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<?php |
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namespace Laratrade\Indicators; |
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use Illuminate\Support\Collection; |
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use Laratrade\Indicators\Contracts\Indicator; |
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use Laratrade\Indicators\Exceptions\NotEnoughDataPointsException; |
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/** |
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* Hilbert Transform - Instantaneous Trendline |
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* |
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* |
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* @see http://www2.wealth-lab.com/WL5Wiki/HTTrendLine.ashx |
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* |
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* |
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* The Hilbert Transform is a technique used to generate inphase and quadrature components of a de-trended real-valued |
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* "analytic-like" signal (such as a Price Series) in order to analyze variations of the instantaneous phase and |
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* amplitude. HTTrendline (or MESA Instantaneous Trendline) returns the Price Series value after the Dominant Cycle of |
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* the analytic signal as generated by the Hilbert Transform has been removed. The Dominant Cycle can be thought of as |
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* being the "most likely" period (in the range of 10 to 40) of a sine function of the Price Series. |
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* |
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* smoothed trendline, if the |
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* price moves 1.5% away from the trendline we can declare a trend. |
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* |
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* |
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* WMA(4) |
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* trader_ht_trendline |
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* |
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* if WMA(4) < htl for five periods then in downtrend (sell in trend mode) |
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* if WMA(4) > htl for five periods then in uptrend (buy in trend mode) |
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* |
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* // if price is 1.5% more than trendline, then declare a trend |
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* (WMA(4)-trendline)/trendline >= 0.15 then trend = 1 |
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*/ |
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class HilbertTransformInstantaneousTrendlineIndicator implements Indicator |
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{ |
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public function __invoke(Collection $ohlcv, int $period = 14): int |
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{ |
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$declared = $uptrend = $downtrend = 0; |
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$a_htl = $a_wma4 = []; |
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$htl = trader_ht_trendline($ohlcv->get('close')); |
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if (false === $htl) { |
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throw new NotEnoughDataPointsException('Not enough data points'); |
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} |
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$wma4 = trader_wma($ohlcv->get('close'), 4); |
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for ($a = 0; $a < 5; $a++) { |
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$a_htl[$a] = array_pop($htl); |
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$a_wma4[$a] = array_pop($wma4); |
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$uptrend += ($a_wma4[$a] > $a_htl[$a] ? 1 : 0); |
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$downtrend += ($a_wma4[$a] < $a_htl[$a] ? 1 : 0); |
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$declared = (($a_wma4[$a] - $a_htl[$a]) / $a_htl[$a]); |
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} |
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if ($uptrend || $declared >= 0.15) { |
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return static::BUY; |
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} |
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if ($downtrend || $declared <= 0.15) { |
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return static::SELL; |
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} |
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return static::HOLD; |
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} |
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} |
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laratrade /
indicators
