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328 lines
12 KiB
Plaintext
328 lines
12 KiB
Plaintext
//+------------------------------------------------------------------+
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//| VHF_Calculator.mqh |
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//| Engine for Vertical Horizontal Filter (Adam White, 1991). |
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//| Algorithm: Selectable (Standard Close vs High-Low Range). |
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//| VERSION 1.20: Chronological Safety & 100% Backward Compat. |
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//| Copyright 2026, xxxxxxxx |
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//+------------------------------------------------------------------+
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#property copyright "Copyright 2026, xxxxxxxx"
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#property version "1.20" // Enterprise: Enforced Chronological Alignment & Zero-Heap Execution
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#property description "High-performance calculation engine for Vertical Horizontal Filter (VHF)."
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#ifndef VHF_CALCULATOR_MQH
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#define VHF_CALCULATOR_MQH
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#include <MyIncludes\HeikinAshi_Tools.mqh>
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#ifndef ENUM_VHF_MODE_DEFINED
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#define ENUM_VHF_MODE_DEFINED
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enum ENUM_VHF_MODE
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{
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VHF_MODE_CLOSE_ONLY, // Adam White Classic (Highest Close - Lowest Close)
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VHF_MODE_HIGH_LOW // Professional Range (Highest High - Lowest Low)
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};
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#endif
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//+==================================================================+
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//| CLASS 1: CVHFCalculator (Base Class) |
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//+==================================================================+
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class CVHFCalculator
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{
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protected:
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int m_period;
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ENUM_VHF_MODE m_mode;
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// Data Buffers
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double m_price[]; // Close/Source Price (Denominator & Classic Numerator)
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double m_high[]; // High Prices (Numerator High-Low Mode)
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double m_low[]; // Low Prices (Numerator High-Low Mode)
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virtual bool PrepareData(const int rates_total, const int start_index, const ENUM_APPLIED_PRICE price_type,
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const double &open[], const double &high[], const double &low[], const double &close[]);
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public:
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CVHFCalculator(void);
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virtual ~CVHFCalculator(void) {};
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bool Init(const int period, const ENUM_VHF_MODE mode);
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int GetPeriod(void) const { return m_period; }
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ENUM_VHF_MODE GetMode(void) const { return m_mode; }
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//--- STRICT INTERFACE: Preserved 8-parameter signature (100% backward compatible with existing scripts)
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void Calculate(const int rates_total, const int prev_calculated, const ENUM_APPLIED_PRICE price_type,
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const double &open[], const double &high[], const double &low[], const double &close[],
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double &out_vhf[]);
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//--- EXTENDED INTERFACE: With history limit support for massive workspaces
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void Calculate(const int rates_total, const int prev_calculated, const ENUM_APPLIED_PRICE price_type,
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const double &open[], const double &high[], const double &low[], const double &close[],
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double &out_vhf[], const int history_limit);
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};
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//+------------------------------------------------------------------+
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//| Constructor |
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//+------------------------------------------------------------------+
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CVHFCalculator::CVHFCalculator(void) :
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m_period(28),
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m_mode(VHF_MODE_CLOSE_ONLY)
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{
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ArraySetAsSeries(m_price, false);
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ArraySetAsSeries(m_high, false);
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ArraySetAsSeries(m_low, false);
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}
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//+------------------------------------------------------------------+
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//| Init |
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//+------------------------------------------------------------------+
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bool CVHFCalculator::Init(const int period, const ENUM_VHF_MODE mode)
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{
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m_period = (period < 2) ? 2 : period;
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m_mode = mode;
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return true;
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}
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//+------------------------------------------------------------------+
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//| Prepare Data (Standard Chronological Alignment) |
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//+------------------------------------------------------------------+
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bool CVHFCalculator::PrepareData(const int rates_total, const int start_index, const ENUM_APPLIED_PRICE price_type,
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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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switch(price_type)
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{
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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]) * 0.5;
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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]) * 0.333333333333;
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break;
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case PRICE_WEIGHTED:
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m_price[i] = (high[i] + low[i] + 2.0 * close[i]) * 0.25;
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break;
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case PRICE_CLOSE:
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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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if(m_mode == VHF_MODE_HIGH_LOW)
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{
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m_high[i] = high[i];
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m_low[i] = low[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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//| Legacy Signature: 8-Parameters (100% Backward Compatible) |
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//+------------------------------------------------------------------+
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void CVHFCalculator::Calculate(const int rates_total, const int prev_calculated, const ENUM_APPLIED_PRICE price_type,
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const double &open[], const double &high[], const double &low[], const double &close[],
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double &out_vhf[])
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{
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Calculate(rates_total, prev_calculated, price_type, open, high, low, close, out_vhf, 0);
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}
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//+------------------------------------------------------------------+
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//| Extended Signature: With History Limit & Pipelined Execution |
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//+------------------------------------------------------------------+
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void CVHFCalculator::Calculate(const int rates_total, const int prev_calculated, const ENUM_APPLIED_PRICE price_type,
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const double &open[], const double &high[], const double &low[], const double &close[],
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double &out_vhf[], const int history_limit)
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{
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if(rates_total <= m_period)
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return;
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if(ArraySize(out_vhf) != rates_total)
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{
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ArrayResize(out_vhf, rates_total);
