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Add all tools as sub-indicators to SwissArmyKnife #9370

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Merged
Martin-Molinero merged 1 commit into from
Apr 13, 2026
+236 −72
Merged

Add all tools as sub-indicators to SwissArmyKnife #9370

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216 changes: 147 additions & 69 deletions Indicators/SwissArmyKnife.cs
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Original file line number Diff line number Diff line change
@@ -1,4 +1,4 @@
/*
/*
* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
*
Expand Down Expand Up @@ -49,16 +49,33 @@ public enum SwissArmyKnifeTool
/// </summary>
public class SwissArmyKnife : Indicator, IIndicatorWarmUpPeriodProvider
{
private readonly RollingWindow<double> _price;
private readonly RollingWindow<double> _filt;
private readonly int _period;
private readonly double _a0 = 1;
private readonly double _a1 = 0;
private readonly double _a2 = 0;
private readonly double _b0 = 1;
private readonly double _b1 = 0;
private readonly double _b2 = 0;
private readonly double _c0 = 1;
private readonly SwissArmyKnifeTool _tool;

/// <summary>
/// Gets the Gaussian Filter sub-indicator
/// </summary>
public IndicatorBase<IndicatorDataPoint> Gauss { get; }

/// <summary>
/// Gets the Butterworth Filter sub-indicator
/// </summary>
public IndicatorBase<IndicatorDataPoint> Butter { get; }

/// <summary>
/// Gets the High Pass Filter sub-indicator
/// </summary>
public IndicatorBase<IndicatorDataPoint> HighPass { get; }

/// <summary>
/// Gets the Two Pole High Pass Filter sub-indicator
/// </summary>
public IndicatorBase<IndicatorDataPoint> TwoPoleHighPass { get; }

/// <summary>
/// Gets the BandPass Filter sub-indicator
/// </summary>
public IndicatorBase<IndicatorDataPoint> BandPass { get; }

/// <summary>
/// Swiss Army Knife indicator by John Ehlers
Expand All @@ -81,52 +98,14 @@ public SwissArmyKnife(int period, double delta, SwissArmyKnifeTool tool)
public SwissArmyKnife(string name, int period, double delta, SwissArmyKnifeTool tool)
: base(name)
{
_filt = new RollingWindow<double>(2) {0, 0};
_price = new RollingWindow<double>(3);
_period = period;
var beta = 2.415 * (1 - Math.Cos(2 * Math.PI / period));
var alpha = -beta + Math.Sqrt(Math.Pow(beta, 2) + 2d * beta);
_tool = tool;

switch (tool)
{
case SwissArmyKnifeTool.Gauss:
_c0 = alpha * alpha;
_a1 = 2d * (1 - alpha);
_a2 = -(1 - alpha) * (1 - alpha);
break;
case SwissArmyKnifeTool.Butter:
_c0 = alpha * alpha / 4d;
_b1 = 2;
_b2 = 1;
_a1 = 2d * (1 - alpha);
_a2 = -(1 - alpha) * (1 - alpha);
break;
case SwissArmyKnifeTool.HighPass:
alpha = (Math.Cos(2 * Math.PI / period) + Math.Sin(2 * Math.PI / period) - 1) / Math.Cos(2 * Math.PI / period);
_c0 = (1 + alpha) / 2;
_b1 = -1;
_a1 = 1 - alpha;
break;
case SwissArmyKnifeTool.TwoPoleHighPass:
_c0 = (1 + alpha) * (1 + alpha) / 4;
_b1 = -2;
_b2 = 1;
_a1 = 2d * (1 - alpha);
_a2 = -(1 - alpha) * (1 - alpha);
break;
case SwissArmyKnifeTool.BandPass:
beta = Math.Cos(2 * Math.PI / period);
var gamma = (1 / Math.Cos(4 * Math.PI * delta / period));
alpha = gamma - Math.Sqrt(Math.Pow(gamma, 2) - 1);
_c0 = (1 - alpha) / 2d;
_b0 = 1;
_b2 = -1;
_a1 = -beta * (1 - alpha);
_a2 = alpha;
break;
default:
throw new ArgumentOutOfRangeException(nameof(tool), tool, "Invalid SwissArmyKnifeTool");
}
Gauss = new SingleToolFilter($"{name}_Gauss", period, delta, SwissArmyKnifeTool.Gauss);
Butter = new SingleToolFilter($"{name}_Butter", period, delta, SwissArmyKnifeTool.Butter);
HighPass = new SingleToolFilter($"{name}_HP", period, delta, SwissArmyKnifeTool.HighPass);
TwoPoleHighPass = new SingleToolFilter($"{name}_2PHP", period, delta, SwissArmyKnifeTool.TwoPoleHighPass);
BandPass = new SingleToolFilter($"{name}_BP", period, delta, SwissArmyKnifeTool.BandPass);
}

