96 lines
4.1 KiB
MQL5
96 lines
4.1 KiB
MQL5
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/**
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* @file LinearWeightedAverage - Stateful O(1) linear weighted average arithmetic accumulator.
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* @deps None
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* @state Stateful (Maintains current and committed weighted sums across bar and tick updates)
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* @io Current value + previous ordinary sum + weight -> Updates weighted sum | Request value -> Returns current weighted sum
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* @note AI-assisted code. Independently review and test in a demo environment before live production trading.
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*/
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#ifndef __LINEAR_WEIGHTED_AVERAGE_MQH__
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#define __LINEAR_WEIGHTED_AVERAGE_MQH__
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//+------------------------------------------------------------------+
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//| CLinearWeightedAverage |
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//| |
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//| PURPOSE |
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//| ------- |
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//| Maintains a linear weighted sum using O(1) scalar operations. |
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//| |
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//| RESPONSIBILITIES |
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//| ---------------- |
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//| • Maintain current weighted sum |
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//| • Maintain committed weighted sum |
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//| • Support rollback and rollover |
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//| • Update weighted sum in constant time |
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//| |
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//| NON-RESPONSIBILITIES |
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//| -------------------- |
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//| • Series storage |
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//| • Ordinary rolling sum calculation |
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//| • Period management |
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//| • Stream event handling |
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//+------------------------------------------------------------------+
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class CLinearWeightedAverage
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{
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private:
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double m_currentWeightedSum;
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double m_lastWeightedSum;
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public:
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//+------------------------------------------------------------------+
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//| Constructor |
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//+------------------------------------------------------------------+
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CLinearWeightedAverage()
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{
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m_currentWeightedSum = 0.0;
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m_lastWeightedSum = 0.0;
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}
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//+------------------------------------------------------------------+
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//| Reset |
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//+------------------------------------------------------------------+
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void Reset()
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{
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m_currentWeightedSum = 0.0;
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m_lastWeightedSum = 0.0;
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}
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//+------------------------------------------------------------------+
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//| Roll Back |
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//+------------------------------------------------------------------+
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void RollBack()
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{
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m_currentWeightedSum = m_lastWeightedSum;
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}
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//+------------------------------------------------------------------+
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//| Update |
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//+------------------------------------------------------------------+
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void Update(const double value,
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const double previousSum,
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const int weight)
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{
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m_currentWeightedSum += (weight * value) - previousSum;
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}
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//+------------------------------------------------------------------+
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//| Roll Over |
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//+------------------------------------------------------------------+
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void RollOver()
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{
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m_lastWeightedSum = m_currentWeightedSum;
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}
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//+------------------------------------------------------------------+
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//| Value |
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//+------------------------------------------------------------------+
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double Value() const
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{
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return(m_currentWeightedSum);
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}
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};
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#endif // __LINEAR_WEIGHTED_AVERAGE_MQH__
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//+------------------------------------------------------------------+
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