mirror of
https://github.com/mihakralj/QuanTAlib.git
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Miha Kralj
76 lines
2.6 KiB
Plaintext
76 lines
2.6 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 Elegant Oscillator (EEO)", "EEO", overlay = false)
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//@function Ehlers Elegant Oscillator — an Inverse Fisher Transform (IFT) applied to
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// RMS-normalized 2-bar momentum, smoothed by a Super Smoother filter.
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// Pipeline: Deriv = Close - Close[2] → RMS(50) → NDeriv = Deriv/RMS →
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// IFish = tanh(NDeriv) → SuperSmoother(BandEdge).
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// Output is bounded approximately [-1, +1].
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//@param source Series to analyze
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//@param bandEdge Super Smoother cutoff period (>= 2)
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//@returns EEO oscillator value (bounded ±1)
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//@reference Ehlers, J.F. (2022). "An Elegant Oscillator: Inverse Fisher Transform Redux."
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// Technical Analysis of Stocks & Commodities, Feb 2022.
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//@optimized O(1) per bar via running sum circular buffer for RMS
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eeo(series float source, simple int bandEdge) =>
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if bandEdge < 2
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runtime.error("BandEdge must be at least 2")
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float price = nz(source)
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// --- 2-bar momentum (derivative) ---
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float deriv = price - nz(source[2])
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// --- Rolling RMS of derivative over 50 bars ---
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var array<float> buf = array.new_float(50, 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 deriv_sq = deriv * deriv
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float old_sq = array.get(buf, head)
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array.set(buf, head, deriv_sq)
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sum_sq := sum_sq - old_sq + deriv_sq
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head := (head + 1) % 50
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float rms = math.sqrt(math.max(sum_sq / 50.0, 1e-10))
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// --- Normalize derivative by RMS ---
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float nDeriv = rms > 1e-10 ? deriv / rms : 0.0
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// --- Inverse Fisher Transform (tanh) ---
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float e2n = math.exp(2.0 * nDeriv)
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float iFish = (e2n - 1.0) / (e2n + 1.0)
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// --- Super Smoother coefficients (2-pole Butterworth at BandEdge) ---
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float a1 = math.exp(-1.414 * math.pi / bandEdge)
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float b1 = 2.0 * a1 * math.cos(1.414 * 180.0 / bandEdge)
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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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// --- 2-pole Super Smoother filter ---
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var float ss = 0.0
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var float ss1 = 0.0
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var float ss2 = 0.0
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float iFish1 = nz(iFish[1])
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ss2 := ss1
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ss1 := ss
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ss := c1 * 0.5 * (iFish + iFish1) + c2 * ss1 + c3 * ss2
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ss
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// ── Inputs ──
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int p_bandEdge = input.int(20, "BandEdge", minval = 2)
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float p_src = input.source(close, "Source")
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// ── Calculation ──
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float out = eeo(p_src, p_bandEdge)
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// ── Plot ──
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plot(out, "EEO", color.yellow, 2)
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hline(0, "Zero", color.gray)
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hline(0.5, "+0.5", color.new(color.red, 60))
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hline(-0.5, "-0.5", color.new(color.green, 60))
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