Module: Quant::Mixins::SuperSmoother

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

Instance Method Summary collapse

Instance Method Details

#ss3p(source, prev_source, ssperiod) ⇒ Object

super smoother 3 pole



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# File 'lib/quant/mixins/super_smoother.rb', line 62

def ss3p(source, prev_source, ssperiod)
  p0 = points[-1]
  p1 = points[-2] || p0
  p2 = points[-3] || p1
  p3 = points[-4] || p2

  v0 = source.is_a?(Symbol) ? p0.send(source) : source
  return v0 if p0 == p3

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

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

  v1 = p1.send(prev_source)
  v2 = p2.send(prev_source)
  v3 = p3.send(prev_source)
  (coef1 * v0) + (coef2 * v1) + (coef3 * v2) + (coef4 * v3)
end

#super_smoother(source, prev_source, period) ⇒ Object 



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

def super_smoother(source, prev_source, period)
  v0 = (source.is_a?(Symbol) ? p0.send(source) : source).to_d
  return v0.to_f if points.size < 4

  k = Math.exp(-Math.sqrt(2) * Math::PI / period)
  coef3 = -k**2
  coef2 = 2.0 * k * Math.cos(Math.sqrt(2) * (Math::PI / 2) / period)
  coef1 = 1.0 - coef2 - coef3

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

#three_pole_super_smooth(source, prev_source, ssperiod) ⇒ Object 



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# File 'lib/quant/mixins/super_smoother.rb', line 37

def three_pole_super_smooth(source, prev_source, ssperiod)
  a1 = Math.exp(-Math::PI / ssperiod)
  b1 = 2 * a1 * Math.cos(Math::PI * Math.sqrt(3) / ssperiod)
  c1 = a1**2

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

  p0 = prev(0)
  p1 = prev(1)
  p2 = prev(2)
  p3 = prev(3)

  v0 = source.is_a?(Symbol) ? p0.send(source) : source
  return v0 if [p0, p1, p2].include?(p3)

  v1 = p1.send(prev_source)
  v2 = p2.send(prev_source)
  v3 = p3.send(prev_source)
  (coef1 * v0) + (coef2 * v1) + (coef3 * v2) + (coef4 * v3)
end

#two_pole_super_smooth(source, prev_source, ssperiod) ⇒ Object 



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# File 'lib/quant/mixins/super_smoother.rb', line 21

def two_pole_super_smooth(source, prev_source, ssperiod)
  return p1.send(source) if [p1 == p3]

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

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

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