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Ace,
many thanks for your code.
If you donīt mind, I would like to write some comments.
Dimitris Tsokakis
--- In amibroker@xxxxxxxxxxxxxxx, "acesheet" <acesheet@xxxx> wrote:
> Hi Folks,
>
> Below is some code that I developed awhile ago to create Hurst-like
> dominancy envelopes. Its roughly identical to the Wealth-Lab code
> some of you have mentioned (I wrote that too) and the AFL script is
> just about the same thing.
>
> The extrapolation from the lagged SMA is accomplished two different
> ways. One is a method Hurst suggests in his book "The Profit Magic
> of Stock Transaction Timing" using a parabolic fit of three points
> along a centered SMA.
>
> The other is as Clyde Lee suggested in the Swing Machine Yahoo
board
> by taking the shape of the CMA from one cycle period ago and
> starting it where the 1/2 period lagged data ends.
>
> Both are shown on this code.
>
> I've found the Hilbert period algorythm offered at the Amibroker
> third party page is somewhat unstable so I set the periods by
> counting between significant lows and using the parameter setting
> functions.
>
> Be warned. You cannt backtest this code. If you do you will get
> unbelievably good results because you have shifted known data back
> in time to a point where you cannot possibly have known the data
for
> sure to trade by.
>
> Enjoy.
>
> -ace
>
> //------------------------------------------------------
> // -------------------- HURST DE ---------------------
> // --- by Ace
> //------------------------------------------------------
> // Hurst DE based on Centered SMA's with a forward projected
> // curve based on A parabolic fit
> //------------------------------------------------------
> // SET THE S/T and I/T PERIODS
> periodicity=Interval();
> p1=Param("1) S/T DE Period",20,3,373,1);
> p2=Param("2) I/T DE Period",50,3,373,1);
> p3=Param("3) L/T DE Period",144,3,373,1);
>
> //------------------------------------------------------
> // Moving Averages and Lags
> //------------------------------------------------------
> p0=p1/2;
> IIf(p1/2!=round(p1/2),p0=p0-1,p0=p0);
> Ave0=MA(Avg,p0);
> Ave1=MA(Avg,p1);
> Ave2=MA(Avg,p2);
> Ave3=MA(Avg,p3);
>
> Lag0=(p0+1)/2;
> Lag1=(p1+1)/2;
> Lag2=(p2+1)/2;
> Lag3=(p3+1)/2;
> //------------------------------------------------------
> // Center the MA's
> //------------------------------------------------------
> cma0=Ref(Ave0,Lag0);
> cma1=Ref(Ave1,Lag1);
> cma2=Ref(Ave2,Lag2);
> cma3=Ref(Ave3,Lag3);
> //------------------------------------------------------
> // Percentage Based Widths
> //------------------------------------------------------
> k=3;
> dp1=LastValue(Ref(StDev( (Close-cma1)/cma1, k*p1 ),(p1+1)/2-1));
> dp2=LastValue(Ref(StDev( (Close-cma2)/cma2, k*p2 ),(p2+1)/2-1));
> dp3=LastValue(Ref(StDev( (Close-cma3)/cma3, k*p3 ),(p3+1)/2-1));
> //------------------------------------------------------
> // Arithmetic Widths
> //------------------------------------------------------
> /*
> Hilo=IIf(H-cma1>=cma1-L,H-cma1,L-cma1);
> //dp1=LastValue(Ref(StDev( (Close-cma1), k*p1 ),-Lag1));
> dp1=LastValue(Ref(StDev( Hilo, k*p1 ),-Lag1));
> Hilo=IIf(H-cma2>=cma2-L,H-cma2,L-cma2);
> //dp2=LastValue(Ref(StDev( Close-cma2, k*p2 ),-Lag2));
> dp2=LastValue(Ref(StDev( Hilo, k*p2 ),-Lag2));
> Hilo=IIf(H-cma3>=cma3-L,H-cma3,L-cma3);
> //dp3=LastValue(Ref(StDev( Close-cma3, k*p3 ),-Lag3));
> dp3=LastValue(Ref(StDev( Hilo, k*p3 ),-Lag3));
> */
> //------------------------------------------------------
> // Calculate a Parabolic Extension for the S/T DE
> //------------------------------------------------------
> tn=round(p1/6);
> fillforward=BarIndex() >= LastValue( BarIndex() )-Lag1;
> t=BarIndex()-Ref(BarIndex(),Lag1)+Lag1;
> // Get Constants for the Parabolic fit equation
