233 lines
11 KiB
MQL5
233 lines
11 KiB
MQL5
 | //+------------------------------------------------------------------+
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//| OscillatorDivergence.mqh |
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//| Shared extremum/divergence bit-map detector used by CSignalRSI |
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//| and CSignalMACD (formerly StateRSI/StateMain, ExtStateRSI/ |
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//| ExtState, CompareMaps - duplicated verbatim between the two |
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//| files except for the oscillator value source). |
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//| |
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//| MQL5 gives a class exactly one base and both signals already |
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//| extend CWarriorSignal, so this cannot be a common base |
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//| class - CDivergenceDetector is a composed collaborator, fed the |
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//| oscillator value and the price-extremum series through the |
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//| IOscillatorDivergenceSource view each owner implements via a |
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//| thin adapter (same view+adapter shape as Expert/*, see |
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//| project_oop_module_pattern.md). |
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//+------------------------------------------------------------------+
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#ifndef __OSCILLATOR_DIVERGENCE_MQH__
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#define __OSCILLATOR_DIVERGENCE_MQH__
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//+------------------------------------------------------------------+
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//| What CDivergenceDetector needs from its owning signal: the |
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//| oscillator's own value series, and the price series' extremum |
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//| lookup (CiLow::MinValue / CiHigh::MaxValue) - both protected on |
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//| CExpertSignal, reached here only through the owner's public API. |
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//+------------------------------------------------------------------+
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class IOscillatorDivergenceSource
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{
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public:
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virtual double DivergenceOscillatorValue(int ind) = 0;
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virtual double DivergencePriceLow(int start, int count, int &index) = 0;
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virtual double DivergencePriceHigh(int start, int count, int &index) = 0;
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};
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//+------------------------------------------------------------------+
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//| Class CDivergenceDetector. |
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//| Walks the bound oscillator counting consecutive up/down runs to |
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//| find local extrema, builds a 4-bit-per-extremum bit-map |
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//| comparing each new extreme against the one two positions back |
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//| for both the oscillator and price, then tests that bit-map |
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//| against a caller-supplied pattern. |
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//+------------------------------------------------------------------+
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class CDivergenceDetector
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{
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private:
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IOscillatorDivergenceSource *m_source;
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//--- variables
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double m_extr_osc[10]; // array of values of extremums of the oscillator
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double m_extr_pr[10]; // array of values of the corresponding extremums of price
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int m_extr_pos[10]; // array of shifts of extremums (in bars)
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uint m_extr_map; // resulting bit-map of ratio of extremums of the oscillator and the price
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double Value(int ind) { return(m_source.DivergenceOscillatorValue(ind)); }
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double Diff(int ind) { return(Value(ind) - Value(ind + 1)); }
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int State(int ind);
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public:
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CDivergenceDetector(void) : m_source(NULL), m_extr_map(0) {}
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void Bind(IOscillatorDivergenceSource *source) { m_source = source; }
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bool ExtState(int ind);
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bool CompareMaps(int map, int count, bool minimax = false, int start = 0);
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};
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//+------------------------------------------------------------------+
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//| Check of the oscillator state. |
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//+------------------------------------------------------------------+
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int CDivergenceDetector::State(int ind)
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{
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int res = 0;
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double var;
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//---
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for(int i = ind;; i++)
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{
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if(Value(i + 1) == EMPTY_VALUE)
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break;
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var = Diff(i);
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if(res > 0)
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{
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if(var < 0)
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break;
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res++;
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continue;
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}
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if(res < 0)
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{
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if(var > 0)
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break;
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res--;
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continue;
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}
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if(var > 0)
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res++;
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if(var < 0)
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res--;
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}
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//---
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return(res);
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}
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//+------------------------------------------------------------------+
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//| Extended check of the oscillator state consists |
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//| in forming a bit-map according to certain rules, |
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//| which shows ratios of extremums of the oscillator and price. |
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//+------------------------------------------------------------------+
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bool CDivergenceDetector::ExtState(int ind)
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{
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//--- operation of this method results in a bit-map of extremums
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//--- practically, the bit-map of extremums is an "array" of 4-bit fields
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//--- each "element of the array" definitely describes the ratio
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//--- of current extremums of the oscillator and the price with previous ones
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//--- purpose of bits of an element of the analyzed bit-map
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//--- bit 3 - not used (always 0)
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//--- bit 2 - is equal to 1 if the current extremum of the oscillator is "more extreme" than the previous one
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//--- (a higher peak or a deeper valley), otherwise - 0
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//--- bit 1 - not used (always 0)
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//--- bit 0 - is equal to 1 if the current extremum of price is "more extreme" than the previous one
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//--- (a higher peak or a deeper valley), otherwise - 0
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//--- in addition to them, the following is formed:
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//--- array of values of extremums of the oscillator,
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//--- array of values of price extremums and
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//--- array of "distances" between extremums of the oscillator (in bars)
