QuanTAlib/lib/dynamics/ht_trendmode/ht_trendmode.pine

// Licensed under the Apache License, Version 2.0
// © mihakralj
//@version=6
indicator("Ehlers Hilbert Transform Trend vs Cycle Mode (HT_TRENDMODE)", "HT_TRENDMODE", overlay=false)

//@function Determines if market is in trend mode (1) or cycle mode (0) using TA-Lib's Ehlers algorithm
//@param source Series to analyze for trend/cycle state
//@returns 1 for trend mode, 0 for cycle mode
ht_trendmode(series float source) =>
    // Constants
    var float A_CONST = 0.0962
    var float B_CONST = 0.5769
    var float RAD2DEG = 180.0 / math.pi
    var float DEG2RAD = math.pi / 180.0

    // State variables
    var float smooth_price = 0.0
    var float detrender = 0.0
    var float i1 = 0.0
    var float q1 = 0.0
    var float ji = 0.0
    var float jq = 0.0
    var float i2 = 0.0
    var float q2 = 0.0
    var float re = 0.0
    var float im = 0.0
    var float period = 15.0
    var float smooth_period = 15.0
    var float dc_phase = 0.0
    var float prev_dc_phase = 0.0
    var float sine = 0.0
    var float lead_sine = 0.0
    var float prev_sine = 0.0
    var float prev_lead_sine = 0.0
    var float trendline = 0.0
    var float i_trend_1 = 0.0
    var float i_trend_2 = 0.0
    var float i_trend_3 = 0.0
    var int days_in_trend = 0
    var int trend_mode = 0

    float price = nz(source)
    float bandwidth = 0.075 * smooth_period + 0.54

    // Smoothed price (WMA-like)
    smooth_price := (4.0 * price + 3.0 * nz(price[1]) + 2.0 * nz(price[2]) + nz(price[3])) / 10.0

    // Hilbert Transform
    detrender := (A_CONST * smooth_price + B_CONST * nz(smooth_price[2]) - B_CONST * nz(smooth_price[4]) - A_CONST * nz(smooth_price[6])) * bandwidth
    q1 := (A_CONST * detrender + B_CONST * nz(detrender[2]) - B_CONST * nz(detrender[4]) - A_CONST * nz(detrender[6])) * bandwidth
    i1 := nz(detrender[3])
    ji := (A_CONST * i1 + B_CONST * nz(i1[2]) - B_CONST * nz(i1[4]) - A_CONST * nz(i1[6])) * bandwidth
    jq := (A_CONST * q1 + B_CONST * nz(q1[2]) - B_CONST * nz(q1[4]) - A_CONST * nz(q1[6])) * bandwidth

    // Phasor rotation
    i2 := i1 - jq
    q2 := q1 + ji
    i2 := 0.2 * i2 + 0.8 * nz(i2[1])
    q2 := 0.2 * q2 + 0.8 * nz(q2[1])

    // Re/Im calculation
    re := i2 * nz(i2[1]) + q2 * nz(q2[1])
    im := i2 * nz(q2[1]) - q2 * nz(i2[1])
    re := 0.2 * re + 0.8 * nz(re[1])
    im := 0.2 * im + 0.8 * nz(im[1])

    // Period calculation
    float temp_period = period
    if math.abs(im) > 1e-10 and math.abs(re) > 1e-10
        period := 360.0 / (math.atan(im / re) * RAD2DEG)
    
    // Clamp period to 1.5x and 0.67x of previous
    if period > 1.5 * temp_period
        period := 1.5 * temp_period
    if period < 0.67 * temp_period
        period := 0.67 * temp_period
    period := math.max(6.0, math.min(50.0, period))
    period := 0.2 * period + 0.8 * temp_period

    smooth_period := 0.33 * period + 0.67 * smooth_period

    // DC Phase calculation
    prev_dc_phase := dc_phase
    int dc_period_int = int(smooth_period + 0.5)

    float real_part = 0.0
    float imag_part = 0.0
    for i = 0 to dc_period_int - 1
        float angle = (float(i) * 360.0 / float(dc_period_int)) * DEG2RAD
        real_part += math.sin(angle) * nz(smooth_price[i])
        imag_part += math.cos(angle) * nz(smooth_price[i])

    if math.abs(imag_part) > 0.0
        dc_phase := math.atan(real_part / imag_part) * RAD2DEG
    else if math.abs(imag_part) <= 0.01
        if real_part < 0.0
            dc_phase := dc_phase - 90.0
        else if real_part > 0.0
            dc_phase := dc_phase + 90.0

    dc_phase += 90.0
    dc_phase += 360.0 / smooth_period  // Lag compensation
    if imag_part < 0.0
        dc_phase += 180.0
    if dc_phase > 315.0
        dc_phase -= 360.0

    // Sine and LeadSine
    prev_sine := sine
    prev_lead_sine := lead_sine
    sine := math.sin(dc_phase * DEG2RAD)
    lead_sine := math.sin((dc_phase + 45.0) * DEG2RAD)

    // Trendline calculation (SMA over cycle, then WMA smoothing)
    float sum_price = 0.0
    for i = 0 to dc_period_int - 1
        sum_price += nz(source[i])
    float sma_value = dc_period_int > 0 ? sum_price / float(dc_period_int) : price
    trendline := (4.0 * sma_value + 3.0 * i_trend_1 + 2.0 * i_trend_2 + i_trend_3) / 10.0
    i_trend_3 := i_trend_2
    i_trend_2 := i_trend_1
    i_trend_1 := sma_value

    // ==========================================
    // Trend Mode Decision (TA-Lib Algorithm)
    // ==========================================
    int trend = 1  // Assume trend by default

    // Criterion 1: SineWave crossing resets counter
    bool sine_crosses = ((sine > lead_sine) and (prev_sine <= prev_lead_sine)) or
                        ((sine < lead_sine) and (prev_sine >= prev_lead_sine))
    if sine_crosses
        days_in_trend := 0
        trend := 0

    days_in_trend += 1

    // Criterion 2: Must be trending for at least half the smooth period
    if days_in_trend < int(0.5 * smooth_period)
        trend := 0

    // Criterion 3: Phase rate check (normal rate → cycle mode)
    float phase_change = dc_phase - prev_dc_phase
    if smooth_period > 0.0
        float expected_change = 360.0 / smooth_period
        if (phase_change > 0.67 * expected_change) and (phase_change < 1.5 * expected_change)
            trend := 0

    // Criterion 4: Price-trendline deviation override (≥1.5% → trend)
    if math.abs(trendline) > 1e-10
        if math.abs((smooth_price - trendline) / trendline) >= 0.015
            trend := 1

    trend_mode := trend
    trend_mode

// ---------- Main loop ----------

// Inputs
i_source = input.source(hlc3, "Source")

// Calculation
trendmode = ht_trendmode(i_source)

// Plot
plot(trendmode, "Trend Mode", color=trendmode == 1 ? color.green : color.red, linewidth=3, style=plot.style_stepline)