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Toh4iem9
224 lines
8.2 KiB
Plaintext
224 lines
8.2 KiB
Plaintext
//+------------------------------------------------------------------+
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//| Laguerre_Engine.mqh |
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//| VERSION 1.10: Corrected state management for stability. |
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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 };
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//+==================================================================+
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class CLaguerreEngine
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{
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protected:
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double m_gamma;
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ENUM_INPUT_SOURCE m_source_type;
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double m_price[];
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//--- State variables for the recursive filter (CRITICAL FIX) ---
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double m_L0_prev, m_L1_prev, m_L2_prev, m_L3_prev;
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virtual bool PreparePriceSeries(int rates_total, 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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CLaguerreEngine(void) {};
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virtual ~CLaguerreEngine(void) {};
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bool Init(double gamma, ENUM_INPUT_SOURCE source_type);
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void CalculateFilter(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[],
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double &L0_buffer[], double &L1_buffer[], double &L2_buffer[], double &L3_buffer[], double &filt_buffer[]);
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void GetPriceBuffer(double &dest_array[]);
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};
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//+==================================================================+
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//| METHOD IMPLEMENTATIONS |
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//+==================================================================+
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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bool CLaguerreEngine::Init(double gamma, ENUM_INPUT_SOURCE source_type)
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{
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m_gamma = fmax(0.0, fmin(1.0, gamma));
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m_source_type = source_type;
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//--- Reset state variables on initialization ---
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m_L0_prev = 0;
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m_L1_prev = 0;
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m_L2_prev = 0;
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m_L3_prev = 0;
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return true;
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}
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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void CLaguerreEngine::GetPriceBuffer(double &dest_array[])
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{
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int size = ArraySize(m_price);
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if(size > 0)
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{
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ArrayResize(dest_array, size);
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ArrayCopy(dest_array, m_price, 0, 0, size);
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}
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}
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//+------------------------------------------------------------------+
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//| |
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//+------------------------------------------------------------------+
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void CLaguerreEngine::CalculateFilter(int rates_total, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[],
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double &L0_buffer[], double &L1_buffer[], double &L2_buffer[], double &L3_buffer[], double &filt_buffer[])
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{
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if(rates_total < 2)
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return;
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if(!PreparePriceSeries(rates_total, price_type, open, high, low, close))
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return;
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ArrayResize(L0_buffer, rates_total);
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ArrayResize(L1_buffer, rates_total);
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ArrayResize(L2_buffer, rates_total);
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ArrayResize(L3_buffer, rates_total);
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ArrayResize(filt_buffer, rates_total);
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//--- Robust initialization on first run ---
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if(m_L0_prev == 0 && m_L1_prev == 0) // A simple check for first run
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{
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m_L0_prev = m_price[0];
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m_L1_prev = m_price[0];
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m_L2_prev = m_price[0];
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m_L3_prev = m_price[0];
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}
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for(int i = 0; i < rates_total; i++)
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{
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// For the very first bar, output is just the price
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if(i == 0)
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{
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L0_buffer[i] = m_price[i];
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L1_buffer[i] = m_price[i];
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L2_buffer[i] = m_price[i];
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L3_buffer[i] = m_price[i];
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}
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else
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{
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L0_buffer[i] = (1.0 - m_gamma) * m_price[i] + m_gamma * m_L0_prev;
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L1_buffer[i] = -m_gamma * L0_buffer[i] + m_L0_prev + m_gamma * m_L1_prev;
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L2_buffer[i] = -m_gamma * L1_buffer[i] + m_L1_prev + m_gamma * m_L2_prev;
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L3_buffer[i] = -m_gamma * L2_buffer[i] + m_L2_prev + m_gamma * m_L3_prev;
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}
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filt_buffer[i] = (L0_buffer[i] + 2.0 * L1_buffer[i] + 2.0 * L2_buffer[i] + L3_buffer[i]) / 6.0;
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//--- Update state variables for the next iteration ---
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m_L0_prev = L0_buffer[i];
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m_L1_prev = L1_buffer[i];
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m_L2_prev = L2_buffer[i];
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m_L3_prev = L3_buffer[i];
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}
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}
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//+------------------------------------------------------------------+
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bool CLaguerreEngine::PreparePriceSeries(int rates_total, 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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ArrayResize(m_price, rates_total);
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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_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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}
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else // SOURCE_MOMENTUM
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{
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for(int i=0; i<rates_total; i++)
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m_price[i] = close[i] - open[i];
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}
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return true;
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}
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//+==================================================================+
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class CLaguerreEngine_HA : public CLaguerreEngine
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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, 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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bool CLaguerreEngine_HA::PreparePriceSeries(int rates_total, 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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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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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_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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}
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else // SOURCE_MOMENTUM
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{
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for(int i=0; i<rates_total; i++)
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m_price[i] = ha_close[i] - ha_open[i];
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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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