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//--- it should be noted that when using the results of the extended check of state,
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//--- you should consider, which extremum of the oscillator (peak or valley)
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//--- is the "reference point" (i.e. was detected first during the analysis)
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//--- if a peak is detected first then even elements of all arrays
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//--- will contain information about peaks, and odd elements will contain information about valleys
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//--- if a valley is detected first, then respectively in reverse
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int pos = ind, off, index;
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uint map; // intermediate bit-map for one extremum
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//---
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m_extr_map = 0;
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for(int i = 0; i < 10; i++)
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{
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off = State(pos);
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if(off > 0)
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{
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//--- minimum of the oscillator is detected
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pos += off;
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m_extr_pos[i] = pos;
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m_extr_osc[i] = Value(pos);
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if(i > 1)
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{
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m_extr_pr[i] = m_source.DivergencePriceLow(pos - 2, 5, index);
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//--- form the intermediate bit-map
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map = 0;
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if(m_extr_pr[i - 2] < m_extr_pr[i])
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map += 1; // set bit 0
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if(m_extr_osc[i - 2] < m_extr_osc[i])
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map += 4; // set bit 2
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//--- add the result
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m_extr_map += map << (4 * (i - 2));
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}
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else
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m_extr_pr[i] = m_source.DivergencePriceLow(pos - 1, 4, index);
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}
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else
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{
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//--- maximum of the oscillator is detected
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pos -= off;
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m_extr_pos[i] = pos;
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m_extr_osc[i] = Value(pos);
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if(i > 1)
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{
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m_extr_pr[i] = m_source.DivergencePriceHigh(pos - 2, 5, index);
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//--- form the intermediate bit-map
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map = 0;
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if(m_extr_pr[i - 2] > m_extr_pr[i])
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map += 1; // set bit 0
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if(m_extr_osc[i - 2] > m_extr_osc[i])
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map += 4; // set bit 2
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//--- add the result
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m_extr_map += map << (4 * (i - 2));
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}
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else
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m_extr_pr[i] = m_source.DivergencePriceHigh(pos - 1, 4, index);
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}
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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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//| Comparing the bit-map of extremums with pattern. |
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//+------------------------------------------------------------------+
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bool CDivergenceDetector::CompareMaps(int map, int count, bool minimax, int start)
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{
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int step = (minimax) ? 4 : 8;
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int total = step * (start + count);
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//--- check input parameters for a possible going out of range of the bit-map
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if(total > 32)
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return(false);
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//--- bit-map of the patter is an "array" of 4-bit fields
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//--- each "element of the array" definitely describes the desired ratio
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//--- of current extremums of the oscillator and the price with previous ones
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//--- purpose of bits of an elements of the pattern of the bit-map pattern
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//--- bit 3 - is equal to if the ratio of extremums of the oscillator is insignificant for us
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//--- is equal to 0 if we want to "find" the ratio of extremums of the oscillator determined by the value of bit 2
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//--- bit 2 - is equal to 1 if we want to "discover" the situation when the current extremum of the "oscillator" is "more extreme" than the previous one
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//--- (current peak is higher or current valley is deeper)
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//--- is equal to 0 if we want to "discover" the situation when the current extremum of the oscillator is "less extreme" than the previous one
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//--- (current peak is lower or current valley is less deep)
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//--- bit 1 - is equal to 1 if the ratio of extremums is insignificant for us
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//--- it is equal to 0 if we want to "find" the ratio of price extremums determined by the value of bit 0
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//--- bit 0 - is equal to 1 if we want to "discover" the situation when the current price extremum is "more extreme" than the previous one
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//--- (current peak is higher or current valley is deeper)
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//--- it is equal to 0 if we want to "discover" the situation when the current price extremum is "less extreme" than the previous one
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//--- (current peak is lower or current valley is less deep)
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uint inp_map, check_map;
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int i, j;
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//--- loop by extremums (4 minimums and 4 maximums)
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//--- price and the oscillator are checked separately (thus, there are 16 checks)
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for(i = step * start, j = 0; i < total; i += step, j += 4)
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{
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//--- "take" two bits - patter of the corresponding extremum of the price
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inp_map = (map >> j) & 3;
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//--- if the higher-order bit=1, then any ratio is suitable for us
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if(inp_map < 2)
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{
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//--- "take" two bits of the corresponding extremum of the price (higher-order bit is always 0)
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check_map = (m_extr_map >> i) & 3;
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if(inp_map != check_map)
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return(false);
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}
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//--- "take" two bits - pattern of the corresponding oscillator extremum
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inp_map = (map >> (j + 2)) & 3;
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//--- if the higher-order bit=1, then any ratio is suitable for us
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if(inp_map >= 2)
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continue;
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//--- "take" two bits of the corresponding oscillator extremum (higher-order bit is always 0)
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check_map = (m_extr_map >> (i + 2)) & 3;
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if(inp_map != check_map)
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return(false);
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}
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//--- ok
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return(true);
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}
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#endif // __OSCILLATOR_DIVERGENCE_MQH__
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//+------------------------------------------------------------------+
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