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mql5/Include/MyIncludes/Stochastic_Roofing_Calculator.mqh
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Toh4iem9 345aed0326 refactor: PreparePriceSeries
2025-10-29 23:55:35 +01:00

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//+------------------------------------------------------------------+
//| Stochastic_Roofing_Calculator.mqh |
//| Calculation engine for a Stochastic (Fast or Slow) on an |
//| Ehlers' Roofing Filter. |
//| Copyright 2025, xxxxxxxx |
//+------------------------------------------------------------------+
#property copyright "Copyright 2025, xxxxxxxx"
#include <MyIncludes\HeikinAshi_Tools.mqh>
enum ENUM_STOCH_TYPE { STOCH_FAST, STOCH_SLOW };
//+==================================================================+
//| |
//| CLASS 1: CStochasticRoofingCalculator (Base) |
//| |
//+==================================================================+
class CStochasticRoofingCalculator
{
protected:
int m_hp_period, m_ss_period; // Roofing
int m_k_period, m_d_period, m_slowing; // Stochastic
ENUM_STOCH_TYPE m_stoch_type;
double m_price[];
virtual bool PreparePriceSeries(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[]);
public:
CStochasticRoofingCalculator(void) {};
virtual ~CStochasticRoofingCalculator(void) {};
bool Init(int hp_p, int ss_p, int k_p, int d_p, int slowing, ENUM_STOCH_TYPE stoch_type);
void Calculate(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[],
double &k_buffer[], double &d_buffer[]);
};
//+------------------------------------------------------------------+
bool CStochasticRoofingCalculator::Init(int hp_p, int ss_p, int k_p, int d_p, int slowing, ENUM_STOCH_TYPE stoch_type)
{
m_hp_period = (hp_p < 10) ? 10 : hp_p;
m_ss_period = (ss_p < 2) ? 2 : ss_p;
m_k_period = (k_p < 1) ? 1 : k_p;
m_d_period = (d_p < 1) ? 1 : d_p;
m_slowing = (slowing < 1) ? 1 : slowing;
m_stoch_type = stoch_type;
return true;
}
//+------------------------------------------------------------------+
void CStochasticRoofingCalculator::Calculate(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[],
double &k_buffer[], double &d_buffer[])
{
int warmup = m_hp_period + m_k_period + m_slowing + m_d_period;
if(rates_total < warmup)
return;
if(!PreparePriceSeries(rates_total, price_type, open, high, low, close))
return;
// --- Step 1: Calculate Roofing Filter ---
double roofing_buffer[];
ArrayResize(roofing_buffer, rates_total);
double hp_buffer[];
ArrayResize(hp_buffer, rates_total);
double arg_hp = 0.707 * 2 * M_PI / m_hp_period;
double alpha1_hp = (cos(arg_hp) + sin(arg_hp) - 1.0) / cos(arg_hp);
double hp1=0, hp2=0;
for(int i=2; i<rates_total; i++)
{
hp_buffer[i] = pow(1.0 - alpha1_hp / 2.0, 2) * (m_price[i] - 2.0 * m_price[i-1] + m_price[i-2]) + 2.0 * (1.0 - alpha1_hp) * hp1 - pow(1.0 - alpha1_hp, 2) * hp2;
hp2 = hp1;
hp1 = hp_buffer[i];
}
double arg_ss = 1.414 * M_PI / m_ss_period;
double a1_ss = exp(-arg_ss), b1_ss = 2.0 * a1_ss * cos(arg_ss);
double c2_ss = b1_ss, c3_ss = -a1_ss*a1_ss, c1_ss = 1.0 - c2_ss - c3_ss;
double filt1=0, filt2=0;
for(int i=1; i<rates_total; i++)
{
roofing_buffer[i] = c1_ss * (hp_buffer[i] + hp_buffer[i-1]) / 2.0 + c2_ss * filt1 + c3_ss * filt2;
filt2 = filt1;
filt1 = roofing_buffer[i];
}
// --- Step 2: Calculate Raw %K on the Roofing Filter output ---
double raw_k_buffer[];
ArrayResize(raw_k_buffer, rates_total);
for(int i = m_k_period - 1; i < rates_total; i++)
{
int low_idx = ArrayMinimum(roofing_buffer, i - m_k_period + 1, m_k_period);
int high_idx = ArrayMaximum(roofing_buffer, i - m_k_period + 1, m_k_period);
double lowest_low = roofing_buffer[low_idx];
double highest_high = roofing_buffer[high_idx];
if(highest_high - lowest_low != 0)
raw_k_buffer[i] = 100.0 * (roofing_buffer[i] - lowest_low) / (highest_high - lowest_low);
}
// --- Step 3: Smooth Raw %K based on Stochastic Type ---
if(m_stoch_type == STOCH_FAST)
{
// For Fast Stoch, %K is the raw value, %D is the first smoothing
ArrayCopy(k_buffer, raw_k_buffer, 0, 0, rates_total);
for(int i = m_k_period - 1 + m_d_period - 1; i < rates_total; i++)
{
double sum = 0;
for(int j = 0; j < m_d_period; j++)
sum += k_buffer[i-j];
d_buffer[i] = sum / m_d_period;
}
}
else // STOCH_SLOW
{
// For Slow Stoch, %K is the first smoothing, %D is the second smoothing
for(int i = m_k_period - 1 + m_slowing - 1; i < rates_total; i++)
{
double sum = 0;
for(int j = 0; j < m_slowing; j++)
sum += raw_k_buffer[i-j];
k_buffer[i] = sum / m_slowing;
}
for(int i = m_k_period - 1 + m_slowing - 1 + m_d_period - 1; i < rates_total; i++)
{
double sum = 0;
for(int j = 0; j < m_d_period; j++)
sum += k_buffer[i-j];
d_buffer[i] = sum / m_d_period;
}
}
}
//+------------------------------------------------------------------+
bool CStochasticRoofingCalculator::PreparePriceSeries(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[])
{
ArrayResize(m_price, rates_total);
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 CStochasticRoofingCalculator_HA : public CStochasticRoofingCalculator
{
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[]) override;
};
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
bool CStochasticRoofingCalculator_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);
ArrayResize(m_price, rates_total);
switch(price_type)
{
case PRICE_CLOSE:
ArrayCopy(m_price, ha_close, 0, 0, rates_total);
break;
case PRICE_OPEN:
ArrayCopy(m_price, ha_open, 0, 0, rates_total);
break;
case PRICE_HIGH:
ArrayCopy(m_price, ha_high, 0, 0, rates_total);
break;
case PRICE_LOW:
ArrayCopy(m_price, ha_low, 0, 0, rates_total);
break;
case PRICE_MEDIAN:
for(int i=0; i<rates_total; i++)
m_price[i] = (ha_high[i]+ha_low[i])/2.0;
break;
case PRICE_TYPICAL:
for(int i=0; i<rates_total; i++)
m_price[i] = (ha_high[i]+ha_low[i]+ha_close[i])/3.0;
break;
case PRICE_WEIGHTED:
for(int i=0; i<rates_total; i++)
m_price[i] = (ha_high[i]+ha_low[i]+ha_close[i]+ha_close[i])/4.0;
break;
default:
return false;
}
return true;
}
//+------------------------------------------------------------------+
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