4) - 0.0962 * nz(m_detrender,6)) * (0.075 * nz(m_period,1) + 0.54);
m_i1[i] = nz(m_detrender,3);
m_jI[i] = (0.0962 * m_i1[i] + 0.5769 * nz(m_i1,2) - 0.5769 * nz(m_i1,4) - 0.0962 * nz(m_i1,6)) * (0.075 * nz(m_period,1) + 0.54);
m_jQ[i] = (0.0962 * m_q1[i] + 0.5769 * nz(m_q1,2) - 0.5769 * nz(m_q1,4) - 0.0962 * nz(m_q1,6)) * (0.075 * nz(m_period,1) + 0.54);
m_i2[i] = m_i1[i] - m_jQ[i];
m_q2[i] = m_q1[i] + m_jI[i];
m_i2[i] = 0.2 * m_i2[i] + 0.8 * nz(m_i2,1);
m_q2[i] = 0.2 * m_q2[i] + 0.8 * nz(m_q2,1);
m_re[i] = m_i2[i] * nz(m_i2,1) + m_q2[i] * nz(m_q2,1);
m_im[i] = m_i2[i] * nz(m_q2,1) - m_q2[i] * nz(m_i2,1);
m_re[i] = 0.2 * m_re[i] + 0.8 * nz(m_re,1);
m_im[i] = 0.2 * m_im[i] + 0.8 * nz(m_im,1);
if(m_im[i] != 0.0 && m_re[i] != 0.0)
m_period[i] = 360.0 / (MathArctan(m_im[i] / m_re[i]) * 180.0 / M_PI);
else
m_period[i] = nz(m_period,1);
if(m_period[i] > 1.5 * nz(m_period,1))
m_period[i] = 1.5 * nz(m_period,1);
if(m_period[i] < 0.67 * nz(m_period,1))
m_period[i] = 0.67 * nz(m_period,1);
if(m_period[i] < 6)
m_period[i] = 6;
if(m_period[i] > 50)
m_period[i] = 50;
m_period[i] = 0.2 * m_period[i] + 0.8 * nz(m_period,1);
m_smooth_period[i] = 0.33 * m_period[i] + 0.67 * nz(m_smooth_period,1);
if(m_i1[i] != 0.0)
m_phase[i] = (MathArctan(m_q1[i] / m_i1[i]) * 180.0 / M_PI);
else
m_phase[i] = nz(m_phase,1);
double delta_phase = nz(m_phase,1) - m_phase[i];
if(delta_phase < 1.0)
delta_phase = 1.0;
m_alpha[i] = m_fast_limit / delta_phase;
if(m_alpha[i] < m_slow_limit)
m_alpha[i] = m_slow_limit;
if(m_alpha[i] > m_fast_limit)
m_alpha[i] = m_fast_limit;
m_mama[i] = m_alpha[i] * m_price[i] + (1 - m_alpha[i]) * nz(m_mama,1);
m_fama[i] = 0.5 * m_alpha[i] * m_mama[i] + (1 - 0.5 * m_alpha[i]) * nz(m_fama,1);
}
#undef nz
ArrayCopy(mama_out, m_mama, 0, 0, rates_total);
ArrayCopy(fama_out, m_fama, 0, 0, rates_total);
}
//+------------------------------------------------------------------+
//| CMESACalculator: Prepares the source price series. |
//+------------------------------------------------------------------+
bool CMESACalculator::PreparePriceSeries(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[])
{
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]+close[i]+close[i])/4.0;
break;
default:
return false;
}
return true;
}
//+==================================================================+
//| |
//| CLASS 2: CMESACalculator_HA (Heikin Ashi) |
//| |
//+==================================================================+
class CMESACalculator_HA : public CMESACalculator
{
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[]);
};
//+------------------------------------------------------------------+
//| CMESACalculator_HA: Prepares the source price series. |
//+------------------------------------------------------------------+
bool CMESACalculator_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);
//--- The HA version ALWAYS uses the HA Close price, ignoring the price_type input
ArrayCopy(m_price, ha_close, 0, 0, rates_total);
return true;
}
//+------------------------------------------------------------------+
//+------------------------------------------------------------------+
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