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