Class: Quant::Indicators::Decycler

Inherits:
Indicator
  • Object
show all
Defined in:
lib/quant/indicators/decycler.rb

Constant Summary

Constants inherited from Indicator

Indicator::PRIORITIES

Constants included from Mixins::UniversalFilters

Mixins::UniversalFilters::K

Instance Attribute Summary

Attributes inherited from Indicator

#p0, #p1, #p2, #p3, #series, #source, #t0, #t1, #t2, #t3

Instance Method Summary collapse

Methods inherited from Indicator

#<<, #[], #adaptive_half_period, #adaptive_period, dependent_indicator_classes, depends_on, #dominant_cycle, #dominant_cycle_indicator_class, #dominant_cycle_kind, #each, #half_period, #indicator_name, #initialize, #input, #inspect, #micro_period, #min_period, #p, #period_points, #pivot_kind, #points_class, #priority, register, #size, #t, #ticks, #values, #warmed_up?

Methods included from Mixins::FisherTransform

#fisher_transform, #inverse_fisher_transform, #relative_fisher_transform

Methods included from Mixins::Stochastic

#stochastic

Methods included from Mixins::SuperSmoother

#three_pole_super_smooth, #two_pole_super_smooth

Methods included from Mixins::HilbertTransform

#hilbert_transform

Methods included from Mixins::ExponentialMovingAverage

#exponential_moving_average

Methods included from Mixins::SimpleMovingAverage

#simple_moving_average

Methods included from Mixins::WeightedMovingAverage

#extended_weighted_moving_average, #weighted_moving_average

Methods included from Mixins::UniversalFilters

#universal_band_pass, #universal_ema, #universal_filter, #universal_one_pole_high_pass, #universal_one_pole_low_pass, #universal_two_pole_high_pass, #universal_two_pole_low_pass

Methods included from Mixins::ButterworthFilters

#three_pole_butterworth, #two_pole_butterworth

Methods included from Mixins::HighPassFilters

#high_pass_filter, #hpf2, #two_pole_high_pass_filter

Methods included from Mixins::Functions

#angle, #bars_to_alpha, #deg2rad, #period_to_alpha, #rad2deg

Constructor Details

This class inherits a constructor from Quant::Indicators::Indicator

Instance Method Details

#compute ⇒ Object 



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# File 'lib/quant/indicators/decycler.rb', line 65

def compute
  compute_decycler
  compute_oscillator
  compute_automatic_gain_control
  compute_inverse_fisher_transform
end

#compute_automatic_gain_control ⇒ Object

AGC is constrained to -1.0 to 1.0 The peak decays at a rate of 0.991 per bar



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# File 'lib/quant/indicators/decycler.rb', line 56

def compute_automatic_gain_control
  p0.peak = [p0.osc.abs, 0.991 * p1.peak].max
  p0.agc = p0.peak.zero? ? p0.osc : p0.osc / p0.peak
end

#compute_decycler ⇒ Object 



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# File 'lib/quant/indicators/decycler.rb', line 33

def compute_decycler
  alpha = period_to_alpha(max_period)
  p0.decycle = (alpha / 2) * (p0.input + p1.input) + (1.0 - alpha) * p1.decycle
end

#compute_hp(period, hp) ⇒ Object

alpha1 = (Cosine(.707*360 / HPPeriod1) + Sine (.707*360 / HPPeriod1) - 1) / Cosine(.707*360 / HPPeriod1); HP1 = (1 - alpha1 / 2)*(1 - alpha1 / 2)*(Close - 2*Close + Close) + 2*(1 - alpha1)*HP1 - (1 - alpha1)*(1 - alpha1)*HP1;



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# File 'lib/quant/indicators/decycler.rb', line 40

def compute_hp(period, hp)
  radians = deg2rad(360)
  c = Math.cos(0.707 * radians / period)
  s = Math.sin(0.707 * radians / period)
  alpha = (c + s - 1) / c
  (1 - alpha / 2)**2 * (p0.input - 2 * p1.input + p2.input) + 2 * (1 - alpha) * p1.send(hp) - (1 - alpha) * (1 - alpha) * p2.send(hp)
end

#compute_inverse_fisher_transform ⇒ Object 



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# File 'lib/quant/indicators/decycler.rb', line 61

def compute_inverse_fisher_transform
  p0.ift = inverse_fisher_transform(p0.agc, scale_factor: 5.0)
end

#compute_oscillator ⇒ Object 



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# File 'lib/quant/indicators/decycler.rb', line 48

def compute_oscillator
  p0.hp1 = compute_hp(min_period, :hp1)
  p0.hp2 = compute_hp(max_period, :hp2)
  p0.osc = p0.hp2 - p0.hp1
end

#max_period ⇒ Object 



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# File 'lib/quant/indicators/decycler.rb', line 29

def max_period
  dc_period
end