Add SSF-DSP implementation with validation tests and documentation

- Implemented the SSF-DSP (Super Smooth Filter Detrended Synthetic Price) indicator using dual Super Smooth Filters. - Added validation tests to ensure correctness against PineScript implementation and mathematical properties. - Created comprehensive documentation outlining the architecture, mathematical foundation, performance profile, and common pitfalls. - Included batch processing capabilities for efficient calculations on time series data.
2026-08-25 13:58:04 +00:00 · 2026-02-04 20:58:05 -08:00
parent 3e854eac3f
commit 95838a6435
28 changed files with 6742 additions and 1 deletions
@@ -0,0 +1,80 @@
+using System.Drawing;
+using System.Runtime.CompilerServices;
+using TradingPlatform.BusinessLayer;
+
+namespace QuanTAlib;
+
+[SkipLocalsInit]
+public sealed class SineIndicator : Indicator, IWatchlistIndicator
+{
+    [InputParameter("HP Period", sortIndex: 1, 1, 2000, 1, 0)]
+    public int HpPeriod { get; set; } = 40;
+
+    [InputParameter("SSF Period", sortIndex: 2, 1, 500, 1, 0)]
+    public int SsfPeriod { get; set; } = 10;
+
+    [IndicatorExtensions.DataSourceInput]
+    public SourceType Source { get; set; } = SourceType.Close;
+
+    [InputParameter("Show cold values", sortIndex: 21)]
+    public bool ShowColdValues { get; set; } = true;
+
+    private Sine _sine = null!;
+    private readonly LineSeries _series;
+    private readonly LineSeries _zeroLine;
+    private readonly LineSeries _upperLine;
+    private readonly LineSeries _lowerLine;
+    private Func<IHistoryItem, double> _priceSelector = null!;
+
+    public static int MinHistoryDepths => 0;
+    int IWatchlistIndicator.MinHistoryDepths => MinHistoryDepths;
+
+    public override string ShortName => $"SINE ({HpPeriod},{SsfPeriod})";
+    public override string SourceCodeLink => "https://github.com/mihakralj/QuanTAlib/blob/main/lib/cycles/sine/Sine.Quantower.cs";
+
+    public SineIndicator()
+    {
+        OnBackGround = true;
+        SeparateWindow = true;
+        Name = "SINE - Ehlers Sine Wave";
+        Description = "Ehlers' Sine Wave indicator extracts the dominant cycle from price data using High-Pass filter, Super-Smoother, and Hilbert Transform";
+
+        _series = new LineSeries(name: "SINE", color: IndicatorExtensions.Oscillators, width: 2, style: LineStyle.Solid);
+        _zeroLine = new LineSeries(name: "Zero", color: Color.Gray, width: 1, style: LineStyle.Dash);
+        _upperLine = new LineSeries(name: "+1", color: Color.DarkGray, width: 1, style: LineStyle.Dot);
+        _lowerLine = new LineSeries(name: "-1", color: Color.DarkGray, width: 1, style: LineStyle.Dot);
+        AddLineSeries(_series);
+        AddLineSeries(_zeroLine);
+        AddLineSeries(_upperLine);
+        AddLineSeries(_lowerLine);
+    }
+
+    [MethodImpl(MethodImplOptions.AggressiveInlining)]
+    protected override void OnInit()
+    {
+        _sine = new Sine(HpPeriod, SsfPeriod);
+        _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 = _sine.Update(input, args.IsNewBar());
+
+        _series.SetValue(result.Value, _sine.IsHot, ShowColdValues);
+        _zeroLine.SetValue(0.0);
+        _upperLine.SetValue(1.0);
+        _lowerLine.SetValue(-1.0);
+    }
+}