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Chuck,
One of the things that I was working on is an improved
"smoother" (Smoother2) for the input data to the Hilbert transform (TASC v18:11)
rather that Ehlers smoother (Smoother1). As you can see I was trying out
Tillson's T3 smoother, and "Periods2" is just the amount of periods of smoothing
that T3 is using. "Smoother2" is the T3 output for use in the rest of the
formula. "a" is simply the "Hot" input parameter for use in T3. Note that I am
using TEMA and not EMA as the original T3 suggests. (BTW, I tripped over a TASC
V19:6 article by Steve Burns that describes an adaptive T3 to
boot.)
Yes, I undestand that the formula should be able to accurately
find cycles down to a period of 6 days but using a quick and dirty test
using a synthetic waveform (Sine Wave Test in the formula), I found odd
fluctuations in cycle period output below 9 days. I am still working on a
resolution for it.
Smoother1 is the native smoother from Ehlers original formula.
Smoother2 is my replacement of it by T3.
The formula that I sent for Ara is just one of many rough test
examples, not yet ready for prime time. Ara and everyone are free to twist
and tweak it as they please. When I am confident of the accuracy of its output
(and the accuracy of my translation and AFL coding), I would be happy to
share.
Below is the EasyLanguage (Ha!) formula I derived from.
<FONT face=Arial
size=1>
{
—————————————————————————————
HilbertPeriod (Function)
by John Ehlers (7/22/00)
This is the Hilbert
Cycle Period Function used by the Hilbert Channel
Breakout
System.
<FONT face=Verdana color=#000080
size=2>————————————————————————————— }
Inputs:
Price(numeric);
Vars: Smoother(0),
Detrender(0), I1(0), Q1(0), jI(0), jQ(0),
I2(0),Q2(0), X1(0),
X2(0), Y1(0), Y2(0), Re(0), Im(0), Period(0);
If CurrentBar >5 then
begin
Smoother = (4*Price +
3*Price[1] + 2*Price[2] + Price[3])/10;
Detrender =
(.25*Smoother + .75*Smoother[2] - .75*Smoother[4]
-
.25*Smoother[6])*(.046*Period[1] + .332);
{Compute InPhase and
Quadrature components}
Q1 = (.25*Detrender +
.75*Detrender[2] - .75*Detrender[4] -
<FONT face=Verdana color=#000080
size=2>.25*Detrender[6])*(.046*Period[1] + .332);
I1 =
Detrender[3];
{advance the phase of I1
and Q1 by 90 degrees}
jI = .25*I1 + .75*I1[2]
- .75*I1[4] - .25*I1[6];
jQ = .25*Q1 + .75*Q1[2]
- .75*Q1[4] - .25*Q1[6];
{Phasor addition to
equalize amplitude due to quadrature calculations
(and 3 bar
averaging)}
I2 = I1 -
jQ;
Q2 = Q1 +
jI;
{Smooth the I and Q
components before applying the discriminator}
I2 = .15*I2 +
.85*I2[1];
Q2 = .15*Q2 +
.85*Q2[1];
{Homodyne
Discriminator}
{Complex Conjugate
Multiply}
X1 =
I2*I2[1];
X2 =
I2*Q2[1];
Y1 =
Q2*Q2[1];
Y2 =
Q2*I2[1];
Re = X1 +
Y1;
Im = X2 -
Y2;
{Smooth to remove
undesired cross products}
Re = .2*Re +
.8*Re[1];
Im = .2*Im +
.8*Im[1];
{Compute Cycle
Period}
If Im <> 0 and Re
<> 0 then Period = 360/ArcTangent(Im/Re);
If Period >
1.5*Period[1] then Period = 1.5*Period[1];
If Period <
.67*Period[1] then Period = .67*Period[1];
If Period <6 then
Period = 6;
If Period >50 then
Period = 50;
Period = .2*Period +
.8*Period[1];
{END CORE
CODE}
HilbertPeriod =
Period;
end;
-CS
----- Original Message -----
<BLOCKQUOTE dir=ltr
>
<DIV
>From:
<A title=chuck_rademacher@xxxxxxxxxx
href="">Chuck Rademacher
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Saturday, February 07, 2004 7:47
PM
Subject: RE: [amibroker] Re: Determining
cycles
<FONT face=Arial color=#0000ff
size=2>Thanks, Phsst.
<FONT face=Arial color=#0000ff
size=2>
I am
using Corey's code with great success and I was a bit concerned about "future
leak". I couldn't see where it was happening and didn't really
take the time to investigate. I just liked the results I was
getting.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>Corey, I'm hoping that you see this email as I have a couple of
questions for you.
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>1. Can you tell me what is going on with "Periods2" and
"a"? I see you have them as Param statements, but can you
recommend defaults. If I do understand what you are doing with
Periods2, your default of "5" seems a bit low. Espeicially in
light of your comment about "Periods < 9 are NOT reliable". Or
is that referring to some other variable?
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>2. You seem to have built-in two smoothing techniques (Smoother1
and Smoother2). Can you tell me more about the logic behind
these?
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>
<FONT face=Arial color=#0000ff
size=2>Thanks.
<BLOCKQUOTE
>
<FONT face="Times New Roman"
size=2>-----Original Message-----From: Phsst
[mailto:phsst@xxxxxxxxx]Sent: Saturday, February 07, 2004 10:00
PMTo: amibroker@xxxxxxxxxxxxxxxSubject: [amibroker]
Re: Determining cyclesChuck and Corey,The
offending line of code is:SetBarsRequired( 1000000, 1000000
);The above line caused the 'Check' feature to issue a warning
aboutreferencing 'future
quotes'.Regards,Phsst--- In
amibroker@xxxxxxxxxxxxxxx, "Chuck Rademacher"<chuck_rademacher@x>
wrote:> Corey,> > When I used your code (or mine) for
the HilbertPeriod thingie, AB thinks> that we are looking into the
future. Any idea where to look for the>
problem?> -----Original Message----->
From: Corey Saxe [mailto:res1wgwl@xxxx]> Sent: Saturday,
February 07, 2004 5:30 AM> To:
amibroker@xxxxxxxxxxxxxxx> Subject: Re: [amibroker]
Determining cycles> > > Ara,>
> I use dynamic periods for nearly everything. To suppose
that amarket is> always and forever going to cycle at say, 21
days is absurd.> > Hence, why I supported dynamic
parameter input for variousfunctions and> indicators.>
> Something I've been tweaking is included.>
> Note that each indicator or metric that you desire to
measure hasits own> sweet-spot which will be a multiple (or
fraction) of the resulting cycle> frequency.> For
instance, If you want to use cycle period input to the MACD,you
may> find that it works best if the input periods are multiplied by
0.67, but> maybe RSI works best if the cycle periods are multiplied
by 0.5.> > Don't bother with FFT. The deficiencies
are vast. Dennis Meyers did a> series of articles a few years ago in
Futures mag, and describedmany of the> failures of FFT to work on
market prices because of the constantvariability> of the current
cycle periods.> >
-CS> ----- Original Message
-----> From: Ara
Kaloustian> To:
Ami-Main> Sent: Friday, February 06, 2004
11:43 AM> Subject: [amibroker] Determining
cycles> > > Has anyone used
cycle length determined dynamically and used to set> parameters for
each run?> > I considered using Fast
Fourier Transform... am open to any other> suggestions>
> If it works one can produce constantly
optimzed system ...geting close> to the"holly grail">
> Thanks>
Ara> > > Send BUG REPORTS to
bugs@xxxx> Send SUGGESTIONS to
suggest@xxxx>
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