56 lines
2.1 KiB
Python
 | # SPDX-License-Identifier: MPL-2.0
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# This Source Code Form is subject to the terms of the Mozilla Public License, v. 2.0. If a copy of the MPL was not
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# distributed with this file, You can obtain one at https://mozilla.org/MPL/2.0/
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# Range filter: method popularised by TradingView open-source scripts, notably "Range Filter [DW]" and its variants.
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"""Python twin of mql5/Include/RangeFilter/RF.mqh, operation for operation (parity tests and the frequency count).
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from reference import run
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rows = run(close, period=100, mult=3.0) # per bar: filt, range, upward, downward, cond, ev
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"""
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def run(src, period=100, mult=3.0):
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rows = []
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prev = 0.0
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avrng = smrng = rng = filt = prev_filt = None
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up = dn = cond = 0
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a1 = 2.0 / (period + 1)
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wper = 2 * period - 1
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a2 = 2.0 / (wper + 1)
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for k, x in enumerate(src):
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ev = 0
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if k >= 1:
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d = abs(x - prev)
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avrng = d if avrng is None else avrng + a1 * (d - avrng)
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smrng = avrng if smrng is None else smrng + a2 * (avrng - smrng)
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rng = smrng * mult
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prev_filt = filt
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if filt is None:
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filt = x
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else:
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f, r = filt, rng
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if x > f:
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filt = f if x - r < f else x - r
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else:
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filt = f if x + r > f else x + r
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if prev_filt is not None:
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if filt > prev_filt:
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up, dn = up + 1, 0
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elif filt < prev_filt:
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dn, up = dn + 1, 0
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moved = x != prev
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buy = x > filt and moved and up > 0
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sell = x < filt and moved and dn > 0
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p = cond
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if buy:
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cond = 1
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elif sell:
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cond = -1
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if buy and p == -1:
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ev = 1
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elif sell and p == 1:
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ev = -1
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prev = x
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rows.append(dict(filt=filt, range=rng, up=up, dn=dn, cond=cond, ev=ev,
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side=1 if up > 0 else (-1 if dn > 0 else 0)))
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return rows
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