30 lines
954 B
Rust
30 lines
954 B
Rust
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use super::common::{compute_ht_core, HT_LOOKBACK};
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use numpy::{IntoPyArray, PyArray1, PyReadonlyArray1};
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use pyo3::prelude::*;
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use std::f64::consts::PI;
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/// Hilbert Transform SineWave. Returns (sine, leadsine) where leadsine leads sine by 45°.
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#[pyfunction]
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#[allow(clippy::type_complexity)]
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pub fn ht_sine<'py>(
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py: Python<'py>,
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close: PyReadonlyArray1<'py, f64>,
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) -> PyResult<(Bound<'py, PyArray1<f64>>, Bound<'py, PyArray1<f64>>)> {
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let prices = close.as_slice()?;
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let n = prices.len();
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let core = compute_ht_core(prices);
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let mut sine = vec![f64::NAN; n];
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let mut lead_sine = vec![f64::NAN; n];
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for i in HT_LOOKBACK..n {
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if !core.dc_phase[i].is_nan() {
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let phase_rad = core.dc_phase[i] * PI / 180.0;
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sine[i] = phase_rad.sin();
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lead_sine[i] = (phase_rad + PI / 4.0).sin(); // 45-degree lead
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}
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}
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Ok((sine.into_pyarray(py), lead_sine.into_pyarray(py)))
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}
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