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Dominantcycle

DominantCycleCollection of Dominant Cycle estimators. Length adaptation used in the Adaptive Moving Averages and the Adaptive Oscillators try to follow price movements and accelerate/decelerate accordingly (usually quite rapidly with a huge range). Cycle estimators, on the other hand, try to measure the cycle period of the current market, which does not reflect price movement or the rate of change (the rate of change may also differ depending on the cycle phase, but the cycle period itself usually changes slowly). This collection may become encyclopaedic, so if you have any working cycle estimator, drop me a line in the comments below. Suggestions are welcome. Currently included estimators are based on the work of John F. Ehlers mamaPeriod(src, dynLow, dynHigh) MESA Adaptation - MAMA Cycle   Parameters:      src : Series to use      dynLow : Lower bound for the dynamic length      dynHigh : Upper bound for the dynamic length   Returns: Calculated period Based on MESA Adaptive Moving Average by John F. Ehlers Performs Hilbert Transform Homodyne Discriminator cycle measurement Unlike MAMA Alpha function (in LengthAdaptation library), this does not compute phase rate of change Introduced in the September 2001 issue of Stocks and Commodities Inspired by the @everget implementation: Inspired by the @anoojpatel implementation: paPeriod(src, dynLow, dynHigh, preHP, preSS, preHP) Pearson Autocorrelation   Parameters:      src : Series to use      dynLow : Lower bound for the dynamic length      dynHigh : Upper bound for the dynamic length      preHP : Use High Pass prefilter (default)      preSS : Use Super Smoother prefilter (default)      preHP : Use Hann Windowing prefilter   Returns: Calculated period Based on Pearson Autocorrelation Periodogram by John F. Ehlers Introduced in the September 2016 issue of Stocks and Commodities Inspired by the @blackcat1402 implementation: Inspired by the @rumpypumpydumpy implementation: Corrected many errors, and made small speed optimizations, so this could be the best implementation to date (still slow, though, so may revisit in future) High Pass and Super Smoother prefilters are used in the original implementation dftPeriod(src, dynLow, dynHigh, preHP, preSS, preHP) Discrete Fourier Transform   Parameters:      src : Series to use      dynLow : Lower bound for the dynamic length      dynHigh : Upper bound for the dynamic length      preHP : Use High Pass prefilter (default)      preSS : Use Super Smoother prefilter (default)      preHP : Use Hann Windowing prefilter   Returns: Calculated period Based on Spectrum from Discrete Fourier Transform by John F. Ehlers Inspired by the @blackcat1402 implementation: High Pass, Super Smoother and Hann Windowing prefilters are used in the original implementation phasePeriod(src, dynLow, dynHigh, preHP, preSS, preHP) Phase Accumulation   Parameters:      src : Series to use      dynLow : Lower bound for the dynamic length      dynHigh : Upper bound for the dynamic length      preHP : Use High Pass prefilter (default)      preSS : Use Super Smoother prefilter (default)      preHP : Use Hamm Windowing prefilter   Returns: Calculated period Based on Dominant Cycle from Phase Accumulation by John F. Ehlers High Pass and Super Smoother prefilters are used in the original implementation doAdapt(type, src, len, dynLow, dynHigh, chandeSDLen, chandeSmooth, chandePower, preHP, preSS, preHP) Execute a particular Length Adaptation or Dominant Cycle Estimator from the list   Parameters:      type : Length Adaptation or Dominant Cycle Estimator type to use      src : Series to use      len : Reference lookback length      dynLow : Lower bound for the dynamic length      dynHigh : Upper bound for the dynamic length      chandeSDLen : Lookback length of Standard deviation for Chande's Dynamic Length      chandeSmooth : Smoothing length of Standard deviation for Chande's Dynamic Length      chandePower : Exponent of the length adaptation for Chande's Dynamic Length (lower is smaller variation)      preHP : Use High Pass prefilter for the Estimators that support it (default)      preSS : Use Super Smoother prefilter for the Estimators that support it (default)      preHP : Use Hann Windowing prefilter for the Estimators that support it   Returns: Calculated period (float, not limited) doEstimate(type, src, dynLow, dynHigh, preHP, preSS, preHP) Execute a particular Dominant Cycle Estimator from the list   Parameters:      type : Dominant Cycle Estimator type to use      src : Series to use      dynLow : Lower bound for the dynamic length      dynHigh : Upper bound for the dynamic length      preHP : Use High Pass prefilter for the Estimators that support it (default)      preSS : Use Super Smoother prefilter for the Estimators that support it (default)      preHP : Use Hann Windowing prefilter for the Estimators that support it   Returns: Calculated period (float, not limited)
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