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Anthony,
Here (attachment and below) is an example of RSI driven by
Hilbert cycle periods. As you can tell, I'm not done with this formula
either.
Note that the Hilbert transform part of the cycle period
formula is different. I have found that over time Ehlers has made different
versions. I collect them like beer bottles and test them for accuracy and
response... like beer.
-CS
/*
----------------------------------------------------------
Adaptive RSI w/Hilbert Cycle Period
AFL conversion by Corey Saxe
<FONT color=#000000
size=2>----------------------------------------------------------
*/
SetBarsRequired(
100000, 0 );
Prices =(<FONT
color=#ff0000>H+<FONT
color=#ff0000>L)/<FONT
color=#4b0082>2;
Smoother = <FONT
color=#4b0082>0; Detrender = <FONT
color=#4b0082>0;
I1 = 0<FONT
size=2>; I2 = 0<FONT
size=2>;
Q1 = 0<FONT
size=2>; Q2 = 0<FONT
size=2>;
jI = 0<FONT
size=2>; jQ = 0<FONT
size=2>;
X1 = 0<FONT
size=2>; X2 = 0<FONT
size=2>;
Y1 = 0<FONT
size=2>; Y2 = 0<FONT
size=2>;
Re = 0<FONT
size=2>; Im = 0<FONT
size=2>;
Period = <FONT
color=#4b0082>0;SmoothPeriod=<FONT
color=#4b0082>1;
CU=0<FONT
size=2>; CD=0<FONT
size=2>;
pi = 4<FONT
size=2> * atan(<FONT
color=#4b0082>1) ;
for (i = 6;
i<BarCount; i++)
{
Smoother[i] = (<FONT
color=#4b0082>4*Prices[i] + <FONT
color=#4b0082>3*Prices[i-<FONT
color=#4b0082>1]+ <FONT
color=#4b0082>2*Prices[i-<FONT
color=#4b0082>2]+ Prices[i-<FONT
color=#4b0082>3])/<FONT
color=#4b0082>10;
Detrender[i] = (<FONT
color=#4b0082>0.0962*Smoother[i] + <FONT
color=#4b0082>0.5769*Smoother[i-<FONT
color=#4b0082>2] - <FONT
color=#4b0082>0.5769*Smoother[i-<FONT
color=#4b0082>4] - <FONT
color=#4b0082>0.0962*Smoother[i-<FONT
color=#4b0082>6]) * (<FONT
color=#4b0082>0.075*Period[i-<FONT
color=#4b0082>1] + <FONT
color=#4b0082>0.54<FONT
size=2>);
//{Compute InPhase AND Quadrature
components}
Q1[i] = (<FONT
color=#4b0082>0.0962*Detrender[i] + <FONT
color=#4b0082>0.5769*Detrender[i-<FONT
color=#4b0082>2] - <FONT
color=#4b0082>0.5769*Detrender[i-<FONT
color=#4b0082>4] - <FONT
color=#4b0082>0.0962*Detrender[i-<FONT
color=#4b0082>6])*(<FONT
color=#4b0082>0.075*Period[i-<FONT
color=#4b0082>1] + <FONT
color=#4b0082>0.54);
I1[i] = Detrender[i-<FONT
color=#4b0082>3<FONT
size=2>];
//{advance the phase of I1 AND Q1 by 90
degrees}
jI[i] = <FONT
color=#4b0082>0.0962*I1[i] + <FONT
color=#4b0082>0.5769*I1[i-<FONT
color=#4b0082>2] - <FONT
color=#4b0082>0.5769*I1[i-<FONT
color=#4b0082>4] - <FONT
color=#4b0082>0.0962*I1[i-<FONT
color=#4b0082>6] * (<FONT
color=#4b0082>0.075*Period[i-<FONT
color=#4b0082>1] + <FONT
color=#4b0082>0.54);
jQ[i] = <FONT
color=#4b0082>0.0962*Q1[i] + <FONT
color=#4b0082>0.5769*Q1[i-<FONT
color=#4b0082>2] - <FONT
color=#4b0082>0.5769*Q1[i-<FONT
color=#4b0082>4] - <FONT
color=#4b0082>0.0962*Q1[i-<FONT
color=#4b0082>6] * (<FONT
color=#4b0082>0.075*Period[i-<FONT
color=#4b0082>1] + <FONT
color=#4b0082>0.54<FONT
size=2>);
//{Phasor addition to equalize amplitude due to
quadrature calculations (AND 3 bar averaging)}
I2[i] = I1[i] - jQ[i];
Q2[i] = Q1[i] + jI[i];<FONT color=#008000
size=1>
//{Smooth the I AND Q components before applying
the discriminator}
I2[i] = <FONT
color=#4b0082>0.2*I2[i] + <FONT
color=#4b0082>0.8*I2[i-<FONT
color=#4b0082>1];
Q2[i] = <FONT
color=#4b0082>0.2*Q2[i] + <FONT
color=#4b0082>0.8*Q2[i-<FONT
color=#4b0082>1<FONT
size=2>];
//{Homodyne
Discriminator}
//{Complex Conjugate
Multiply}
X1[i] = I2[i]*I2[i-<FONT
color=#4b0082>1];
X2[i] = I2[i]*Q2[i-<FONT
color=#4b0082>1];
Y1[i] = Q2[i]*Q2[i-<FONT
color=#4b0082>1];
