add ehlers super smoother

freqtrade/indicator_helpers.py

@@ -1,3 +1,5 @@
+from math import exp, pi, sqrt, cos
+
 from pandas import Series
 
 
@@ -7,3 +9,19 @@ def went_up(series: Series) -> Series:
 
 def went_down(series: Series) -> Series:
     return series < series.shift(1)
+
+
+def ehlers_super_smoother(series: Series, smoothing: float = 6):
+    magic = pi * sqrt(2) / smoothing
+    a1 = exp(-magic)
+    coeff2 = 2 * a1 * cos(magic)
+    coeff3 = -a1 * a1
+    coeff1 = (1 - coeff2 - coeff3) / 2
+
+    filtered = series.copy()
+
+    for i in range(2, len(series)):
+        filtered.iloc[i] = coeff1 * (series.iloc[i] + series.iloc[i-1]) + \
+            coeff2 * filtered.iloc[i-1] + coeff3 * filtered.iloc[i-2]
+
+    return filtered