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<FONT face=Arial color=#0000ff
size=2>Corey,
<FONT face=Arial color=#0000ff
size=2>
Thanks
so much for your effort in describing what you are doing and for sharing it as
you go. Thanks also for sending the TradeStation code. For
some reason, I am unable to get any cursor display on my PC that
has TradeStation on it since yesterday. Did you ever try moving
around Windows without a mouse? Possible, but
difficult.
<FONT face=Arial color=#0000ff
size=2>
I'm
using the version of Hilbert that you posted and it has dramatically improved a
system that I was struggling to make more dynamic. Once the current
optimisation run completes, I will try the features of your implementation that
aren't already being used.
<FONT face=Arial color=#0000ff
size=2>
Nice
piece of work!!
<BLOCKQUOTE
>
<FONT face="Times New Roman"
size=2>-----Original Message-----From: Corey Saxe
[mailto:res1wgwl@xxxxxxxxxxx]Sent: Sunday, February 08, 2004 6:25
AMTo: amibroker@xxxxxxxxxxxxxxxSubject: Re: [amibroker]
Re: Determining cycles
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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