EBSW indicator

I don’t know if this goes anywhere really, I tried using the Even Better Sine Wave indicator and noticed the note in the docs about the logic. So I made the function below based off the code in the two links:

1. prorealcode
2. tradingview

import numpy as np
import pandas as pd
def testEBSW(close,length = 40,bars = 10):
    '''Just making the ebsw indicator from pro real code'''
    #Instance Variables
    lastHP = lastClose = 0
    filtHist = np.zeros(3)
    result = [np.nan]*(length-1)+[0]

    #Calculate constants
    angle = 2*np.pi/length
    alpha1 = (1-np.sin(angle))/np.cos(angle)
    ang = 2**.5*np.pi/bars
    a1 = np.exp(-ang)
    c2 = 2*a1*np.cos(ang)
    c3 = -a1**2
    c1 = 1-c2-c3

    for i in range(length,close.size):
        HP = 0.5*(1+alpha1)*(close[i]-lastClose)+alpha1*lastHP

        #Rotate filters to overwrite oldest value
        filtHist = np.roll(filtHist,-1)
        filtHist[-1] = c1*(HP+lastHP)/2+c2*filtHist[1]+c3*filtHist[0]

        #Wave calculation
        wave = np.mean(filtHist)
        rms = np.sqrt(np.mean(filtHist**2))
        wave = wave/rms

        #Update past values
        lastHP = HP
        lastClose = close[i]
        result.append(wave)
    return pd.Series(result, index=close.index)

The outputs are pretty different so this code could be bugged, either way I think the original code could be changed slightly to not calculate the constants on every loop as they don’t change. Sorry if this serves no purpose, I just signed up to post this so I don’t know how any of this works.

I realized after posting this graph is pretty ambiguous, but it’s the result of both indicator types on 100 days of EURUSD data I have saved to my computer. Blue line is the one in this library and the orange one is my test function.

[rengel8]

@Squigglez2 Thank you very much for providing the function of the EBSW. That made it easy to look into it.

With the data, @twopirllc provided, I made a comparison between TradingView and the updated version, which is now very close (despite some bars 4 to 6 decimal places are identical) to TradingView. TV offers a very fast pre-roll of only one bar probably with historical data under the hood. That is interesting, but the recent version in Pandas TA is now closely to TV with the advantage of providing the same results each time one bar earlier. TV offers a very fast pre-roll of only one bar probably with historical data under the hood. That is interesting, but the recent version in Pandas TA is now closely to TV with the advantage of providing the same results each time one bar earlier.

[twopirllc]

Hello @Squigglez2,

Please test the updated version using by installing the development branch and let us know if it is working better.

$ pip install -U git+https://github.com/twopirllc/pandas-ta.git@development

Kind Regards, KJ