Class: Quant::Indicators::DominantCycles::Differential

Inherits:
DominantCycle show all
Defined in:
lib/quant/indicators/dominant_cycles/differential.rb

Overview

The Dual Differentiator algorithm computes the phase angle from the analytic signal as the arctangent of the ratio of the imaginary component to the real compo- nent. Further, the angular frequency is defined as the rate change of phase. We can use these facts to derive the cycle period.

Constant Summary

Constants included from Mixins::UniversalFilters

Mixins::UniversalFilters::K

Instance Attribute Summary

Attributes inherited from Indicator

#p0, #p1, #p2, #p3, #series, #source, #t0, #t1, #t2, #t3

Instance Method Summary collapse

Methods inherited from DominantCycle

#compute, #compute_input_data_points, #compute_mean_period, #compute_phase, #compute_quadrature_components, #compute_smooth_period, #constrain_period_bars, #constrain_period_magnitude_change, #dominant_cycle_period, #period_points, #points_class

Methods inherited from Indicator

#<<, #[], #compute, #dominant_cycle_kind, #each, #half_period, #indicator_name, #initialize, #input, #inspect, #max_period, #micro_period, #min_period, #p, #pivot_kind, #points_class, #size, #t, #ticks, #values

Methods included from Mixins::FisherTransform

#fisher_transform, #inverse_fisher_transform, #relative_fisher_transform

Methods included from Mixins::Stochastic

#stochastic

Methods included from Mixins::SuperSmoother

#three_pole_super_smooth, #two_pole_super_smooth

Methods included from Mixins::HilbertTransform

#hilbert_transform

Methods included from Mixins::ExponentialMovingAverage

#exponential_moving_average

Methods included from Mixins::SimpleMovingAverage

#simple_moving_average

Methods included from Mixins::WeightedMovingAverage

#extended_weighted_moving_average, #weighted_moving_average

Methods included from Mixins::UniversalFilters

#universal_band_pass, #universal_ema, #universal_filter, #universal_one_pole_high_pass, #universal_one_pole_low_pass, #universal_two_pole_high_pass, #universal_two_pole_low_pass

Methods included from Mixins::ButterworthFilters

#three_pole_butterworth, #two_pole_butterworth

Methods included from Mixins::HighPassFilters

#high_pass_filter, #hpf2, #two_pole_high_pass_filter

Methods included from Mixins::Functions

#angle, #bars_to_alpha, #deg2rad, #period_to_alpha, #rad2deg

Constructor Details

This class inherits a constructor from Quant::Indicators::Indicator

Instance Method Details

#compute_period ⇒ Object 



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# File 'lib/quant/indicators/dominant_cycles/differential.rb', line 8

def compute_period
  p0.ddd = (p0.q2 * (p0.i2 - p1.i2)) - (p0.i2 * (p0.q2 - p1.q2))
  p0.inst_period = p0.ddd > 0.01 ? 6.2832 * (p0.i2**2 + p0.q2**2) / p0.ddd : 0.0

  constrain_period_magnitude_change
  constrain_period_bars
  p0.period = p0.inst_period.round(0).to_i
end