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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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lib/_index.md
+3 -2
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@@ -1,4 +1,4 @@
# QuanTAlib Indicators
# QuanTAlib Indicators
| Indicator | Full Name | Category |
| :--------------------------------------------------------- | :------------------------------------------------------------------------ | :----------- |
@@ -201,6 +201,7 @@
| [LOGNORMDIST](numerics/lognormdist/Lognormdist.md) | Log-Normal Distribution | Numerics |
| [LOGTRANS](numerics/logtrans/Logtrans.md) | Logarithmic Transform | Numerics |
| [LOWEST](numerics/lowest/Lowest.md) | Rolling Minimum | Numerics |
| [LPF](cycles/lpf/Lpf.md) | Ehlers Linear Predictive Filter | Cycles |
| [LRSI](oscillators/lrsi/Lrsi.md) | Ehlers Laguerre RSI | Oscillators |
| [LSMA](trends_FIR/lsma/Lsma.md) | Least Squares MA | Trends (FIR) |
| [LTMA](trends_IIR/ltma/Ltma.md) | Linear Trend MA | Trends (IIR) |
@@ -312,7 +313,7 @@
| [RSE](errors/rse/Rse.md) | Relative Squared Error | Errors |
| [RSI](momentum/rsi/Rsi.md) | Relative Strength Index | Momentum |
| [RSIH](oscillators/rsih/Rsih.md) | Ehlers Hann-Windowed RSI | Oscillators |
| [RSQUARED](errors/rsquared/Rsquared.md) | R² (Coefficient of Determination) | Errors |
| [RSQUARED](errors/rsquared/Rsquared.md) | R² (Coefficient of Determination) | Errors |
| [RSV](volatility/rsv/Rsv.md) | Rogers-Satchell Volatility | Volatility |
| [RSX](momentum/rsx/Rsx.md) | Relative Strength Quality Index | Momentum |
| [RV](volatility/rv/Rv.md) | Realized Volatility | Volatility |