go_ehlers_indicators

package module

v0.0.0-...-fd6ced5 Latest Latest Go to latest Published: Apr 5, 2022 License: MIT Imports: 9 Imported by: 0

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Repository

github.com/lmpizarro/go_ehlers_indicators

Links

Open Source Insights

README ¶

Ehlers Indicators and Filters

A collection of John Ehlers technical analysis indicators and filters written in pure go Every indicator includes tests and a graph on synthetic data.

Installation:

go get github.com/MathisWellmann/go_ehlers_indicators

Indicators / Filters include:

Images:

With synthetic data from MathisWellmann/timeseries_generator

fama laguerre_filter frama super_smoother cyber_cycle center_of_gravity mama gaussian_filter re_flex trend_flex laguerre_rsi Roofing Filter fisher_transform inverse_fisher_transform

TODOs:

Swiss Army Knife Indicator
Ehlers Filter
(maybe) Empirical mode decomposition
(maybe) Fourier Transform for traders

Feel free to post a pull-request for more indicators or in case I made a mistake.

Documentation ¶

Index ¶

Constants
func Alfa(length int) float64
func CenterOfGravity(vals []float64, windowLen int) []float64
func CyberCycle(vals []float64, windowLen int) []float64
func CyberCycleAlpha(vals []float64, windowLen int, alpha float64) []float64
func DIST4NCE(vals []float64, length int) []float64
func EficiencyRatio(vals []float64, length int) []float64
func Extent(vals []float64) (float64, float64)
func FAMA(vals []float64, fastLimit, slowLimit float64) []float64
func FAMADefault(vals []float64) []float64
func FRAMA(highs, lows []float64, length int) ([]float64, error)
func FisherTransform(vals []float64) ([]float64, error)
func GaussianFilter(vals []float64, period, numPoles int) []float64
func InverseFisherTransform(vals []float64) []float64
func Kama(vals []float64, fast_period, slow_period, efficiency_length int) []float64
func KamaDefault(vals []float64) []float64
func LaguerreFilter(vals []float64, gamma float64) []float64
func LaguerreFilterDefault(vals []float64) []float64
func LaguerreRSI(vals []float64, gamma float64) []float64
func LaguerreRSIDefault(vals []float64) []float64
func MAMA(vals []float64, fastLimit, slowLimit float64) []float64
func MAMADefault(vals []float64) []float64
func MAMAFAMA(vals []float64, fastLimit, slowLimit float64, which int) []float64
func MOM4(vals []float64) []float64
func Plt(vals []float64, filename string) error
func ReFlex(vals []float64, windowLen int) []float64
func RoofingFilter(vals []float64) []float64
func SimpleKalman(measurement []float64) []float64
func StDevRoll(vals []float64, length int) []float64
func SuperSmoother(vals []float64, length int) []float64
func TrendFlex(vals []float64, windowLen int) []float64
func Vidya(vals []float64, fast_period, slow_period int) []float64
func WMA4(vals []float64) []float64
func Wrt(vals, filter_out []float64, filename string) error
func Zema(vals []float64, length_alfa, length_k, delay int) []float64
func ZeroLag(vals []float64, length, gainLimit int) []float64
func ZeroLagDefault(vals []float64, length int) []float64
type Values
- func (v *Values) Len() int
- func (v *Values) XY(index int) (float64, float64)

Constants ¶

View Source

const (
	M = iota
	F
)

Variables ¶

This section is empty.

Functions ¶

func Alfa ¶

func Alfa(length int) float64

func CenterOfGravity ¶

func CenterOfGravity(vals []float64, windowLen int) []float64

CenterOfGravity Oscillator from this paper: https://mesasoftware.com/papers/TheCGOscillator.pdf

func CyberCycle ¶

func CyberCycle(vals []float64, windowLen int) []float64

CyberCycle Indicator with alpha set to standard ema alpha: 2.0 / (windowLen + 1) from paper: https://www.mesasoftware.com/papers/TheInverseFisherTransform.pdf

func DIST4NCE ¶

func DIST4NCE(vals []float64, length int) []float64

func EficiencyRatio ¶

func EficiencyRatio(vals []float64, length int) []float64

func Extent ¶

func Extent(vals []float64) (float64, float64)

