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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.
70 lines
2.4 KiB
Plaintext
70 lines
2.4 KiB
Plaintext
// The MIT License (MIT)
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// © mihakralj
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//@version=6
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// Indicator algorithm (C) 2013 John F. Ehlers
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indicator(" Ehlers Trendflex Indicator (TRENDFLEX)", "TRENDFLEX", overlay=false)
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//@function Calculates Ehlers Trendflex using SuperSmoother pre-filtering and cumulative slope with RMS normalization
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//@param source Series to calculate Trendflex from
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//@param period Lookback period for trend measurement (>= 1)
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//@returns Normalized Trendflex value centered around zero
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//@optimized Uses O(1) running sum for cumulative slope instead of O(N) loop, with RMS normalization
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trendflex(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 = nz(source)
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// SuperSmoother (2-pole Butterworth lowpass) coefficients
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float halfPeriod = period * 0.5
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float a1 = math.exp(-1.414 * math.pi / halfPeriod)
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float b1 = 2.0 * a1 * math.cos(1.414 * math.pi / halfPeriod)
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float c2 = b1
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float c3 = -(a1 * a1)
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float c1 = 1.0 - c2 - c3
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// SuperSmoother filter state
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var float filt = 0.0
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var float filt1 = 0.0
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float new_filt = bar_index < 2 ? src : c1 * (src + nz(src[1])) * 0.5 + c2 * filt + c3 * filt1
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filt1 := filt
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filt := new_filt
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// O(1) cumulative slope via circular buffer and running sum
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// Sum = Σ(Filt - Filt[i]) for i=1..N = N × Filt - Σ(Filt[i])
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var array<float> buf = array.new_float(period, 0.0)
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var int head = 0
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var float running_sum = 0.0
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var int count = 0
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int n = math.min(count, period)
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float slope_sum = n > 0 ? (n * new_filt - running_sum) / period : 0.0
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float oldest = array.get(buf, head)
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running_sum -= oldest
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running_sum += new_filt
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array.set(buf, head, new_filt)
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head := (head + 1) % period
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if count < period
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count += 1
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// RMS normalization via exponential mean-square
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var float ms = 0.0
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ms := 0.04 * slope_sum * slope_sum + 0.96 * ms
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float result = ms > 0 ? slope_sum / math.sqrt(ms) : 0.0
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na(source) ? na : result
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// ---------- Main loop ----------
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// Inputs
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i_period = input.int(20, "Period", minval=1, tooltip="Lookback period for trend measurement")
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i_source = input.source(close, "Source")
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// Calculation
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trendflex_value = trendflex(i_source, i_period)
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// Plot
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plot(trendflex_value, "TRENDFLEX", color=color.yellow, linewidth=2)
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hline(0, "Zero", color=color.gray, linestyle=hline.style_dotted)
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