Class: Quant::Indicators::DominantCycles::BandPass

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

Overview

The band-pass dominant cycle passes signals within a certain frequency range, and attenuates signals outside that range. The trend component of the signal is revoved, leaving only the cyclical component. Then we count number of iterations between zero crossings and this is the ‘period` of the dominant cycle.

Constant Summary

Constants inherited from Indicator

Indicator::PRIORITIES

Constants included from Mixins::UniversalFilters

Mixins::UniversalFilters::K

Instance Attribute Summary

Attributes inherited from DominantCycle

#points

Attributes inherited from Indicator

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

Instance Method Summary collapse

Methods inherited from DominantCycle

#compute_input_data_points, #compute_mean_period, #compute_phase, #compute_quadrature_components, #compute_smooth_period, #constrain_period_bars, #constrain_period_magnitude_change, #dominant_cycle_indicator_class, #dominant_cycle_period, #points_class, #priority

Methods inherited from Indicator

#<<, #[], #dc_period, dependent_indicator_classes, depends_on, #dominant_cycle, #dominant_cycle_indicator_class, #dominant_cycle_kind, #each, #half_period, #indicator_name, #initialize, #input, #inspect, #max_period, #micro_period, #min_period, #p, #period_points, #pivot_kind, #points_class, #priority, #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

#bandwidth ⇒ Object 



23
24
25
 
# File 'lib/quant/indicators/dominant_cycles/band_pass.rb', line 23

def bandwidth
  0.75
end

#compute ⇒ Object 



77
78
79
80
81
 
# File 'lib/quant/indicators/dominant_cycles/band_pass.rb', line 77

def compute
  compute_high_pass
  compute_band_pass
  compute_period
end

#compute_band_pass ⇒ Object 



51
52
53
54
55
56
57
58
59
60
61
 
# File 'lib/quant/indicators/dominant_cycles/band_pass.rb', line 51

def compute_band_pass
  radians = deg2rad(360.0 / max_period)
  beta = Math.cos(radians)
  gamma = 1.0 / Math.cos(bandwidth * radians)
  alpha = gamma - Math.sqrt(gamma**2 - 1.0)

  a = 0.5 * (1 - alpha) * (p0.hp - p2.hp)
  b = beta * (1 + alpha) * p1.bp
  c = alpha * p2.bp
  p0.bp = a + b - c
end

#compute_high_pass ⇒ Object

Peak = .991*Peak; If AbsValue(BP) > If Peak <> 0 Then DC = DC; If DC < 6 Then DC counter = counter If Real Crosses Over 0 or Real Crosses Under 0 Then Begin

DC = 2*counter;
If 2*counter > 1.25*DC[1] Then DC = 1.25*DC[1];
If 2*counter < .8*DC[1] Then DC = .8*DC[1];
counter = 0;

End;



46
47
48
49
 
# File 'lib/quant/indicators/dominant_cycles/band_pass.rb', line 46

def compute_high_pass
  alpha = period_to_alpha(max_period, k: 0.25 * bandwidth)
  p0.hp = (1 + alpha / 2) * (p0.input - p1.input) + (1 - alpha) * p1.hp
end

#compute_period ⇒ Object 



63
64
65
66
67
68
69
70
71
72
73
74
75
 
# File 'lib/quant/indicators/dominant_cycles/band_pass.rb', line 63

def compute_period
  p0.peak = [0.991 * p1.peak, p0.bp.abs].max
  p0.real = p0.bp / p0.peak unless p0.peak.zero?
  p0.counter = p1.counter + 1
  p0.period = [p1.period, min_period].max.to_i
  p0.crosses = (p0.real > 0.0 && p1.real < 0.0) || (p0.real < 0.0 && p1.real > 0.0)
  if (p0.real >= 0.0 && p1.real < 0.0) || (p0.real <= 0.0 && p1.real > 0.0)
    p0.period = [2 * p0.counter, 1.25 * p1.period].min.to_i
    p0.period = [p0.period, 0.8 * p1.period].max.to_i
    p0.counter = 0
  end
  p0.direction = p0.real > (p1.real + p2.real + p3.real) / 3.0 ? :up : :down
end