mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-07-29 18:17:43 +00:00
Miha Kralj
86 lines
2.8 KiB
Plaintext
86 lines
2.8 KiB
Plaintext
//@version=6
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// EPA: Ehlers Phasor Analysis
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// From John F. Ehlers, "Recurring Phase Of Cycle Analysis"
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// (Stocks & Commodities, November 2022)
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indicator("EPA - Ehlers Phasor Analysis", shorttitle="EPA", overlay=false)
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period = input.int(28, "Period", minval=2)
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src = input.source(close, "Source")
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var float prevAngle = 0.0
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var float prevDeltaAngle = 0.0
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var float derivedPeriod = 0.0
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// Correlate price with Cosine wave (Pearson correlation → Real)
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float sx_r = 0.0, float sy_r = 0.0
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float sxx_r = 0.0, float sxy_r = 0.0, float syy_r = 0.0
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for k = 0 to period - 1
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float x = nz(src[k])
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float y = math.cos(2.0 * math.pi * k / period)
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sx_r += x
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sy_r += y
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sxx_r += x * x
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sxy_r += x * y
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syy_r += y * y
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float dp_r = (period * sxx_r - sx_r * sx_r) * (period * syy_r - sy_r * sy_r)
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float real = dp_r > 0 ? math.max(-1.0, math.min(1.0, (period * sxy_r - sx_r * sy_r) / math.sqrt(dp_r))) : 0.0
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// Correlate price with -Sine wave (Pearson correlation → Imag)
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float sx_i = 0.0, float sy_i = 0.0
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float sxx_i = 0.0, float sxy_i = 0.0, float syy_i = 0.0
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for k = 0 to period - 1
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float x = nz(src[k])
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float y = -math.sin(2.0 * math.pi * k / period)
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sx_i += x
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sy_i += y
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sxx_i += x * x
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sxy_i += x * y
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syy_i += y * y
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float dp_i = (period * sxx_i - sx_i * sx_i) * (period * syy_i - sy_i * sy_i)
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float imag = dp_i > 0 ? math.max(-1.0, math.min(1.0, (period * sxy_i - sx_i * sy_i) / math.sqrt(dp_i))) : 0.0
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// Angle = 90 - atan(Imag/Real) with quadrant fix
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float angle = 0.0
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if real != 0
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angle := 90.0 - math.todegrees(math.atan(imag / real))
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if real < 0
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angle -= 180.0
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// Wraparound compensation
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if math.abs(angle) - math.abs(prevAngle - 360.0) < angle - prevAngle and prevAngle > 90.0 and angle < -90.0
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angle -= 360.0
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// Angle cannot go backwards (with conditional exceptions)
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if angle < prevAngle and ((prevAngle > -135.0 and prevAngle < 135.0) or (angle < -90.0 and prevAngle < -90.0))
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angle := prevAngle
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// DerivedPeriod from angle rate-of-change
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float deltaAngle = angle - prevAngle
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if deltaAngle <= 0
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deltaAngle := prevDeltaAngle
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if deltaAngle > 0
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derivedPeriod := 360.0 / deltaAngle
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prevDeltaAngle := deltaAngle
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if derivedPeriod > 60
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derivedPeriod := 60.0
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// Trend state
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int trendState = 0
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float angleChange = angle - prevAngle
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if angleChange <= 6.0
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if angle >= 90.0 or angle <= -90.0
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trendState := 1 // trending long
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else if angle > -90.0 and angle < 90.0
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trendState := -1 // trending short
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prevAngle := angle
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plot(angle, "Angle", color.yellow, 2)
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hline(0, "Zero", color.white)
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hline(90, "+90", color.new(color.cyan, 50))
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hline(-90, "-90", color.new(color.cyan, 50))
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plot(derivedPeriod, "DerivedPeriod", color.cyan, 1, display=display.none)
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plot(trendState, "TrendState", color.red, 2, display=display.none)
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