Module: Quant::Mixins::SuperSmoother

Defined in:
lib/quant/mixins/super_smoother.rb

Instance Method Summary collapse

Instance Method Details

#three_pole_super_smooth(source, period:, previous: :ss) ⇒ Object Also known as: ss3p

Raises:

  • (ArgumentError) 


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# File 'lib/quant/mixins/super_smoother.rb', line 24

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

  a1 = Math.exp(-Math::PI / period)
  b1 = 2 * a1 * Math.cos(Math::PI * Math.sqrt(3) / period)
  c1 = a1**2

  coef2 = b1 + c1
  coef3 = -(c1 + b1 * c1)
  coef4 = c1**2
  coef1 = 1 - coef2 - coef3 - coef4

  v0 = p0.send(source)
  v1 = p1.send(previous)
  v2 = p2.send(previous)
  v3 = p3.send(previous)

  (coef1 * v0) + (coef2 * v1) + (coef3 * v2) + (coef4 * v3)
end

#two_pole_super_smooth(source, period:, previous: :ss) ⇒ Object Also known as: super_smoother, ss2p

Raises:

  • (ArgumentError) 


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# File 'lib/quant/mixins/super_smoother.rb', line 6

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

  radians = Math::PI * Math.sqrt(2) / period
  a1 = Math.exp(-radians)

  coef2 = 2.0 * a1 * Math.cos(radians)
  coef3 = -a1 * a1
  coef1 = 1.0 - coef2 - coef3

  v0 = (p0.send(source) + p1.send(source)) / 2.0
  v1 = p2.send(previous)
  v2 = p3.send(previous)
  ((coef1 * v0) + (coef2 * v1) + (coef3 * v2)).to_f
end