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Enhance documentation and validation for various indicators
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@@ -21,11 +21,13 @@ The architecture is a direct application of the Hilbert Transform Homodyne Discr
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## Mathematical Foundation
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### 1. Pre-Smoothing
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A 4-tap FIR filter removes high-frequency noise (Nyquist limit) to prevent aliasing before the Hilbert Transform.
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$$ \text{Smooth}_t = \frac{4 P_t + 3 P_{t-1} + 2 P_{t-2} + P_{t-3}}{10} $$
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### 2. Hilbert Transform & Detrending
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The signal is detrended and split into In-Phase ($I$) and Quadrature ($Q$) components using a 7-tap Hilbert Transform. The coefficients are optimized for market cycles (10-40 bars) to minimize passband ripple.
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$$ \text{Adj} = 0.075 \cdot \text{Period}_{t-1} + 0.54 $$
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@@ -37,11 +39,13 @@ $$ Q_t = \left( \frac{5}{52} D_t + \frac{15}{26} D_{t-2} - \frac{15}{26} D_{t-4}
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$$ I_t = D_{t-3} $$
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### 3. Homodyne Discriminator
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The phase rate of change is calculated using the complex conjugate product of the current and previous phasors.
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$$ \Delta \text{Phase} = \arctan\left(\frac{I_t Q_{t-1} - Q_t I_{t-1}}{I_t I_{t-1} + Q_t Q_{t-1}}\right) $$
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### 4. Adaptive Alpha
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The smoothing factor $\alpha$ is inversely proportional to the phase rate of change. When the phase changes rapidly (trend reversal or high volatility), $\alpha$ increases (faster response). When the phase changes slowly (stable trend), $\alpha$ decreases (more smoothing).
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$$ \alpha = \frac{\text{FastLimit}}{\Delta \text{Phase}} $$
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@@ -49,6 +53,7 @@ $$ \alpha = \frac{\text{FastLimit}}{\Delta \text{Phase}} $$
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$$ \alpha = \max(\text{SlowLimit}, \min(\text{FastLimit}, \alpha)) $$
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### 5. MAMA & FAMA Calculation
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MAMA is an adaptive EMA using the calculated $\alpha$. FAMA (Following Adaptive Moving Average) is a second adaptive EMA applied to MAMA, using half the $\alpha$.
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$$ \text{MAMA}_t = \alpha \cdot P_t + (1 - \alpha) \cdot \text{MAMA}_{t-1} $$
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@@ -61,7 +66,8 @@ MAMA is computationally intensive due to the trigonometry (`Atan`, `Sin`, `Cos`)
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| Metric | Score | Notes |
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| :--- | :--- | :--- |
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| **Throughput** | Low | Trigonometry involved |
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| **Throughput** | [N] ns/bar | Trigonometry involved |
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| **Allocations** | 0 | Stack-based calculations only |
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| **Complexity** | O(1) | Constant time update |
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| **Accuracy** | 8/10 | Adapts to market cycle phase |
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| **Timeliness** | 9/10 | Extremely fast response to phase shifts |
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@@ -70,12 +76,16 @@ MAMA is computationally intensive due to the trigonometry (`Atan`, `Sin`, `Cos`)
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## Validation
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Validated against Ehlers' original EasyLanguage code.
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Validated against Skender and Ooples.
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| Provider | Error Tolerance | Notes |
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| Library | Status | Notes |
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| :--- | :--- | :--- |
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| **Ehlers** | N/A | Logic matches *MESA and Trading Market Cycles* |
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| **QuanTAlib** | ✅ | Validated. |
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| **Skender** | ⚠️ | Matches `GetMama` (High divergence due to precision) |
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| **Ooples** | ⚠️ | Matches `CalculateEhlersMotherOfAdaptiveMovingAverages` (High divergence) |
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| **TA-Lib** | N/A | Not implemented |
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| **Tulip** | N/A | Not implemented. |
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### Common Pitfalls
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1. **Crossover Signals**: The MAMA/FAMA crossover is the primary signal. MAMA crossing over FAMA is bullish.
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