/// <summary>
Expand All @@ -146,31 +125,130 @@ public SwissArmyKnife(string name, int period, double delta, SwissArmyKnifeTool
/// <returns>A new value for this indicator</returns>
protected override decimal ComputeNextValue(IndicatorDataPoint input)
{
_price.Add((double)input.Price);
Gauss.Update(input);
Butter.Update(input);
HighPass.Update(input);
TwoPoleHighPass.Update(input);
BandPass.Update(input);

if (_price.Samples == 1)
switch (_tool)
{
_price.Add(_price[0]);
_price.Add(_price[0]);
case SwissArmyKnifeTool.Gauss: return Gauss.Current.Value;
case SwissArmyKnifeTool.Butter: return Butter.Current.Value;
case SwissArmyKnifeTool.HighPass: return HighPass.Current.Value;
case SwissArmyKnifeTool.TwoPoleHighPass: return TwoPoleHighPass.Current.Value;
case SwissArmyKnifeTool.BandPass: return BandPass.Current.Value;
default: throw new ArgumentOutOfRangeException(nameof(_tool), _tool, "Invalid SwissArmyKnifeTool");
}

var signal = _a0 * _c0 * (_b0 * _price[0] + _b1 * _price[1] + _b2 * _price[2]) + _a0 * (_a1 * _filt[0] + _a2 * _filt[1]);

_filt.Add(signal);

return (decimal)signal;
}

/// <summary>
/// Resets to the initial state
/// </summary>
public override void Reset()
{
_price.Reset();
_filt.Reset();
_filt.Add(0);
_filt.Add(0);
Gauss.Reset();
Butter.Reset();
HighPass.Reset();
TwoPoleHighPass.Reset();
BandPass.Reset();
base.Reset();
}

/// <summary>
/// Single-tool digital filter used internally by SwissArmyKnife
/// </summary>
private class SingleToolFilter : Indicator
{
private readonly RollingWindow<double> _price;
private readonly RollingWindow<double> _filt;
private readonly int _period;
private readonly double _a0 = 1;
private readonly double _a1 = 0;
private readonly double _a2 = 0;
private readonly double _b0 = 1;
private readonly double _b1 = 0;
private readonly double _b2 = 0;
private readonly double _c0 = 1;

public SingleToolFilter(string name, int period, double delta, SwissArmyKnifeTool tool)
: base(name)
{
_filt = new RollingWindow<double>(2) {0, 0};
_price = new RollingWindow<double>(3);
_period = period;
var beta = 2.415 * (1 - Math.Cos(2 * Math.PI / period));
var alpha = -beta + Math.Sqrt(Math.Pow(beta, 2) + 2d * beta);

switch (tool)
{
case SwissArmyKnifeTool.Gauss:
_c0 = alpha * alpha;
_a1 = 2d * (1 - alpha);
_a2 = -(1 - alpha) * (1 - alpha);
break;
case SwissArmyKnifeTool.Butter:
_c0 = alpha * alpha / 4d;
_b1 = 2;
_b2 = 1;
_a1 = 2d * (1 - alpha);
_a2 = -(1 - alpha) * (1 - alpha);
break;
case SwissArmyKnifeTool.HighPass:
alpha = (Math.Cos(2 * Math.PI / period) + Math.Sin(2 * Math.PI / period) - 1) / Math.Cos(2 * Math.PI / period);
_c0 = (1 + alpha) / 2;
_b1 = -1;
_a1 = 1 - alpha;
break;
case SwissArmyKnifeTool.TwoPoleHighPass:
_c0 = (1 + alpha) * (1 + alpha) / 4;
_b1 = -2;
_b2 = 1;
_a1 = 2d * (1 - alpha);
_a2 = -(1 - alpha) * (1 - alpha);
break;
case SwissArmyKnifeTool.BandPass:
beta = Math.Cos(2 * Math.PI / period);
var gamma = (1 / Math.Cos(4 * Math.PI * delta / period));
alpha = gamma - Math.Sqrt(Math.Pow(gamma, 2) - 1);
_c0 = (1 - alpha) / 2d;
_b0 = 1;
_b2 = -1;
_a1 = -beta * (1 - alpha);
_a2 = alpha;
break;
default:
throw new ArgumentOutOfRangeException(nameof(tool), tool, "Invalid SwissArmyKnifeTool");
}
}

public override bool IsReady => Samples >= _period;

protected override decimal ComputeNextValue(IndicatorDataPoint input)
{
_price.Add((double)input.Price);

if (_price.Samples == 1)
{
_price.Add(_price[0]);
_price.Add(_price[0]);
}

var signal = _a0 * _c0 * (_b0 * _price[0] + _b1 * _price[1] + _b2 * _price[2]) + _a0 * (_a1 * _filt[0] + _a2 * _filt[1]);

