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https://github.com/mihakralj/QuanTAlib.git
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Miha Kralj
35a6702b06
Deep review of all indicator categories verified .md headers against .cs WarmupPeriod, parameters, inputs, and outputs. Fixes include warmup corrections, parameter documentation, output type accuracy, and Pine Script alignment.
51 lines
1.7 KiB
Plaintext
51 lines
1.7 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 algorithm (C) 2004-2024 John F. Ehlers
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indicator("Ehlers Decycler (DECYCLER)", "DECYCLER", overlay=true)
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//@function Calculates Ehlers Decycler by subtracting a 2-pole Butterworth high-pass filter from price
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//@param source Series to calculate Decycler from
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//@param period Cutoff period for the high-pass filter (>= 1)
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//@returns Decycler value (source minus high-pass filtered component)
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//@optimized Uses 2-pole Butterworth HP with O(1) complexity per bar
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decycler(series float source, simple int period) =>
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float src = na(source) ? 0.0 : source
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// Butterworth 2-pole HP coefficient: alpha = (cos(x) + sin(x) - 1) / cos(x)
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// where x = 0.707 * 2pi / period
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float arg = 0.707 * 2.0 * math.pi / period
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float alpha = (math.cos(arg) + math.sin(arg) - 1.0) / math.cos(arg)
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float omah = 1.0 - alpha * 0.5
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float oma = 1.0 - alpha
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float a1 = omah * omah
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float b1 = 2.0 * oma
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float c1 = -(oma * oma)
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// 2-pole HP: HP[n] = a1*(x - 2*x[1] + x[2]) + b1*HP[1] + c1*HP[2]
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float diff_src = nz(src) - 2.0 * nz(src[1]) + nz(src[2])
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var float hp = 0.0
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var float hp1 = 0.0
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float new_hp = bar_index < 2 ? 0.0 : a1 * diff_src + b1 * hp + c1 * hp1
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hp1 := hp
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hp := new_hp
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// Decycler = price - high-pass
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na(source) ? na : src - new_hp
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// ---------- Main loop ----------
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// Inputs
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i_period = input.int(60, "Period", minval=1, tooltip="Cutoff period for the high-pass filter")
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i_source = input.source(close, "Source")
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// Calculation
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decycler_value = decycler(i_source, i_period)
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// Plot
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plot(decycler_value, "DECYCLER", color=color.yellow, linewidth=2)
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