Y2[i] = Q2[i]*I2[i-<FONT
color=#4b0082>1];
Re[i] = X1[i] + Y1[i];
Im[i] = X2[i] - Y2[i];<FONT color=#008000
size=1>
//{Smooth to remove undesired Cross
products}
Re[i] = <FONT
color=#4b0082>0.2*Re[i] + <FONT
color=#4b0082>0.8*Re[i-<FONT
color=#4b0082>1];
Im[i] = <FONT
color=#4b0082>0.2*Im[i] + <FONT
color=#4b0082>0.8*Im[i-<FONT
color=#4b0082>1<FONT
size=2>];
//{Compute Cycle
Period}
if<FONT
size=2> (Im[i] != 0
AND Re[i] != <FONT
color=#4b0082>0) Period[i] = (<FONT
color=#4b0082>2*pi)/<FONT
color=#b300b3>atan<FONT
size=2>(Im[i]/Re[i]);
if<FONT
size=2> (Period[i] > 1.5<FONT
size=2>*Period[i-1])
Period[i] = 1.5<FONT
size=2>*Period[i-1<FONT
size=2>];
if<FONT
size=2> (Period[i] < 0.67<FONT
size=2>*Period[i-1])
Period[i] = 0.67<FONT
size=2>*Period[i-1<FONT
size=2>];
if<FONT
size=2> (Period[i] < 6)
Period[i] = 6<FONT
size=2>;
if<FONT
size=2> (Period[i] > 50<FONT
size=2>) Period[i] = 50<FONT
size=1>;
Period[i] = <FONT
color=#4b0082>0.2*Period[i] + <FONT
color=#4b0082>0.8*Period[i-<FONT
color=#4b0082>1<FONT
size=2>];
//End Hilbert Cycle
Period-----------------------------------------------<FONT
size=1>
SmoothPeriod[i] = <FONT
color=#4b0082>0.33 * Period[i] + <FONT
color=#4b0082>0.67 * SmoothPeriod[i-<FONT
color=#4b0082>1];
}
/*
'x=int(0.5 * SmoothPeriod(i))
' for n = 1 To int(0.5 *
SmoothPeriod(i))
' if Close(n) > Close(n-1) then
' CU(n) = CU(n-1) + ( Close(n) - Close(n-1)
)
' End if
'if Close(n) < Close(n-1) then
' CD(n) = CD(n-1) + ( Close(n-1) - Close(n)
)
'End if
'if (CU(n) + CD(n)) <> 0 then
' RSIh(n) = (100 * ( CU(n)) /( CU(n) + CD(n) )
)
' End if
'Next
*/
T=SmoothPeriod/<FONT
color=#b300b3>Param(<FONT
color=#0000ff>"SmoothPeriod Divisor",<FONT
color=#4b0082>1,<FONT
color=#4b0082>1,<FONT
color=#4b0082>5,<FONT
color=#4b0082>0.1);
T2=T/4<FONT
size=2>;Param(<FONT
color=#0000ff>"RSI Lookback Divisor",<FONT
color=#4b0082>4,<FONT
color=#4b0082>1,<FONT
color=#4b0082>15,<FONT
color=#4b0082>0.1);
mo = Prices-<FONT
color=#b300b3>Ref<FONT
size=2>(Prices,-T2);
Up = IIf<FONT
size=2>( mo>0, mo,
0<FONT
size=2>);
Dn = IIf<FONT
size=2>( mo<0, -mo,
0<FONT
size=2>);
Ut = AMA<FONT
size=2>(Up,2/(<FONT
color=#4b0082>2*T));
Dt = AMA<FONT
size=2>(Dn,2/(<FONT
color=#4b0082>2*T));
RSIt=100<FONT
size=1>*(Ut/(Ut+Dt));<FONT color=#ff0000
size=1>
GraphXSpace<FONT
size=2>=5;
Plot<FONT
size=2>(RSIt,"RSI-Hilbert",0,1);<FONT
face=Verdana color=#b300b3 size=1>
Plot<FONT
face=Verdana>(RSI<FONT
face=Verdana>(LastValue<FONT
face=Verdana>(Smoothperiod)),"LastValue
RSI",1<FONT
face=Verdana>,1<FONT face=Verdana
size=1>);
Plot(T,"Smoothed
Cycle Period",2,1|<FONT
face=Verdana>styleOwnScale);
UT=Param<FONT
size=2>("Threshold",<FONT
color=#4b0082>70,<FONT
color=#4b0082>50,<FONT
color=#4b0082>100,<FONT
color=#4b0082>1<FONT
size=2>);
PlotGrid<FONT
size=2>(UT,0);
PlotGrid<FONT
size=2>(100-UT,0);
<BLOCKQUOTE dir=ltr
>
----- Original Message -----
<DIV
>From:
Anthony Faragasso
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Sunday, February 08, 2004 4:28
AM
Subject: Re: [amibroker] Re: Determining
cycles
Corey,
How do you use this formula with other
indicators....could you give us an example.....
Thank you
Anthony
<BLOCKQUOTE
>
----- Original Message -----
<DIV
>From:
Corey
Saxe
To: <A title=amibroker@xxxxxxxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Sunday, February 08, 2004 6:24
AM
Subject: 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>
<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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Attachment:
Ehlers Hilbert RSI.afl
Attachment:
Description: "Description: Binary data"
|