Class: Quant::Indicators::Roofing

Inherits:
Indicator
  • Object
show all
Defined in:
lib/quant/indicators/roofing.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, #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

//Highpass filter cyclic components whose periods are shorter than 48 bars alpha1 = (Cosine(.707*360 / HPPeriod) + Sine (.707*360 / HPPeriod) - 1) / Cosine(.707*360 / HPPeriod); HP = (1 - alpha1 / 2)*(1 - alpha1 / 2)*(Close - 2*Close + Close) + 2*(1 - alpha1)*HP - (1 - alpha1)* (1 - alpha1)*HP; //Smooth with a Super Smoother Filter from equation 3-3 a1 = expvalue(-1.414*3.14159 / LPPeriod); b1 = 2*a1*Cosine(1.414*180 / LPPeriod); c2 = b1; c3 = -a1*a1; c1 = 1 - c2 - c3; Filt = c1*(HP + HP) / 2 + c2*Filt + c3*Filt[2



39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
 
# File 'lib/quant/indicators/roofing.rb', line 39

def compute
  a = Math.cos(0.707 * deg2rad(360) / high_pass_period)
  b = Math.sin(0.707 * deg2rad(360) / high_pass_period)
  alpha1 = (a + b - 1) / a

  p0.hp = (1 - alpha1 / 2)**2 * (p0.input - 2 * p1.input + p2.input) + 2 * (1 - alpha1) * p1.hp - (1 - alpha1)**2 * p2.hp
  a1 = Math.exp(-1.414 * Math::PI / low_pass_period)
  c2 = 2 * a1 * Math.cos(1.414 * deg2rad(180) / low_pass_period)
  c3 = -a1**2
  c1 = 1 - c2 - c3
  p0.value = c1 * (p0.hp + p1.hp) / 2 + c2 * p1.value + c3 * p2.value
  p0.direction = p0.value > p2.value ? 1 : -1
  p0.turned = p0.direction != p2.direction
  # Peak = .991 * Peak[1];
  # If AbsValue(BP) > Peak Then Peak = AbsValue(BP); If Peak <> 0 Then Signal = BP / Peak;
  p0.peak = [p0.value.abs, 0.991 * p1.peak].max
  p0.agc = p0.peak == 0 ? 0 : p0.value / p0.peak
end

#high_pass_period ⇒ Object 



24
25
26
 
# File 'lib/quant/indicators/roofing.rb', line 24

def high_pass_period
  low_pass_period * 2
end

#low_pass_period ⇒ Object 



20
21
22
 
# File 'lib/quant/indicators/roofing.rb', line 20

def low_pass_period
  dc_period
end