mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-07-27 17:27:43 +00:00
Miha Kralj
64 lines
2.5 KiB
Plaintext
64 lines
2.5 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 SSF Detrended Synthetic Price (SSFDSP)", "SSF-DSP", overlay=false)
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//@function Calculates SSF-based Detrended Synthetic Price using dual Super Smooth Filters
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//@param source Series to detrend
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//@param period Dominant cycle period for quarter/half-cycle SSF calculation
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//@returns Detrended synthetic price (difference between quarter-cycle and half-cycle SSFs)
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ssfdsp(series float source, simple int period) =>
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if period <= 0
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runtime.error("Period must be greater than 0")
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int fast_period = math.max(2, int(math.round(period / 4.0)))
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int slow_period = math.max(3, int(math.round(period / 2.0)))
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float SQRT2_PI = math.sqrt(2.0) * math.pi
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float arg_fast = SQRT2_PI / float(fast_period)
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float exp_fast = math.exp(-arg_fast)
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float c2_fast = 2.0 * exp_fast * math.cos(arg_fast)
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float c3_fast = -exp_fast * exp_fast
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float c1_fast = 1.0 - c2_fast - c3_fast
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float arg_slow = SQRT2_PI / float(slow_period)
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float exp_slow = math.exp(-arg_slow)
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float c2_slow = 2.0 * exp_slow * math.cos(arg_slow)
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float c3_slow = -exp_slow * exp_slow
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float c1_slow = 1.0 - c2_slow - c3_slow
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var float ssf_fast_1 = 0.0
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var float ssf_fast_2 = 0.0
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var int prev_fast_period = 0
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var float ssf_slow_1 = 0.0
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var float ssf_slow_2 = 0.0
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var int prev_slow_period = 0
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float current = nz(source)
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float src_1 = nz(source[1], current)
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float input = (current + src_1) * 0.5
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if prev_fast_period != fast_period
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ssf_fast_1 := input
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ssf_fast_2 := input
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prev_fast_period := fast_period
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if prev_slow_period != slow_period
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ssf_slow_1 := input
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ssf_slow_2 := input
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prev_slow_period := slow_period
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float ssf_fast = c1_fast * input + c2_fast * ssf_fast_1 + c3_fast * ssf_fast_2
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ssf_fast_2 := ssf_fast_1
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ssf_fast_1 := ssf_fast
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float ssf_slow = c1_slow * input + c2_slow * ssf_slow_1 + c3_slow * ssf_slow_2
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ssf_slow_2 := ssf_slow_1
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ssf_slow_1 := ssf_slow
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ssf_fast - ssf_slow
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// ---------- Main loop ----------
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// Inputs
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i_source = input.source(hlc3, "Source")
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i_period = input.int(40, "Dominant Cycle Period", minval=4, maxval=200,
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tooltip="Dominant cycle period. Quarter-cycle and half-cycle SSFs calculated from this value.")
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// Calculation
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ssfdsp_val = ssfdsp(i_source, i_period)
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// Plot
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plot(ssfdsp_val, "SSF-DSP", color=color.yellow, linewidth=2)
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hline(0, "Zero Line", color=color.gray, linestyle=hline.style_solid)
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