Extent returns the min and max values of values

func FAMADefault ¶

func FAMADefault(vals []float64) []float64

FAMADefault is a wrapper for FAMA with recommended settings for fastLimit and slowLimit

func FRAMA ¶

func FRAMA(highs, lows []float64, length int) ([]float64, error)

FRAMA (fractal adaptive moving average) from paper: http://mesasoftware.com/papers/FRAMA.pdf

func FisherTransform ¶

func FisherTransform(vals []float64) ([]float64, error)

FisherTransform applies the fisher transform function to an array and outputs one with the same length Only accepts inputs in range (-1, 1) original pdf: https://www.mesasoftware.com/papers/UsingTheFisherTransform.pdf

func GaussianFilter ¶

func GaussianFilter(vals []float64, period, numPoles int) []float64

GaussianFilter from this paper: https://www.mesasoftware.com/papers/GaussianFilters.pdf

func InverseFisherTransform ¶

func InverseFisherTransform(vals []float64) []float64

InverseFisherTransform applies the Tanh function to all values in input series and returns an array of same length from this paper: http://www.mesasoftware.com/papers/TheInverseFisherTransform.pdf

func Kama ¶

func Kama(vals []float64, fast_period, slow_period, efficiency_length int) []float64

func KamaDefault ¶

func KamaDefault(vals []float64) []float64

func LaguerreFilter ¶

func LaguerreFilter(vals []float64, gamma float64) []float64

LaguerreFilter from paper: http://mesasoftware.com/papers/TimeWarp.pdf

func LaguerreFilterDefault ¶

func LaguerreFilterDefault(vals []float64) []float64

func LaguerreRSI ¶

func LaguerreRSI(vals []float64, gamma float64) []float64

LaguerreRSI from paper: http://mesasoftware.com/papers/TimeWarp.pdf

func LaguerreRSIDefault ¶

func LaguerreRSIDefault(vals []float64) []float64

func MAMA ¶

func MAMA(vals []float64, fastLimit, slowLimit float64) []float64

MAMA (MESA adaptive moving average)

func MAMADefault ¶

func MAMADefault(vals []float64) []float64

MAMADefault provides a wrapper for MAMA with recommended fastsLimit of 0.5 and slowLimit of 0.05

func MAMAFAMA ¶

func MAMAFAMA(vals []float64, fastLimit, slowLimit float64, which int) []float64

MAMA from this paper: https://www.mesasoftware.com/papers/MAMA.pdf

func MOM4 ¶

func MOM4(vals []float64) []float64

func Plt ¶

func Plt(vals []float64, filename string) error

Plt will create a line plot with given values and filename

func ReFlex ¶

func ReFlex(vals []float64, windowLen int) []float64

ReFlex indicator from: https://financial-hacker.com/petra-on-programming-a-new-zero-lag-indicator/

func RoofingFilter ¶

func RoofingFilter(vals []float64) []float64

func SimpleKalman ¶

func SimpleKalman(measurement []float64) []float64

func StDevRoll ¶

func StDevRoll(vals []float64, length int) []float64

func SuperSmoother ¶

func SuperSmoother(vals []float64, length int) []float64

SuperSmoother from this paper: http://www.mesasoftware.com/papers/PredictiveIndicatorsForEffectiveTrading%20Strategies.pdf

func TrendFlex ¶

func TrendFlex(vals []float64, windowLen int) []float64

TrendFlex indicator from https://financial-hacker.com/petra-on-programming-a-new-zero-lag-indicator/

func Vidya ¶

func Vidya(vals []float64, fast_period, slow_period int) []float64

func WMA4 ¶

func WMA4(vals []float64) []float64

y = (4*Price + 3*Price[1] + 2*Price[2] + Price[3]) / 10

func Wrt ¶

func Wrt(vals, filter_out []float64, filename string) error

func Zema ¶

func Zema(vals []float64, length_alfa, length_k, delay int) []float64

func ZeroLag ¶

func ZeroLag(vals []float64, length, gainLimit int) []float64

ZeroLag filter from this paper: http://mesasoftware.com/papers/ZeroLag.pdf

func ZeroLagDefault ¶

func ZeroLagDefault(vals []float64, length int) []float64

Types ¶

type Values ¶

type Values struct {
	Xs []float64
	Ys []float64
}

func (*Values) Len ¶

func (v *Values) Len() int

func (*Values) XY ¶

func (v *Values) XY(index int) (float64, float64)

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