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ArraySetAsSeries(out_vhf, false);
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}
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// Safe allocation and chronological indexing of internal buffers
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if(ArraySize(m_price) != rates_total)
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{
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ArrayResize(m_price, rates_total);
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ArraySetAsSeries(m_price, false);
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if(m_mode == VHF_MODE_HIGH_LOW)
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{
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ArrayResize(m_high, rates_total);
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ArrayResize(m_low, rates_total);
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ArraySetAsSeries(m_high, false);
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ArraySetAsSeries(m_low, false);
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}
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}
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int start_prep = (prev_calculated > 0) ? (prev_calculated - 1) : 0;
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if(!PrepareData(rates_total, start_prep, price_type, open, high, low, close))
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return;
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int start_index = (prev_calculated > m_period) ? (prev_calculated - 1) : m_period;
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if(history_limit > 0 && prev_calculated == 0)
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{
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int limit_start = rates_total - history_limit;
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if(limit_start > start_index)
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start_index = limit_start;
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}
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if(prev_calculated == 0)
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{
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for(int i = 0; i < start_index; i++)
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out_vhf[i] = EMPTY_VALUE;
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}
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// Main Pipelined Calculation Loop
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for(int i = start_index; i < rates_total; i++)
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{
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double max_p = -DBL_MAX;
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double min_p = DBL_MAX;
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double sum_change = 0.0;
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int win_start = i - m_period + 1;
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// 1. Numerator: Vertical Extremes
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if(m_mode == VHF_MODE_CLOSE_ONLY)
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{
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for(int k = 0; k < m_period; k++)
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{
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double p = m_price[win_start + k];
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if(p > max_p)
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max_p = p;
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if(p < min_p)
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min_p = p;
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}
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}
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else // VHF_MODE_HIGH_LOW
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{
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for(int k = 0; k < m_period; k++)
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{
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int idx = win_start + k;
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if(m_high[idx] > max_p)
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max_p = m_high[idx];
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if(m_low[idx] < min_p)
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min_p = m_low[idx];
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}
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}
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// 2. Denominator: Cumulative Path Length (Sum of 1-bar price increments)
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for(int k = 0; k < m_period; k++)
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{
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int idx = win_start + k;
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sum_change += MathAbs(m_price[idx] - m_price[idx - 1]);
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}
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// 3. Compute Final Ratio
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if(sum_change > 1.0e-9)
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{
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double vhf = (max_p - min_p) / sum_change;
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out_vhf[i] = (vhf > 1.0) ? 1.0 : vhf; // Bounded to theoretical 1.0 limit
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}
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else
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{
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out_vhf[i] = 0.0;
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}
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}
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}
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//+==================================================================+
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//| CLASS 2: CVHFCalculator_HA (Heikin Ashi) |
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//+==================================================================+
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class CVHFCalculator_HA : public CVHFCalculator
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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 PrepareData(const int rates_total, const int start_index, const ENUM_APPLIED_PRICE price_type,
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const double &open[], const double &high[], const double &low[], const double &close[]) override;
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public:
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CVHFCalculator_HA(void);
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virtual ~CVHFCalculator_HA(void) {};
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};
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//+------------------------------------------------------------------+
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//| Constructor (Heikin Ashi) |
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//+------------------------------------------------------------------+
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CVHFCalculator_HA::CVHFCalculator_HA(void)
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{
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ArraySetAsSeries(m_ha_open, false);
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ArraySetAsSeries(m_ha_high, false);
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ArraySetAsSeries(m_ha_low, false);
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ArraySetAsSeries(m_ha_close, false);
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}
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//+------------------------------------------------------------------+
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//| Prepare Data (Heikin Ashi Chronological Pipeline) |
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//+------------------------------------------------------------------+
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bool CVHFCalculator_HA::PrepareData(const int rates_total, const int start_index, const ENUM_APPLIED_PRICE price_type,
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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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ArraySetAsSeries(m_ha_open, false);
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ArraySetAsSeries(m_ha_high, false);
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ArraySetAsSeries(m_ha_low, false);
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ArraySetAsSeries(m_ha_close, false);
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}
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m_ha_calculator.Calculate(rates_total, start_index, open, high, low, close,
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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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switch(price_type)
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{
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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]) * 0.5;
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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]) * 0.333333333333;
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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] + 2.0 * m_ha_close[i]) * 0.25;
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break;
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case PRICE_CLOSE:
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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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if(m_mode == VHF_MODE_HIGH_LOW)
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{
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m_high[i] = m_ha_high[i];
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m_low[i] = m_ha_low[i];
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}
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}
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return true;
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}
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#endif // VHF_CALCULATOR_MQH
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//+------------------------------------------------------------------+
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