Struct HighpassFilter 

pub struct HighpassFilter { /* private fields */ }

Ehlers’ two-pole Highpass Filter — strips the low-frequency trend from a price series, leaving the higher-frequency cyclic and noise content.

From John Ehlers’ Cycle Analytics for Traders (2013):

a = 0.707 · 2π / period
alpha1 = (cos(a) + sin(a) − 1) / cos(a)
HP_t = (1 − alpha1/2)² · (price_t − 2·price_{t−1} + price_{t−2})
       + 2·(1 − alpha1)·HP_{t−1} − (1 − alpha1)²·HP_{t−2}

A highpass filter is the complement of a smoother: where a lowpass keeps the trend, the highpass keeps everything faster than the cutoff period. The two-pole design gives a steep roll-off so frequencies below the cutoff are firmly removed, detrending the series into a zero-mean wave. This differs from the Decycler, which is price − highpass (the trend that remains); the highpass is the cyclic part that the decycler discards.

The recursion needs two prior prices and two prior outputs; until then it emits 0, so warmup_period is 1. Each update is O(1).

Example

use wickra_core::{Indicator, HighpassFilter};

let mut indicator = HighpassFilter::new(48).unwrap();
let mut last = None;
for i in 0..120 {
    last = indicator.update(100.0 + f64::from(i) + (f64::from(i) * 0.5).sin() * 3.0);
}
assert!(last.is_some());

Implementations

impl HighpassFilter

pub fn new(period: usize) -> Result<HighpassFilter, Error>

Construct a two-pole highpass filter with the given cutoff period.

Errors

Returns Error::PeriodZero if period == 0.

pub const fn period(&self) -> usize

Configured cutoff period.

pub const fn value(&self) -> Option<f64>

Current value if available.

Trait Implementations

impl Clone for HighpassFilter

fn clone(&self) -> HighpassFilter

Returns a duplicate of the value.

fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source.

impl Debug for HighpassFilter

fn fmt(&self, f: &mut Formatter<'_>) -> Result<(), Error>

Formats the value using the given formatter.

impl Indicator for HighpassFilter

type Input = f64

Type of one input data point (typically f64 for a price, or Candle / Tick).

type Output = f64

Type of one output value.

fn update(&mut self, price: f64) -> Option<f64>

Feed one new data point into the indicator and return the freshly computed output, or None if the indicator is still warming up.

fn reset(&mut self)

Reset all internal state, leaving the indicator equivalent to a freshly constructed instance with the same parameters.

fn warmup_period(&self) -> usize

Number of inputs required before the first non-None output can be produced.

fn is_ready(&self) -> bool

Whether the indicator has emitted at least one value since the last reset.

fn name(&self) -> &'static str

Stable, human-readable indicator name. Used by chaining and diagnostics.