try to complete linear regression ...

2024-06-27 01:33:54 +03:30
parent ba6fd4f135
commit b827ff2a38
2 changed files with 579 additions and 0 deletions
@@ -3372,6 +3372,120 @@ struct XMarketCycle
    }
 };

+//
+// Linear Regression ...
+
+//
+struct XLinearRegressionWorkStruct
+{
+    //
+    struct sDataStruct
+    {
+        //
+        double value;
+        double sumY;
+        double sumXY;
+    };
+
+    //
+    sDataStruct data[];
+
+    //
+    int dataSize;
+    int period;
+    double sumX;
+    double sumXX;
+    double divisor;
+
+    //
+    // Constructor ...
+    XLinearRegressionWorkStruct() : dataSize(-1), period(-1) {}
+};
+
+//
+struct XLinearRegression
+{
+    //
+    XLinearRegressionWorkStruct m_work;
+
+    //
+    // Calculate Linear Regression ...
+    double Calculate(
+        double value,
+        int period,
+        double &_slope,
+        double &_intercept,
+        int r,
+        int bars //
+    )
+    {
+        //
+        if (m_work.dataSize <= bars)
+        {
+            m_work.dataSize = ArrayResize(m_work.data, bars + 500, 2000);
+        }
+
+        //
+        if (period < 1)
+        {
+            period = 1;
+        }
+
+        //
+        if (m_work.period != (int)period)
+        {
+            //
+            m_work.period = (int)period;
+            m_work.sumX = m_work.period * (m_work.period - 1.0) / 2.0;
+            m_work.sumXX = m_work.period * (m_work.period - 1.0) * (2.0 * m_work.period - 1.0) / 6.0;
+            m_work.divisor = m_work.sumX * m_work.sumX - m_work.period * m_work.sumXX;
+
+            //
+            if (m_work.divisor)
+            {
+                m_work.divisor = 1.0 / m_work.divisor;
+            }
+        }
+
+        //
+        m_work.data[r].value = value;
+
+        //
+        if (r >= m_work.period)
+        {
+            //
+            m_work.data[r].sumY = m_work.data[r - 1].sumY + value - m_work.data[r - m_work.period].value;
+            m_work.data[r].sumXY = m_work.data[r - 1].sumXY + m_work.data[r].sumY - m_work.data[r - m_work.period].value * (m_work.period - 1.0) - value;
+        }
+        else
+        {
+            //
+            m_work.data[r].sumY = value;
+            m_work.data[r].sumXY = 0;
+
+            //
+            for (int k = 1; k < m_work.period && r >= k; k++)
+            {
+                //
+                m_work.data[r].sumY += m_work.data[r - k].value;
+                m_work.data[r].sumXY += k * m_work.data[r - k].value;
+            }
+        }
+
+        //
+        _slope = (m_work.period * m_work.data[r].sumXY - m_work.sumX * m_work.data[r].sumY) * m_work.divisor;
+        _intercept = (m_work.data[r].sumY - _slope * m_work.sumX) / (double)m_work.period;
+
+        //
+        double result = (_intercept + _slope * (m_work.period - 1.0));
+
+        //
+        return result;
+    }
+
+    //
+};
+
 //
 // Styling Buffers ...

@@ -4504,6 +4618,38 @@ double GetAppliedPrice(
    return (0);
 }

+//
+double iGetPrice(
+    int tprice,
+    double open,
+    double high,
+    const double low,
+    const double close //
+)
+{
+    //
+    switch (tprice)
+    {
+    case PRICE_CLOSE:
+        return (close);
+    case PRICE_OPEN:
+        return (open);
+    case PRICE_HIGH:
+        return (high);
+    case PRICE_LOW:
+        return (low);
+    case PRICE_MEDIAN:
+        return ((high + low) / 2.0);
+    case PRICE_TYPICAL:
+        return ((high + low + close) / 3.0);
+    case PRICE_WEIGHTED:
+        return ((high + low + close + close) / 4.0);
+    }
+
+    //
+    return (0);
+}
+
 //
 // Calculate TP/SL for Specified Type of Positions ...
 void CalculateTPSL(