mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-08-17 01:58:06 +00:00
Miha Kralj
26280ce80b
- Implemented ChopIndicator for Quantower with configurable period and cold value display. - Created Chop class for calculating the Choppiness Index with detailed documentation. - Added comprehensive unit tests for Chop functionality, covering various market conditions and edge cases. - Developed markdown documentation for CHOP, detailing its historical context, mathematical foundation, and usage examples. - Established a remediation plan for channel indicators documentation, identifying gaps and prioritizing updates.
150 lines
4.1 KiB
Markdown
150 lines
4.1 KiB
Markdown
# SSFDSP: SSF-Based Detrended Synthetic Price
|
||
|
||
> "The Super-Smoother filter provides Butterworth-quality noise rejection—combine two of them and you isolate cycles with surgical precision."
|
||
|
||
The SSF-Based Detrended Synthetic Price (SSFDSP) is an advanced oscillator by John Ehlers. It creates a synthetic, detrended price series by subtracting a half-cycle Super-Smoother from a quarter-cycle Super-Smoother, providing superior noise rejection and reduced lag compared to EMA-based DSP.
|
||
|
||
## Historical Context
|
||
|
||
Ehlers introduced the concept of "Synthetic Price" to remove the DC (trend) component from market data, isolating cyclic energy. While earlier versions used EMAs, the SSF variant exploits the 2-pole Butterworth characteristics of the Super-Smoother Filter to achieve cleaner separation between trend and cycle.
|
||
|
||
The SSF provides zero phase lag at the cutoff frequency, making it ideal for cycle isolation in noisy market data.
|
||
|
||
## Architecture & Physics
|
||
|
||
The indicator computes the difference between two Super-Smoother filters tuned to fractions of the dominant cycle period.
|
||
|
||
### 1. Filter Periods
|
||
|
||
$$
|
||
P_{fast} = \max(2, \text{round}(P / 4))
|
||
$$
|
||
|
||
$$
|
||
P_{slow} = \max(3, \text{round}(P / 2))
|
||
$$
|
||
|
||
### 2. Super-Smoother Coefficients
|
||
|
||
$$
|
||
\alpha = \frac{\pi\sqrt{2}}{period}
|
||
$$
|
||
|
||
$$
|
||
c_2 = 2e^{-\alpha}\cos(\alpha)
|
||
$$
|
||
|
||
$$
|
||
c_3 = -e^{-2\alpha}
|
||
$$
|
||
|
||
$$
|
||
c_1 = 1 - c_2 - c_3
|
||
$$
|
||
|
||
### 3. SSF Recursion
|
||
|
||
$$
|
||
SSF_t = c_1 \cdot \frac{P_t + P_{t-1}}{2} + c_2 \cdot SSF_{t-1} + c_3 \cdot SSF_{t-2}
|
||
$$
|
||
|
||
### 4. SSFDSP Output
|
||
|
||
$$
|
||
SSFDSP = SSF_{fast} - SSF_{slow}
|
||
$$
|
||
|
||
## Performance Profile
|
||
|
||
### Operation Count (Streaming Mode, per Bar)
|
||
|
||
| Operation | Count | Cost (cycles) | Subtotal |
|
||
| :--- | :---: | :---: | :---: |
|
||
| FMA (SSF updates) | 4 | 4 | 16 |
|
||
| MUL (coefficients) | 2 | 3 | 6 |
|
||
| ADD/SUB (input avg, output) | 3 | 1 | 3 |
|
||
| **Total** | **9** | — | **~25 cycles** |
|
||
|
||
### Complexity Analysis
|
||
|
||
- **Streaming:** O(1) per bar—fixed 2-pole IIR filters
|
||
- **Memory:** O(1)—only filter state variables
|
||
- **Warmup:** ~2 × slow period for convergence
|
||
- **Note:** Recursive dependencies prevent SIMD vectorization
|
||
|
||
## Validation
|
||
|
||
| Library | Status | Notes |
|
||
| :--- | :---: | :--- |
|
||
| TA-Lib | N/A | Not standard |
|
||
| Skender | N/A | Not standard |
|
||
| PineScript | ✅ | Matches Ehlers' reference logic |
|
||
|
||
## Usage & Pitfalls
|
||
|
||
- **Oscillates around zero**—positive values indicate bullish cycle phase
|
||
- **Zero crossings** signal cycle phase changes—entry points in direction of cross
|
||
- **Period mismatch** degrades amplitude and phase accuracy
|
||
- **Smoother than EMA-DSP** with sharper turning points
|
||
- **Divergence** (price highs vs DSP highs) indicates trend exhaustion
|
||
- **Pre-smooth input** for extremely noisy data
|
||
|
||
## API
|
||
|
||
```mermaid
|
||
classDiagram
|
||
class Ssfdsp {
|
||
+int Period
|
||
+double Value
|
||
+bool IsHot
|
||
+Ssfdsp(int period)
|
||
+Ssfdsp(ITValuePublisher source, int period)
|
||
+TValue Update(TValue input, bool isNew)
|
||
+void Reset()
|
||
}
|
||
```
|
||
|
||
### Class: `Ssfdsp`
|
||
|
||
| Parameter | Type | Default | Range | Description |
|
||
| :--- | :--- | :--- | :--- | :--- |
|
||
| `period` | `int` | `40` | `≥4` | Expected dominant cycle period |
|
||
|
||
### Properties
|
||
|
||
- `Value` (`double`): The current SSFDSP value (oscillates around 0)
|
||
- `IsHot` (`bool`): Returns `true` when warmup is complete
|
||
|
||
### Methods
|
||
|
||
- `Update(TValue input, bool isNew)`: Updates the indicator with a new data point
|
||
|
||
## C# Example
|
||
|
||
```csharp
|
||
using QuanTAlib;
|
||
|
||
// Initialize with a 40-bar dominant cycle assumption
|
||
var ssfdsp = new Ssfdsp(period: 40);
|
||
|
||
// Update with streaming data
|
||
foreach (var bar in quotes)
|
||
{
|
||
var result = ssfdsp.Update(new TValue(bar.Date, bar.Close));
|
||
|
||
if (ssfdsp.IsHot)
|
||
{
|
||
Console.WriteLine($"{bar.Date}: SSF-DSP = {result.Value:F4}");
|
||
|
||
// Zero crossing detection
|
||
if (result.Value > 0 && ssfdsp.Previous.Value <= 0)
|
||
Console.WriteLine(" → Bullish cycle phase");
|
||
else if (result.Value < 0 && ssfdsp.Previous.Value >= 0)
|
||
Console.WriteLine(" → Bearish cycle phase");
|
||
}
|
||
}
|
||
|
||
// Batch calculation
|
||
var output = Ssfdsp.Calculate(sourceSeries, period: 40);
|
||
```
|