_filt.Add(signal);

return (decimal)signal;
}

public override void Reset()
{
_price.Reset();
_filt.Reset();
_filt.Add(0);
_filt.Add(0);
base.Reset();
}
}
}
}
}
92 changes: 89 additions & 3 deletions Tests/Indicators/SwissArmyKnifeTests.cs
View file
Open in desktop
Original file line number Diff line number Diff line change
@@ -1,4 +1,4 @@
/*
/*
* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
*
Expand Down Expand Up @@ -32,7 +32,7 @@ protected override IndicatorBase<IndicatorDataPoint> CreateIndicator()
protected override string TestColumnName => "Gauss";

protected override Action<IndicatorBase<IndicatorDataPoint>, double> Assertion =>
(indicator, expected) =>
(indicator, expected) =>
Assert.AreEqual(expected, (double) indicator.Current.Value, 0.01);

[Test]
Expand Down Expand Up @@ -81,6 +81,92 @@ public void ComparesButterAgainstExternalData()
RunTestIndicator(indicator, "Butter", 0.01m);
}

[Test]
public void SubIndicatorsComputeAllToolsSimultaneously()
{
var sak = new SwissArmyKnife(20, 0.1, SwissArmyKnifeTool.Gauss);

var gaussStandalone = new SwissArmyKnife(20, 0.1, SwissArmyKnifeTool.Gauss);
var butterStandalone = new SwissArmyKnife(20, 0.1, SwissArmyKnifeTool.Butter);
var hpStandalone = new SwissArmyKnife(20, 0.1, SwissArmyKnifeTool.HighPass);
var tphpStandalone = new SwissArmyKnife(20, 0.1, SwissArmyKnifeTool.TwoPoleHighPass);
var bpStandalone = new SwissArmyKnife(20, 0.1, SwissArmyKnifeTool.BandPass);

foreach (var data in TestHelper.GetDataStream(25))
{
sak.Update(data);
gaussStandalone.Update(data);
butterStandalone.Update(data);
hpStandalone.Update(data);
tphpStandalone.Update(data);
bpStandalone.Update(data);

Assert.AreEqual(gaussStandalone.Current.Value, sak.Gauss.Current.Value);
Assert.AreEqual(butterStandalone.Current.Value, sak.Butter.Current.Value);
Assert.AreEqual(hpStandalone.Current.Value, sak.HighPass.Current.Value);
Assert.AreEqual(tphpStandalone.Current.Value, sak.TwoPoleHighPass.Current.Value);
Assert.AreEqual(bpStandalone.Current.Value, sak.BandPass.Current.Value);
}
}

[Test]
public void SubIndicatorsResetProperly()
{
var sak = new SwissArmyKnife(4, 0.1, SwissArmyKnifeTool.Gauss);

foreach (var data in TestHelper.GetDataStream(5))
{
sak.Update(data);
}

Assert.IsTrue(sak.Gauss.IsReady);
Assert.IsTrue(sak.Butter.IsReady);
Assert.IsTrue(sak.HighPass.IsReady);
Assert.IsTrue(sak.TwoPoleHighPass.IsReady);
Assert.IsTrue(sak.BandPass.IsReady);

sak.Reset();

Assert.IsFalse(sak.Gauss.IsReady);
Assert.IsFalse(sak.Butter.IsReady);
Assert.IsFalse(sak.HighPass.IsReady);
Assert.IsFalse(sak.TwoPoleHighPass.IsReady);
Assert.IsFalse(sak.BandPass.IsReady);
}

[Test]
public void PrimaryToolMatchesCurrentValue()
{
foreach (SwissArmyKnifeTool tool in Enum.GetValues(typeof(SwissArmyKnifeTool)))
{
var sak = new SwissArmyKnife(20, 0.1, tool);

foreach (var data in TestHelper.GetDataStream(25))
{
sak.Update(data);

switch (tool)
{
case SwissArmyKnifeTool.Gauss:
Assert.AreEqual(sak.Gauss.Current.Value, sak.Current.Value);
break;
case SwissArmyKnifeTool.Butter:
Assert.AreEqual(sak.Butter.Current.Value, sak.Current.Value);
break;
case SwissArmyKnifeTool.HighPass:
Assert.AreEqual(sak.HighPass.Current.Value, sak.Current.Value);
break;
case SwissArmyKnifeTool.TwoPoleHighPass:
Assert.AreEqual(sak.TwoPoleHighPass.Current.Value, sak.Current.Value);
break;
case SwissArmyKnifeTool.BandPass:
Assert.AreEqual(sak.BandPass.Current.Value, sak.Current.Value);
break;
}
}
}
}

private void RunTestIndicator(IndicatorBase<IndicatorDataPoint> indicator, string field, decimal variance)
{
TestHelper.TestIndicator(indicator, TestFileName, field, (actual, expected) => { AssertResult(expected, actual.Current.Value, variance); });
Expand All @@ -92,4 +178,4 @@ private static void AssertResult(double expected, decimal actual, decimal varian
Assert.IsTrue(Math.Abs((decimal)expected - actual) < variance);
}
}
}
}
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