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Miha Kralj
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TASC Sep 2024. Dual 2-pole Butterworth highpass bandpass for near-zero-lag trend extraction. HP(long) - HP(short) preserves cycles between shortPeriod and longPeriod. - Core: Pta.cs with O(1) streaming, Span batch, state rollback - Quantower: PtaIndicator adapter with LineSeries + SetValue - Tests: 31 lib + 11 Quantower (all passing) - Pine: pta.pine PineScript v6 reference - Docs: Pta.md canonical template v3 - Python: Exports.Generated.cs + _bridge.py + dynamics.py - Indexes: _sidebar.md, lib/_index.md, dynamics/_index.md, docs/indicators.md, docs/pinescript.md
38 lines
1.9 KiB
Plaintext
38 lines
1.9 KiB
Plaintext
// PTA: Ehlers Precision Trend Analysis
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// Category: Dynamics
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// Based on: John F. Ehlers, "Precision Trend Analysis," TASC September 2024
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//
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// Dual highpass filter bandpass approach for near-zero-lag trend extraction.
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// Trend = HP(longPeriod) - HP(shortPeriod)
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// where HP is a 2-pole Butterworth highpass filter.
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// Preserves cyclic components between shortPeriod and longPeriod.
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// Output: zero-centered, positive = uptrend, negative = downtrend.
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//@version=6
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indicator("PTA - Ehlers Precision Trend Analysis", shorttitle="PTA", overlay=false)
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// ── Inputs ──────────────────────────────────────────────────────
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int longPeriod = input.int(250, "Long Period", minval=3)
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int shortPeriod = input.int(40, "Short Period", minval=2)
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// ── Highpass Filter Function ────────────────────────────────────
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highpass(float src, float period) =>
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float a1 = math.exp(-1.414 * math.pi / period)
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float b1 = 2.0 * a1 * math.cos(1.414 * math.pi / period)
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float c2 = b1
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float c3 = -a1 * a1
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float c1 = (1.0 + c2 - c3) * 0.25
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float hp = 0.0
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if bar_index >= 2
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hp := c1 * (src - 2.0 * src[1] + src[2]) + c2 * nz(hp[1]) + c3 * nz(hp[2])
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hp
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// ── Calculations ────────────────────────────────────────────────
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float hp1 = highpass(close, longPeriod)
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float hp2 = highpass(close, shortPeriod)
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float trend = hp1 - hp2
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// ── Plots ───────────────────────────────────────────────────────
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plot(trend, "PTA", color.red, 2)
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hline(0, "Zero", color.gray, hline.style_dotted)
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