Class: Quant::Indicators::Mama

Inherits:
Indicator show all
Defined in:
lib/quant/indicators/mama.rb

Overview

www.mesasoftware.com/papers/MAMA.pdf MESA Adaptive Moving Average (MAMA) adapts to price movement in an entirely new and unique way. The adapation is based on the rate change of phase as measured by the Hilbert Transform Discriminator.

This version of Ehler’s MAMA indicator duplicates the computations present in the homodyne version of the dominant cycle indicator. Use this version of the indicator when you’re using a different dominant cycle indicator other than the homodyne for the rest of your indicators.

Constant Summary collapse

FAMA = 
0.500
GAMA = 
0.950
DAMA = 
0.125
LAMA = 
0.100
FAGA = 
0.050

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, #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 ⇒ Object 



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# File 'lib/quant/indicators/mama.rb', line 137

def compute
  compute_dominant_cycle
  compute_dominant_cycle_phase
  compute_moving_averages
  compute_oscillator
end

#compute_dominant_cycle ⇒ Object 



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# File 'lib/quant/indicators/mama.rb', line 82

def compute_dominant_cycle
  p0.smooth = wma :input
  p0.detrend = hilbert_transform :smooth, period: p1.period

  # { Compute Inphase and Quadrature components }
  p0.q1 = hilbert_transform :detrend, period: p1.period
  p0.i1 = p3.detrend

  # { Advance the phase of I1 and Q1 by 90 degrees }
  p0.ji = hilbert_transform :i1, period: p1.period
  p0.jq = hilbert_transform :q1, period: p1.period

  # { Smooth the I and Q components before applying the discriminator }
  p0.i2 = (0.2 * (p0.i1 - p0.jq)) + 0.8 * (p1.i2 || (p0.i1 - p0.jq))
  p0.q2 = (0.2 * (p0.q1 + p0.ji)) + 0.8 * (p1.q2 || (p0.q1 + p0.ji))

  homodyne_discriminator
end

#compute_dominant_cycle_phase ⇒ Object 



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# File 'lib/quant/indicators/mama.rb', line 109

def compute_dominant_cycle_phase
  p0.delta_phase = p1.phase - p0.phase
  p0.delta_phase = 1.0 if p0.delta_phase < 1.0
end

#compute_moving_averages ⇒ Object 



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# File 'lib/quant/indicators/mama.rb', line 120

def compute_moving_averages
  alpha = [fast_limit / p0.delta_phase, slow_limit].max
  p0.mama = (alpha * p0.input) + ((1.0 - alpha) * p1.mama)

  p0.fama = (FAMA * alpha * p0.mama) + ((1.0 - (FAMA * alpha)) * p1.fama)
  p0.gama = (GAMA * alpha * p0.mama) + ((1.0 - (GAMA * alpha)) * p1.gama)
  p0.dama = (DAMA * alpha * p0.mama) + ((1.0 - (DAMA * alpha)) * p1.dama)
  p0.lama = (LAMA * alpha * p0.mama) + ((1.0 - (LAMA * alpha)) * p1.lama)
  p0.faga = (FAGA * alpha * p0.fama) + ((1.0 - (FAGA * alpha)) * p1.faga)
end

#compute_oscillator ⇒ Object 



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# File 'lib/quant/indicators/mama.rb', line 131

def compute_oscillator
  p0.osc = p0.mama - p0.fama
  p0.crossed = :up if p0.osc >= 0 && p1.osc < 0
  p0.crossed = :down if p0.osc <= 0 && p1.osc > 0
end

#compute_smooth_period ⇒ Object

amplitude correction using previous period value



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# File 'lib/quant/indicators/mama.rb', line 63

def compute_smooth_period
  p0.period = ((0.2 * p0.period) + (0.8 * p1.period)).round
  p0.smooth_period = ((0.33333 * p0.period) + (0.666667 * p1.smooth_period)).round
end

#constrain_period_bars ⇒ Object

constrain between 6 and 50 bars



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# File 'lib/quant/indicators/mama.rb', line 52

def constrain_period_bars
  p0.period = p0.period.clamp(min_period, max_period)
end

#constrain_period_magnitude_change ⇒ Object

constrain magnitude of change in phase



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# File 'lib/quant/indicators/mama.rb', line 57

def constrain_period_magnitude_change
  p0.period = [1.5 * p1.period, p0.period].min
  p0.period = [0.67 * p1.period, p0.period].max
end

#fast_limit ⇒ Object 



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# File 'lib/quant/indicators/mama.rb', line 101

def fast_limit
  @fast_limit ||= bars_to_alpha(min_period / 2)
end

#homodyne_discriminator ⇒ Object 



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# File 'lib/quant/indicators/mama.rb', line 68

def homodyne_discriminator
  p0.re = (p0.i2 * p1.i2) + (p0.q2 * p1.q2)
  p0.im = (p0.i2 * p1.q2) - (p0.q2 * p1.i2)

  p0.re = (0.2 * p0.re) + (0.8 * p1.re)
  p0.im = (0.2 * p0.im) + (0.8 * p1.im)

  p0.period = 360.0 / rad2deg(Math.atan(p0.im / p0.re)) if (p0.im != 0) && (p0.re != 0)

  constrain_period_magnitude_change
  constrain_period_bars
  compute_smooth_period
end

#slow_limit ⇒ Object 



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# File 'lib/quant/indicators/mama.rb', line 105

def slow_limit
  @slow_limit ||= bars_to_alpha(max_period)
end