Module: Quant::Mixins::SuperSmoother

Included in:
Indicators::Indicator
Defined in:
lib/quant/mixins/super_smoother.rb

Overview

Super Smoother Filters provide a way to smooth out the noise in a series without out introducing undesirable lag that you would other get with traditional moving averages.

The EMA only reduces the amplitude at the Nyquist frequency by 13 dB. On the other hand, the SuperSmoother filter theoretically completely eliminates components at the Nyquist Frequency. The added benefit is that the SuperSmoother filter has significantly less lag than the EMA.

Instance Method Summary collapse

Instance Method Details

#three_pole_super_smooth(source, period:, previous:) ⇒ Object Also known as: ss3p

Raises:

  • (ArgumentError) 


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# File 'lib/quant/mixins/super_smoother.rb', line 35

def three_pole_super_smooth(source, period:, previous:)
  raise ArgumentError, "source must be a Symbol" unless source.is_a?(Symbol)

  radians = Math::PI / period
  a1 = Math.exp(-radians)
  b1 = 2 * a1 * Math.cos(Math.sqrt(3) * radians)
  c1 = a1**2

  c4 = c1**2
  c3 = -(c1 + b1 * c1)
  c2 = b1 + c1
  c1 = 1 - c2 - c3 - c4

  v0 = p0.send(source)
  v1 = p1.send(previous)
  v2 = p2.send(previous)
  v3 = p3.send(previous)

  (c1 * v0) + (c2 * v1) + (c3 * v2) + (c4 * v3)
end

#two_pole_super_smooth(source, period:, previous:) ⇒ Object Also known as: super_smoother, ss2p

www.mesasoftware.com/papers/PredictiveIndicators.pdf

Raises:

  • (ArgumentError) 


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# File 'lib/quant/mixins/super_smoother.rb', line 15

def two_pole_super_smooth(source, period:, previous:)
  raise ArgumentError, "source must be a Symbol" unless source.is_a?(Symbol)

  radians = Math.sqrt(2) * Math::PI / period
  a1 = Math.exp(-radians)

  c3 = -a1**2
  c2 = 2.0 * a1 * Math.cos(radians)
  c1 = 1.0 - c2 - c3

  v1 = (p0.send(source) + p1.send(source)) * 0.5
  v2 = p2.send(previous)
  v3 = p3.send(previous)

  (c1 * v1) + (c2 * v2) + (c3 * v3)
end