Module: Quant::Indicators::DominantCycles

Defined in:

lib/quant/indicators/dominant_cycles/dominant_cycle.rb,
lib/quant/indicators/dominant_cycles/acr.rb,
lib/quant/indicators/dominant_cycles/homodyne.rb,
lib/quant/indicators/dominant_cycles/band_pass.rb,
lib/quant/indicators/dominant_cycles/half_period.rb,
lib/quant/indicators/dominant_cycles/differential.rb,
lib/quant/indicators/dominant_cycles/phase_accumulator.rb

Overview

Dominant Cycles measure the primary cycle within a given range. By default, the library is wired to look for cycles between 10 and 48 bars. These values can be adjusted by setting the min_period and max_period configuration values in Config.

Quant.configure_indicators(min_period: 8, max_period: 32)

The default dominant cycle kind is the half_period filter. This can be adjusted by setting the dominant_cycle_kind configuration value in Config.

Quant.configure_indicators(dominant_cycle_kind: :band_pass)

The purpose of these indicators is to compute the dominant cycle and underpin the various indicators that would otherwise be setting an arbitrary lookback period. This makes the indicators adaptive and auto-tuning to the market dynamics. Or so the theory goes!

Defined Under Namespace

Classes: Acr, AcrPoint, BandPass, BandPassPoint, Differential, DominantCycle, DominantCyclePoint, HalfPeriod, HalfPeriodPoint, Homodyne, PhaseAccumulator