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https://github.com/mihakralj/QuanTAlib.git
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Miha Kralj
7db48e2418
Implement DSO (TASC Oct 2018) with SSF 2-pole filter, RMS normalization, and Fisher Transform (±0.99 clamp). Sealed class, O(1) streaming RMS via RingBuffer, precomputed SSF coefficients. New files: Dso.cs, Dso.Quantower.cs, Dso.md, dso.pine, Dso.Tests.cs (27), Dso.Validation.Tests.cs (7), Dso.Quantower.Tests.cs (11) Updated: Exports.cs, _bridge.py, oscillators.py, SPEC.md, _sidebar.md, lib/_index.md, oscillators/_index.md, docs/indicators.md, docs/pinescript.md All 19,565 tests pass, 0 warnings.
77 lines
2.8 KiB
Plaintext
77 lines
2.8 KiB
Plaintext
// Licensed under the Apache License, Version 2.0
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// © mihakralj
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//@version=6
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indicator("Ehlers Deviation-Scaled Oscillator (DSO)", "DSO", overlay = false)
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//@function Ehlers Deviation-Scaled Oscillator — a Fisher-transformed, RMS-normalized
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// Super Smoother oscillator. Applies a 2-pole Super Smoother filter to the
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// whitened input (Close - Close[2]), computes a rolling RMS over the period,
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// normalizes the filtered signal by RMS, then applies the Fisher Transform
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// with ±0.99 clamping. Output is an unbounded oscillator (typically ±3).
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//@param source Series to analyze
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//@param period Lookback window / assumed cycle period (>= 2)
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//@returns DSO oscillator value (Fisher-transformed, unbounded)
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//@reference Ehlers, J.F. (2018). "A Fisherized Deviation-Scaled Oscillator."
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// Technical Analysis of Stocks & Commodities, Oct 2018.
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//@optimized O(1) per bar via running sum circular buffer for RMS
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dso(series float source, simple int period) =>
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if period < 2
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runtime.error("Period must be at least 2")
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float price = nz(source)
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// --- Super Smoother coefficients (2-pole Butterworth at half-period cutoff) ---
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float half_period = period * 0.5
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float a1 = math.exp(-1.414 * math.pi / half_period)
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float b1 = 2.0 * a1 * math.cos(1.414 * 180.0 / half_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
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// --- Whitening: zeros at DC and Nyquist ---
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float zeros = price - nz(source[2])
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// --- 2-pole Super Smoother filter ---
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var float filt = 0.0
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var float filt1 = 0.0
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var float filt2 = 0.0
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float zeros1 = nz(zeros[1])
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filt2 := filt1
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filt1 := filt
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filt := c1 * 0.5 * (zeros + zeros1) + c2 * filt1 + c3 * filt2
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// --- Rolling RMS via circular buffer ---
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var array<float> buf = array.new_float(period, 0.0)
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var int head = 0
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var float sum_sq = 0.0
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float filt_sq = filt * filt
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float old_sq = array.get(buf, head)
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array.set(buf, head, filt_sq)
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sum_sq := sum_sq - old_sq + filt_sq
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head := (head + 1) % period
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float rms = math.sqrt(math.max(sum_sq / period, 1e-10))
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// --- Scale by RMS ---
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float scaled_filt = rms != 0.0 ? filt / rms : 0.0
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// --- Fisher Transform (clamp to ±0.99) ---
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float clamped = math.max(-0.99, math.min(0.99, scaled_filt))
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float fisher_filt = 0.5 * math.log((1.0 + clamped) / (1.0 - clamped))
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fisher_filt
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// ── Inputs ──
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int p_period = input.int(40, "Period", minval = 2)
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float p_src = input.source(close, "Source")
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// ── Calculation ──
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float out = dso(p_src, p_period)
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// ── Plot ──
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plot(out, "DSO", color.yellow, 2)
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hline(0, "Zero", color.gray)
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hline(2.0, "+2", color.new(color.red, 60))
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hline(-2.0, "-2", color.new(color.green, 60))
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