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Toh4iem9
228 lines
8.4 KiB
Plaintext
228 lines
8.4 KiB
Plaintext
//+------------------------------------------------------------------+
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//| Butterworth_Calculator.mqh |
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//| Calculation engine for the John Ehlers' Butterworth Filter. |
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//| VERSION 2.00: Optimized for incremental calculation. |
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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_BUTTERWORTH_POLES { POLES_TWO = 2, POLES_THREE = 3 };
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enum ENUM_INPUT_SOURCE { SOURCE_PRICE, SOURCE_MOMENTUM };
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//+==================================================================+
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//| CLASS 1: CButterworthCalculator |
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//+==================================================================+
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class CButterworthCalculator
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{
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protected:
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int m_period;
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ENUM_BUTTERWORTH_POLES m_poles;
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ENUM_INPUT_SOURCE m_source_type;
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//--- Persistent Buffer for Price
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double m_price[];
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//--- Updated: Accepts start_index
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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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CButterworthCalculator(void) {};
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virtual ~CButterworthCalculator(void) {};
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bool Init(int period, ENUM_BUTTERWORTH_POLES poles, ENUM_INPUT_SOURCE source_type);
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//--- Updated: Accepts prev_calculated
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void Calculate(int rates_total, int prev_calculated, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[], double &filter_buffer[]);
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};
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//+------------------------------------------------------------------+
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//| Init |
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//+------------------------------------------------------------------+
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bool CButterworthCalculator::Init(int period, ENUM_BUTTERWORTH_POLES poles, ENUM_INPUT_SOURCE source_type)
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{
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m_period = (period < 2) ? 2 : period;
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m_poles = poles;
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m_source_type = source_type;
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return true;
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}
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//+------------------------------------------------------------------+
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//| Main Calculation (Optimized) |
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//+------------------------------------------------------------------+
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void CButterworthCalculator::Calculate(int rates_total, int prev_calculated, ENUM_APPLIED_PRICE price_type, const double &open[], const double &high[], const double &low[], const double &close[], double &filter_buffer[])
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{
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if(rates_total < 4)
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return;
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int start_index;
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if(prev_calculated == 0)
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start_index = 0;
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else
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start_index = prev_calculated - 1;
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// Resize internal buffer
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if(ArraySize(m_price) != rates_total)
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ArrayResize(m_price, rates_total);
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if(!PreparePriceSeries(rates_total, start_index, price_type, open, high, low, close))
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return;
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//--- Incremental Loop
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int loop_start = MathMax(3, start_index);
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// Initialization
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if(loop_start == 3)
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{
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filter_buffer[0] = m_price[0];
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filter_buffer[1] = m_price[1];
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filter_buffer[2] = m_price[2];
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}
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if(m_poles == POLES_TWO)
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{
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double a = exp(-M_SQRT2 * M_PI / m_period);
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double b = 2.0 * a * cos(M_SQRT2 * M_PI / m_period);
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double c1 = (1.0 - b + a*a) / 4.0;
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for(int i = loop_start; i < rates_total; i++)
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{
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// Recursive calculation using persistent buffer [i-1], [i-2]
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double f1 = filter_buffer[i-1];
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double f2 = filter_buffer[i-2];
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filter_buffer[i] = b * f1 - a * a * f2 + c1 * (m_price[i] + 2.0 * m_price[i-1] + m_price[i-2]);
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}
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}
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else // POLES_THREE
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{
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double a = exp(-M_PI / m_period);
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double b = 2.0 * a * cos(1.738 * M_PI / m_period); // 1.738 is approx sqrt(3) * pi / 3? No, it's specific to 3-pole.
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double c = a * a;
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double c1 = (1.0 - b + c) * (1.0 - c) / 8.0;
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for(int i = loop_start; i < rates_total; i++)
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{
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// Recursive calculation using persistent buffer [i-1], [i-2], [i-3]
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double f1 = filter_buffer[i-1];
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double f2 = filter_buffer[i-2];
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double f3 = filter_buffer[i-3];
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filter_buffer[i] = (b + c) * f1 - (c + b*c) * f2 + c*c * f3 + c1 * (m_price[i] + 3.0 * m_price[i-1] + 3.0 * m_price[i-2] + m_price[i-3]);
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}
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}
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}
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//+------------------------------------------------------------------+
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//| Prepare Price (Standard - Optimized) |
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//+------------------------------------------------------------------+
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bool CButterworthCalculator::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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for(int i = start_index; i < rates_total; i++)
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{
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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_CLOSE:
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m_price[i] = close[i];
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break;
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case PRICE_OPEN:
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m_price[i] = open[i];
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break;
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case PRICE_HIGH:
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m_price[i] = high[i];
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break;
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case PRICE_LOW:
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m_price[i] = low[i];
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break;
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case PRICE_MEDIAN:
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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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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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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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m_price[i] = close[i];
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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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m_price[i] = close[i] - open[i];
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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: CButterworthCalculator_HA |
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//+==================================================================+
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class CButterworthCalculator_HA : public CButterworthCalculator
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{
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private:
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CHeikinAshi_Calculator m_ha_calculator;
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double m_ha_open[], m_ha_high[], m_ha_low[], m_ha_close[];
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protected:
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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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//| |
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//+------------------------------------------------------------------+
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bool CButterworthCalculator_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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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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}
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m_ha_calculator.Calculate(rates_total, start_index, open, high, low, close, m_ha_open, m_ha_high, m_ha_low, m_ha_close);
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for(int i = start_index; i < rates_total; i++)
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{
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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_CLOSE:
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m_price[i] = m_ha_close[i];
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break;
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case PRICE_OPEN:
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m_price[i] = m_ha_open[i];
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break;
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case PRICE_HIGH:
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m_price[i] = m_ha_high[i];
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break;
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case PRICE_LOW:
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m_price[i] = m_ha_low[i];
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break;
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case PRICE_MEDIAN:
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m_price[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[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[i] = (m_ha_high[i]+m_ha_low[i]+2*m_ha_close[i])/4.0;
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break;
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default:
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m_price[i] = m_ha_close[i];
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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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m_price[i] = m_ha_close[i] - m_ha_open[i];
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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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