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feat: add LPF - Ehlers Linear Predictive Filter (TASC Jan 2025)

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Implements Ehlers' Linear Predictive Filter for dominant cycle detection:
- Roofing filter (HP + SuperSmoother) → AGC → Griffiths adaptive predictor
- DFT spectrum from predictor coefficients → Center of Gravity dominant cycle
- Outputs: DominantCycle, Signal (AGC-normalized), Predict (one-bar-ahead)

Files added:
- lib/cycles/lpf/Lpf.cs (core implementation, sealed class)
- lib/cycles/lpf/Lpf.Quantower.cs (3 LineSeries: Cycle, Signal, Predict)
- lib/cycles/lpf/Lpf.md (canonical template v3 documentation)
- lib/cycles/lpf/lpf.pine (PineScript v6 reference)
- lib/cycles/lpf/tests/Lpf.Tests.cs (38 unit tests)
- lib/cycles/lpf/tests/Lpf.Quantower.Tests.cs (22 adapter tests)

Updated: index files, Python bridge (Exports.cs, _bridge.py, cycles.py)
This commit is contained in:
Miha Kralj
2026-03-17 20:24:54 -07:00
parent 547367790b
commit 6ac30d37e6
14 changed files with 1607 additions and 2 deletions
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docs/indicators.md
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@@ -447,6 +447,7 @@ Periodic pattern detection and dominant frequency extraction. Markets exhibit cy
| [**HT_DCPHASE**](../lib/cycles/ht_dcphase/HtDcphase.md) | Ehlers HT Dominant Cycle Phase | Hilbert Transform phase angle |
| [**HT_PHASOR**](../lib/cycles/ht_phasor/HtPhasor.md) | Ehlers HT Phasor Components | In-phase and quadrature components |
| [**HT_SINE**](../lib/cycles/ht_sine/HtSine.md) | Ehlers HT SineWave (also known as SINE) | Dominant cycle phase with lead signal |
| [**LPF**](../lib/cycles/lpf/Lpf.md) | Ehlers Linear Predictive Filter | Griffiths LMS predictor ? DFT spectrum ? dominant cycle |
| [**LUNAR**](../lib/cycles/lunar/Lunar.md) | Lunar Phase | Moon phase cycle |
| [**SOLAR**](../lib/cycles/solar/Solar.md) | Solar Activity Cycle | Solar activity periodicity |
| [**SSFDSP**](../lib/cycles/ssfdsp/Ssfdsp.md) | Ehlers SSF Detrended Synthetic Price | Dual Super Smoother oscillator |
docs/pinescript.md
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@@ -435,6 +435,7 @@ Markets oscillate. These indicators try to measure the oscillation itself — th
| HT_DCPHASE | Ehlers Hilbert Transform Dominant Cycle Phase | [ht_dcphase.pine](../lib/cycles/ht_dcphase/ht_dcphase.pine) |
| HT_PHASOR | Ehlers Hilbert Transform Phasor Components | [phasor.pine](../lib/cycles/ht_phasor/phasor.pine) |
| HT_SINE | Ehlers Hilbert Transform SineWave | [ht_sine.pine](../lib/cycles/ht_sine/ht_sine.pine) |
| LPF | Ehlers Linear Predictive Filter | [lpf.pine](../lib/cycles/lpf/lpf.pine) |
| LUNAR | Lunar Phase | [lunar.pine](../lib/cycles/lunar/lunar.pine) |
| SOLAR | Solar Activity Cycle | [solar.pine](../lib/cycles/solar/solar.pine) |
| SSFDSP | Ehlers SSF Detrended Synthetic Price | [ssfdsp.pine](../lib/cycles/ssfdsp/ssfdsp.pine) |