SignalFilters/Code_Python/filters.py

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6.4 KiB
Python

"""
Class for filter/smooth data.
Copyright (c) 2020 Gabriele Gilardi
N = order/smoothing factor/number of past bars
alpha = damping term
General b,a Generic case (param = [b; a])
SMA N Simple Moving Average
EMA N Exponential Moving Average
PassBand P,delta Pass band filter
StopBand P,delta Stop band filter
InstTrendline alpha Instantaneous trendline
GaussLow P,N Gauss, low pass (must be P > 1)
ZEMA1 N,K,Vn Zero-lag EMA (type 1)
ZEMA2 N,K Zero-lag EMA (type 2)
LWMA N Linearly Weighted Moving Average
MSMA N Modified Simple Moving Average
MLSQ N Modified Least-Squares Quadratic
GaussHigh P,N Gauss, high pass (must be P > 4)
ButterOrig P,N Butterworth original, order N (2 or 3)
ButterMod P,N Butterworth modified, order N (2 or 3)
SuperSmoother P, N Super smoother
SincFunction N Sinc function (N > 1, cut off at 0.5/N)
b Coefficients at the numerator
a Coefficients at the denominator
P Cut of period (50% power loss, -3 dB)
N Order/smoothing factor
K Coefficient/gain
Vn Look back bar for the momentum
delta Band centered in P and in percent
(0.3 => 30% of P, = 0.3*P, if P = 10 => 0.3*10 = 3)
alpha Damping term
nt Times the filter is called (order)
"""
import sys
import numpy as np
def filter_data(X, b, a):
"""
Applies a generic filter.
Inputs:
X (n_samples, n_series) Data to filter
b Transfer response coefficients (numerator)
a Transfer response coefficients (denominator)
Outputs:
Y Filtered data
idx Index of the first element in Y filtered
Notes:
- the filter is applied from element 0 to len(X).
- elements from 0 to (idx-1) are set equal to the original input.
"""
n_samples, n_series = X.shape
Nb = len(b)
Na = len(a)
idx = np.amax([0, Nb-1, Na-1])
Y = X.copy()
# Apply filter
for i in range(idx, n_samples):
tmp = np.zeros(n_series)
# Contribution from [b] (numerator)
for j in range(Nb):
tmp = tmp + b[j] * X[i-j,:]
# Contribution from [a] (denominator)
for j in range(1, Na):
tmp = tmp - a[j] * Y[i-j, :]
# Filtered value
Y[i,:] = tmp / a[0]
return Y, idx
class Filter:
def __init__(self, X):
"""
X (nel_X, ) Data to filter
"""
self.X = np.asarray(X)
self.n_samples, self.n_series = X.shape
self.idx = 0
def SMA(self, N=10):
"""
Simple moving average (type ???).
"""
b = np.ones(N) / N
a = np.array([1.0])
Y, self.idx = filter_data(self.X, b, a)
return Y
def EMA(self, N=10, alpha=None):
"""
Exponential moving average (type ???).
If <alpha> is not given it is determined as equivalent to a N-SMA.
"""
if (alpha is None):
alpha = 2.0 / (N + 1.0)
b = np.array([alpha])
a = np.array([1.0, alpha - 1.0])
Y, self.idx = filter_data(self.X, b, a)
return Y
def InstTrend(self, alpha=0.5):
"""
Instantaneous Trendline (2nd order, IIR, low pass, Ehlers.)
"""
b = np.array([alpha - alpha ** 2.0 / 4.0, alpha ** 2.0 / 2.0,
- alpha + 3.0 * alpha ** 2.0 / 4.0])
a = np.array([1.0, - 2.0 * (1.0 - alpha), (1.0 - alpha) ** 2.0])
Y, self.idx = filter_data(self.X, b, a)
return Y
def PassBand(self, P=5, delta=0.3):
"""
Pass Band (type ???).
P = cut-off period (50% power loss, -3 dB)
delta = band centered in P and in percent
(Example: 0.3 => 30% of P => 0.3*P, if P = 10 => 0.3*10 = 3)
"""
beta = np.cos(2.0 * np.pi / P)
gamma = np.cos(4.0 * np.pi * delta) / P
alpha = 1.0 / gamma - np.sqrt(1.0 / gamma ** 2 - 1.0)
b = np.array([(1.0 - alpha) / 2.0, 0.0, - (1.0 - alpha) / 2.0])
a = np.array([1.0, - beta * (1.0 + alpha), alpha])
Y, self.idx = filter_data(self.X, b, a)
return Y
def StopBand(self, P=5, delta=0.3):
"""
Stop Band
P = cut-off period (50% power loss, -3 dB)
delta = band centered in P and in percent
(Example: 0.3 => 30% of P => 0.3*P, if P = 10 => 0.3*10 = 3)
"""
beta = cos(2.0*pi/float(P))
gamma = cos(2.0*pi*(2.0*delta)/float(P))
alpha = 1.0/gamma - sqrt(1.0/gamma**2 - 1.0)
b = np.array([(1.0+alpha)/2.0, -2.0*beta*(1.0+alpha)/2.0,
(1.0+alpha)/2.0])
a = np.array([1.0, -beta*(1.0+alpha), alpha])
Y, self.idx = Generalized(self.X, b, a)
return Y
def GaussLow(self, P=2, N=1):
"""
Gauss Low (low pass, IIR, N-th order, must be P > 1)
P = cut-off period (50% power loss, -3 dB)
N = times the filter is called (order)
"""
P = np.array([2, P], dtype=int).max() # or error? warning?
A = 2.0**(1.0/float(N)) - 1.0
B = 4.0*sin(pi/float(P))**2.0
C = 2.0*(cos(2.0*pi/float(P)) - 1.0)
delta = sqrt(B**2.0 - 4.0*A*C)
alpha = (-B + delta)/(2.0*A)
b = np.array([alpha])
a = np.array([1.0, -(1.0-alpha)])
Y = np.copy(self.X)
for i in range(N):
Y, self.idx = Generalized(Y, b, a)
return Y
def ZEMA1(self, N=10, K=1.0, Vn=5):
"""
Zero lag Exponential Moving Average (type 1)
N = order/smoothing factor
K = coefficient/gain
Vn = look back bar for the momentum
The damping term <alpha> is determined as equivalent to a N-SMA
"""
alpha = 2.0 / (float(N) + 1.0)
b = np.zeros(Vn+1)
b[0] = alpha * (1.0 + K)
b[-1] = - alpha * K
a = np.array([1.0, -(1.0-alpha)])
Y, self.idx = Generalized(self.X, b, a)
return Y
def Generalized(self, a, b):
"""
Generic filter with transfer response coefficients <a> and <b>
"""
b = np.asarray(b)
a = np.asarray(a)
Y, self.idx = filter_data(self.X, b, a)
return Y