Module: Quant::Mixins::HighPassFilters

Included in:
Filters
Defined in:
lib/quant/mixins/high_pass_filters.rb

Instance Method Summary collapse

Instance Method Details

#high_pass_filter(source, period:, previous: :hp) ⇒ Object

alpha = (Cosine(.707* 2 * PI / 48) + Sine (.707*360 / 48) - 1) / Cosine(.707*360 / 48); is the same as the following: radians = Math.sqrt(2) * Math::PI / period alpha = (Math.cos(radians) + Math.sin(radians) - 1) / Math.cos(radians)

Raises:

  • (ArgumentError) 


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# File 'lib/quant/mixins/high_pass_filters.rb', line 35

def high_pass_filter(source, period:, previous: :hp)
  raise ArgumentError, "source must be a Symbol" unless source.is_a?(Symbol)

  v0 = p0.send(source)
  return v0 if p3 == p0

  v1 = p1.send(source)
  v2 = p2.send(source)

  radians = Math.sqrt(2) * Math::PI / period
  a = Math.exp(-radians)
  b = 2 * a * Math.cos(radians)

  c2 = b
  c3 = -a**2
  c1 = (1 + c2 - c3) / 4

  (c1 * (v0 - (2 * v1) + v2)) + (c2 * p1.hp) + (c3 * p2.hp)
end

#two_pole_high_pass_filter(source, prev_source, min_period, max_period = nil) ⇒ Object

HighPass Filters are “detrenders” because they attenuate low frequency components One pole HighPass and SuperSmoother does not produce a zero mean because low frequency spectral dilation components are “leaking” through The one pole HighPass Filter response



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# File 'lib/quant/mixins/high_pass_filters.rb', line 10

def two_pole_high_pass_filter(source, prev_source, min_period, max_period = nil)
  raise "source must be a symbol" unless source.is_a?(Symbol)
  return p0.send(source) if p0 == p2

  max_period ||= min_period * 2
  (min_period * Math.sqrt(2))
  max_radians = 2.0 * Math::PI / (max_period * Math.sqrt(2))

  v1 = p0.send(source) - (2.0 * p1.send(source)) + p2.send(source)
  v2 = p1.send(prev_source)
  v3 = p2.send(prev_source)

  alpha = period_to_alpha(max_radians)

  a = (1 - (alpha * 0.5))**2 * v1
  b = 2 * (1 - alpha) * v2
  c = (1 - alpha)**2 * v3

  a + b - c
end