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https://github.com/mihakralj/QuanTAlib.git
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Miha Kralj
3dd05f23e4
- Updated the name and description of the Hilbert Trendline (HTIT) to "Ehlers Hilbert Transform Instantaneous Trend (HTIT)". - Changed the name and description of the MESA Adaptive Moving Average (MAMA) to "Ehlers MESA Adaptive Moving Average". - Modified the Center of Gravity (CG) indicator to "Ehlers Center of Gravity (CG)". - Renamed the Detrended Synthetic Price (DSP) to "Ehlers Detrended Synthetic Price (DSP)". - Updated the Autocorrelation Periodogram (EACP) to "Ehlers Autocorrelation Periodogram (EACP)". - Changed the Homodyne Discriminator (HOMOD) to "Ehlers Homodyne Discriminator (HOMOD)". - Updated the Hilbert Transform Dominant Cycle Period and Phase indicators to include "Ehlers" in their names. - Renamed the Hilbert Transform Phasor Components to "Ehlers Hilbert Transform Phasor Components (HT_PHASOR)". - Updated the SineWave indicator to "Ehlers Hilbert Transform SineWave (HT_SINE)". - Changed the Phasor Analysis indicator to "Ehlers Hilbert Transform Phasor Components (HT_PHASOR)". - Updated the SSF-Based Detrended Synthetic Price to "Ehlers SSF Detrended Synthetic Price (SSFDSP)". - Renamed the Ultimate Channel to "Ehlers Ultimate Channel (UCHANNEL)". - Added new indicators: Moving Average Variable Period (MAVP), Ehlers Predictive Moving Average (PMA), Ehlers Reverse EMA (REVERSEEMA), and Ehlers Trendflex Indicator (TRENDFLEX). - Updated various SVG badges to reflect changes in classes, comments, source files, lines of code, methods, and public types.
53 lines
1.7 KiB
Plaintext
53 lines
1.7 KiB
Plaintext
// The MIT License (MIT)
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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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if period <= 0
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runtime.error("Period must be positive")
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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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