Class: Quant::Indicators::DominantCycles::Differential

Inherits:
DominantCycle show all
Defined in:
lib/quant/indicators/dominant_cycles/differential.rb

Overview

The Dual Differentiator algorithm computes the phase angle from the analytic signal as the arctangent of the ratio of the imaginary component to the real component. Further, the angular frequency is defined as the rate change of phase. We can use these facts to derive the cycle period.

Constant Summary

Constants inherited from Indicator

Indicator::PRIORITIES

Constants included from Mixins::UniversalFilters

Mixins::UniversalFilters::K

Instance Attribute Summary

Attributes inherited from DominantCycle

#points

Attributes inherited from Indicator

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

Instance Method Summary collapse

Methods inherited from DominantCycle

#compute, #compute_input_data_points, #compute_mean_period, #compute_phase, #compute_quadrature_components, #compute_smooth_period, #constrain_period_bars, #constrain_period_magnitude_change, #dominant_cycle_indicator_class, #dominant_cycle_period, #points_class, #priority

Methods inherited from Indicator

#<<, #[], #adaptive_half_period, #adaptive_period, #compute, dependent_indicator_classes, depends_on, #dominant_cycle, #dominant_cycle_indicator_class, #dominant_cycle_kind, #each, #half_period, #indicator_name, #initialize, #input, #inspect, #max_period, #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_period ⇒ Object 



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# File 'lib/quant/indicators/dominant_cycles/differential.rb', line 14

def compute_period
  p0.ddd = (p0.q2 * (p0.i2 - p1.i2)) - (p0.i2 * (p0.q2 - p1.q2))
  p0.inst_period = p0.ddd > 0.01 ? 6.2832 * (p0.i2**2 + p0.q2**2) / p0.ddd : 0.0

  constrain_period_magnitude_change
  constrain_period_bars
  p0.period = p0.inst_period.round(0).to_i
end