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

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)
2026-08-25 05:48:06 +00:00 · 2026-03-17 20:24:54 -07:00
parent 547367790b
commit 6ac30d37e6
14 changed files with 1607 additions and 2 deletions
@@ -0,0 +1,79 @@
+using System.Drawing;
+using System.Runtime.CompilerServices;
+using TradingPlatform.BusinessLayer;
+
+namespace QuanTAlib;
+
+[SkipLocalsInit]
+public sealed class LpfIndicator : Indicator, IWatchlistIndicator
+{
+    [InputParameter("Lower Bound", sortIndex: 1, 8, 200, 1, 0)]
+    public int LowerBound { get; set; } = 18;
+
+    [InputParameter("Upper Bound", sortIndex: 2, 10, 500, 1, 0)]
+    public int UpperBound { get; set; } = 40;
+
+    [InputParameter("Data Length", sortIndex: 3, 4, 200, 1, 0)]
+    public int DataLength { get; set; } = 40;
+
+    [IndicatorExtensions.DataSourceInput]
+    public SourceType Source { get; set; } = SourceType.Close;
+
+    [InputParameter("Show cold values", sortIndex: 21)]
+    public bool ShowColdValues { get; set; } = true;
+
+    private Lpf _lpf = null!;
+    private readonly LineSeries _cycleSeries;
+    private readonly LineSeries _signalSeries;
+    private readonly LineSeries _predictSeries;
+    private Func<IHistoryItem, double> _priceSelector = null!;
+
+    public static int MinHistoryDepths => 0;
+    int IWatchlistIndicator.MinHistoryDepths => MinHistoryDepths;
+
+    public override string ShortName => $"LPF ({LowerBound},{UpperBound},{DataLength})";
+    public override string SourceCodeLink => "https://github.com/mihakralj/QuanTAlib/blob/main/lib/cycles/lpf/Lpf.Quantower.cs";
+
+    public LpfIndicator()
+    {
+        OnBackGround = true;
+        SeparateWindow = true;
+        Name = "LPF - Ehlers Linear Predictive Filter";
+        Description = "Ehlers' Linear Predictive Filter estimates the dominant cycle period using Griffiths adaptive coefficients and spectral analysis";
+
+        _cycleSeries = new LineSeries(name: "Cycle", color: IndicatorExtensions.Oscillators, width: 2, style: LineStyle.Solid);
+        _signalSeries = new LineSeries(name: "Signal", color: Color.Lime, width: 1, style: LineStyle.Solid);
+        _predictSeries = new LineSeries(name: "Predict", color: Color.Red, width: 1, style: LineStyle.Dot);
+        AddLineSeries(_cycleSeries);
+        AddLineSeries(_signalSeries);
+        AddLineSeries(_predictSeries);
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    protected override void OnInit()
+    {
+        _lpf = new Lpf(LowerBound, UpperBound, DataLength);
+        _priceSelector = Source.GetPriceSelector();
+        base.OnInit();
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    protected override void OnUpdate(UpdateArgs args)
+    {
+        if (args.Reason != UpdateReason.NewBar && args.Reason != UpdateReason.HistoricalBar)
+        {
+            return;
+        }
+
+        var item = this.HistoricalData[this.Count - 1, SeekOriginHistory.Begin];
+        double value = _priceSelector(item);
+        var time = this.HistoricalData.Time();
+
+        var input = new TValue(time, value);
+        TValue result = _lpf.Update(input, args.IsNewBar());
+
+        _cycleSeries.SetValue(result.Value, _lpf.IsHot, ShowColdValues);
+        _signalSeries.SetValue(_lpf.Signal * UpperBound * 0.5 + (LowerBound + UpperBound) * 0.5, _lpf.IsHot, ShowColdValues);
+        _predictSeries.SetValue(_lpf.Predict * UpperBound * 0.5 + (LowerBound + UpperBound) * 0.5, _lpf.IsHot, ShowColdValues);
+    }
+}