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https://github.com/mihakralj/QuanTAlib.git
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Miha Kralj
86fe32a682
Co-authored-by: Claude Opus 4.5 <noreply@anthropic.com> Co-authored-by: aider (openrouter/anthropic/claude-sonnet-4) <aider@aider.chat> Co-authored-by: Warp <agent@warp.dev>
51 lines
1.9 KiB
Plaintext
51 lines
1.9 KiB
Plaintext
// The MIT License (MIT)
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// © mihakralj
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//@version=6
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indicator("Detrended Synthetic Price (DSP)", "DSP", overlay=false)
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//@function Calculates Detrended Synthetic Price using Ehlers dual-EMA algorithm
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//@param source Series to detrend
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//@param period Dominant cycle period for quarter/half-cycle EMA calculation
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//@returns Detrended synthetic price (difference between quarter-cycle and half-cycle EMAs)
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dsp(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 alpha_fast = 2.0 / (fast_period + 1)
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float alpha_slow = 2.0 / (slow_period + 1)
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var float ema_fast_raw = 0.0
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var float ema_slow_raw = 0.0
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float current = nz(source)
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ema_fast_raw += alpha_fast * (current - ema_fast_raw)
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ema_slow_raw += alpha_slow * (current - ema_slow_raw)
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var bool warmup = true
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var float e_fast = 1.0
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var float e_slow = 1.0
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float ema_fast = ema_fast_raw
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float ema_slow = ema_slow_raw
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if warmup
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e_fast *= (1.0 - alpha_fast)
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e_slow *= (1.0 - alpha_slow)
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float c_fast = 1.0 / (1.0 - e_fast)
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float c_slow = 1.0 / (1.0 - e_slow)
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ema_fast := c_fast * ema_fast_raw
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ema_slow := c_slow * ema_slow_raw
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warmup := e_fast > 1e-10 or e_slow > 1e-10
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// Return difference (detrended synthetic price)
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ema_fast - ema_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, tooltip="Dominant cycle period. Quarter-cycle and half-cycle EMAs calculated from this value.")
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// Calculation
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dsp_val = dsp(i_source, i_period)
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// Plot
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plot(dsp_val, "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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