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Indicators/HilbertTransform.cs
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/*
* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
*
* Licensed under the Apache License, Version 2.0 (the "License");
* you may not use this file except in compliance with the License.
* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
* See the License for the specific language governing permissions and
* limitations under the License.
*/
using System.Diagnostics;
namespace QuantConnect.Indicators;
/// <summary>
/// This indicator computes the Hilbert Transform Indicator by John Ehlers.
/// By using present and prior price differences, and some feedback, price values are split into their complex number components
/// of real (inPhase) and imaginary (quadrature) parts.
/// <remark>Source: http://www.technicalanalysis.org.uk/moving-averages/Ehle.pdf</remark>
/// </summary>
public class HilbertTransform : Indicator, IIndicatorWarmUpPeriodProvider
{
private readonly int _length;
private readonly IndicatorBase<IndicatorDataPoint> _input;
private readonly IndicatorBase<IndicatorDataPoint> _prev;
private readonly IndicatorBase<IndicatorDataPoint> _detrendPrice;
private readonly IndicatorBase<IndicatorDataPoint> _detrendPriceDelay2;
private readonly IndicatorBase<IndicatorDataPoint> _detrendPriceDelay4;
private readonly IndicatorBase<IndicatorDataPoint> _inPhaseDelay3;
private readonly IndicatorBase<IndicatorDataPoint> _quadratureDelay2;
/// <summary>
/// Real (inPhase) part of complex number component of price values
/// </summary>
public IndicatorBase<IndicatorDataPoint> InPhase { get; }
/// <summary>
/// Imaginary (quadrature) part of complex number component of price values
/// </summary>
public IndicatorBase<IndicatorDataPoint> Quadrature { get; }
/// <summary>
/// Required period, in data points, for the indicator to be ready and fully initialized.
/// </summary>
public int WarmUpPeriod => _length + 2;
/// <summary>
/// Gets a flag indicating when this indicator is ready and fully initialized
/// </summary>
public override bool IsReady => Samples >= WarmUpPeriod;
/// <summary>
/// Creates a new Hilbert Transform indicator
/// </summary>
/// <param name="name">The name of this indicator</param>
/// <param name="length">The length of the FIR filter used in the calculation of the Hilbert Transform.
/// This parameter determines the number of filter coefficients in the FIR filter.</param>
/// <param name="inPhaseMultiplicationFactor">The multiplication factor used in the calculation of the in-phase component of the Hilbert Transform.
/// This parameter adjusts the sensitivity and responsiveness of the transform to changes in the input signal.</param>
/// <param name="quadratureMultiplicationFactor">The multiplication factor used in the calculation of the quadrature component of the Hilbert Transform.
/// This parameter also adjusts the sensitivity and responsiveness of the transform to changes in the input signal.</param>
public HilbertTransform(string name, int length, decimal inPhaseMultiplicationFactor, decimal quadratureMultiplicationFactor)
: base(name)
{
_length = length;
_input = new Identity(name + "_input");
_prev = new Delay(name + "_prev", length);
_detrendPrice = _input.Minus(_prev);
// 2nd and 4th order difference in detrended price, thus being the 1st and 3rd delay
_detrendPriceDelay2 = new Delay(name + "_detrendPriceDelay2", 1);
_detrendPriceDelay4 = new Delay(name + "_detrendPriceDelay4", 3);
// Update after InPhase & Quadrature property, so delay length -1
_inPhaseDelay3 = new Delay(name + "_inPhaseDelay3", 2);
_quadratureDelay2 = new Delay(name + "_quadratureDelay2", 1);
InPhase = new FunctionalIndicator<IndicatorDataPoint>(name + "_inPhase",
_ =>
{
if (!InPhase!.IsReady)
{
return 0m;
}
var v2Value = _detrendPriceDelay2.IsReady ? _detrendPriceDelay2.Current.Value : 0m;
var v4Value = _detrendPriceDelay4.IsReady ? _detrendPriceDelay4.Current.Value : 0m;
var inPhase3Value = _inPhaseDelay3.IsReady ? _inPhaseDelay3.Current.Value : 0m;
return 1.25m * (v4Value - v2Value * inPhaseMultiplicationFactor) + inPhase3Value * inPhaseMultiplicationFactor;
},
_ => Samples > length + 2,
() =>
{
_detrendPrice.Reset();
_detrendPriceDelay2.Reset();
_detrendPriceDelay4.Reset();
_inPhaseDelay3.Reset();
});
Quadrature = new FunctionalIndicator<IndicatorDataPoint>(name + "_quad",
_ =>
{
if (!Quadrature!.IsReady)
{
return 0m;
}
var v2Value = _detrendPriceDelay2.IsReady ? _detrendPriceDelay2.Current.Value : 0m;
var v1Value = _detrendPrice.IsReady ? _detrendPrice.Current.Value : 0m;
var quadrature2Value = _quadratureDelay2.IsReady ? _quadratureDelay2.Current.Value : 0m;
return v2Value - v1Value * quadratureMultiplicationFactor + quadrature2Value * quadratureMultiplicationFactor;
},
_ => Samples > length,
() =>
{
_detrendPrice.Reset();
_detrendPriceDelay2.Reset();
_quadratureDelay2.Reset();
});
}
/// <summary>
/// Creates a new Hilbert Transform indicator with default name and default params
/// </summary>
/// <param name="length">The length of the FIR filter used in the calculation of the Hilbert Transform.
/// This parameter determines the number of filter coefficients in the FIR filter.</param>
/// <param name="inPhaseMultiplicationFactor">The multiplication factor used in the calculation of the in-phase component
/// of the Hilbert Transform. This parameter adjusts the sensitivity and responsiveness of
/// the transform to changes in the input signal.</param>
/// <param name="quadratureMultiplicationFactor">The multiplication factor used in the calculation of the quadrature component of
/// the Hilbert Transform. This parameter also adjusts the sensitivity and responsiveness of the
/// transform to changes in the input signal.</param>
public HilbertTransform(int length = 7, decimal inPhaseMultiplicationFactor = 0.635m, decimal quadratureMultiplicationFactor = 0.338m)
: this($"Hilbert({length}, {inPhaseMultiplicationFactor}, {quadratureMultiplicationFactor})", length, inPhaseMultiplicationFactor, quadratureMultiplicationFactor)
{
}
/// <summary>
/// Computes the next value of this indicator from the given state
/// </summary>
/// <param name="input">The input given to the indicator</param>
/// <returns>A new value for this indicator</returns>
protected override decimal ComputeNextValue(IndicatorDataPoint input)
{
Debug.Assert(input != null, nameof(input) + " != null");
_input.Update(input);
_prev.Update(input);
if (_prev.IsReady)
{
_detrendPrice.Update(input);
}
if (_detrendPrice.IsReady)
{
_detrendPriceDelay2.Update(_detrendPrice.Current);
_detrendPriceDelay4.Update(_detrendPrice.Current);
}
InPhase.Update(input);
if (InPhase.IsReady)
{
_inPhaseDelay3.Update(InPhase.Current);
}
Quadrature.Update(input);
if (Quadrature.IsReady)
{
_quadratureDelay2.Update(Quadrature.Current);
}
return input.Value;
}
/// <summary>
/// Resets this indicator to its initial state
/// </summary>
public override void Reset()
{
base.Reset();
_input.Reset();
_prev.Reset();
_detrendPrice.Reset();
_detrendPriceDelay2.Reset();
_detrendPriceDelay4.Reset();
_inPhaseDelay3.Reset();
_quadratureDelay2.Reset();
InPhase.Reset();
Quadrature.Reset();
}
}