> Sm=LastValue(Ref(Ave1,-2*tn));
> // This coordinate is actually t=0
> So=LastValue(Ref(Ave1,-tn));
> Sp=LastValue(Ave1);
> // Calculate coeff's for the parabola
> Ak=So;
> Bk=(Sp-Sm)/2/tn;
> Ck=(Sp+Sm-2*So)/2/tn^2;
> parabfit1=Ak+Bk*t+Ck*t^2;
> dy1=LastValue(Ave1)-Ak;
> cma1=IIf(fillforward,parabfit1+dy1,cma1);
> //------------------------------------------------------
> // Calculate a Parabolic Extension for the I/T DE
> //------------------------------------------------------
> tn=round(p2/6);
> fillforward=BarIndex() >= LastValue( BarIndex() )-Lag2;
> t=BarIndex()-Ref(BarIndex(),Lag2)+Lag2;
> // Get Constants for the Parabolic fit equation
> Sm=LastValue(Ref(Ave2,-2*tn));
> // This coordinate is actually t=0
> So=LastValue(Ref(Ave2,-tn));
> Sp=LastValue(Ave2);
> // Calculate coeff's for the parabola
> Ak=So;
> Bk=(Sp-Sm)/2/tn;
> Ck=(Sp+Sm-2*So)/2/tn^2;
> parabfit2=Ak+Bk*t+Ck*t^2;
> dy2=LastValue(Ave2)-Ak;
> cma2=IIf(fillforward,parabfit2+dy2,cma2);
> //------------------------------------------------------
> // Calculate a Parabolic Extension for the L/T DE
> //------------------------------------------------------
> tn=round(p3/6);
> fillforward=BarIndex() >= LastValue( BarIndex() )-Lag3;
> t=BarIndex()-Ref(BarIndex(),Lag3)+Lag3;
> // Get Constants for the Parabolic fit equation
> Sm=LastValue(Ref(Ave3,-2*tn));
> // This coordinate is actually t=0
> So=LastValue(Ref(Ave3,-tn));
> Sp=LastValue(Ave3);
> // Calculate coeff's for the parabola
> Ak=So;
> Bk=(Sp-Sm)/2/tn;
> Ck=(Sp+Sm-2*So)/2/tn^2;
> parabfit3=Ak+Bk*t+Ck*t^2;
> dy3=LastValue(Ave3)-Ak;
> cma3=IIf(fillforward,parabfit3+dy3,cma3);
> //------------------------------------------------------
> // Fast MA with parabolic fit - p1/2 period
> //------------------------------------------------------
> tn=round(p0/6);
> fillforward=BarIndex() >= LastValue( BarIndex() )-Lag0;
> t=BarIndex()-Ref(BarIndex(),Lag0)+Lag0;
> // Get Constants for the Parabolic fit equation
> Sm=LastValue(Ref(Ave0,-2*tn));
> // This coordinate is actually t=0
> So=LastValue(Ref(Ave0,-tn));
> Sp=LastValue(Ave0);
> // Calculate coeff's for the parabola
> Ak=So;
> Bk=(Sp-Sm)/2/tn;
> Ck=(Sp+Sm-2*So)/2/tn^2;
> parabfit0=Ak+Bk*t+Ck*t^2;
> dy0=LastValue(Ave0)-Ak;
> cma0=IIf(fillforward,parabfit0+dy0,cma0);
> //------------------------------------------------------
> Plot( Close, "OHLC", colorBlack, styleCandle);
> //------------------------------------------------------
> // Plot Arithmetic Bands
> //------------------------------------------------------
> /*
> //Plot(cma1,"I/T-CTR",colorRed,styleLine);
> Plot(cma1+2*dp1,"S/T-UB",colorRed,styleLine);
> Plot(cma1-2*dp1,"S/T-LB",colorRed,styleLine);
> //Plot(cma2,"I/T-CTR",colorBlue,styleLine);
> Plot(cma2+2*dp2,"I/T-UB",colorBlue,styleLine);
> Plot(cma2-2*dp2,"I/T-LB",colorBlue,styleLine);
> //Plot(cma3,"L/T-CTR",colorGreen,styleLine);
> Plot(cma3+2*dp3,"L/T-UB",colorGreen,styleLine);
> Plot(cma3-2*dp3,"L/T-LB",colorGreen,styleLine);
> Plot(cma0,"Zline",colorBrown,styleLine);
> */
> //------------------------------------------------------
> // Write the selected bar lengths to the window
> //------------------------------------------------------
> "HURST DOMINANCY ENVELOPES";
> "Current Periods are set to: ";
> "S/T Period: "+WriteVal(p1,3.0);
> "I/T Period: "+WriteVal(p2,3.0);
> "L/T Period: "+WriteVal(p3,3.0);
> " ";
> "Select a range on the screen to calculate a period.";
> " ";
> rangelength = EndValue( BarIndex() ) - BeginValue( BarIndex() );
> "Selected Range is "+
> WriteVal( rangelength, format = 3.0 )+
> " bars";
> //------------------------------------------------------
> // Use the below plotting for % Width Bands
> //------------------------------------------------------
> m=2.2;
> Plot(cma1*(1+m*dp1),WriteVal(p1,3.0)+"p"+" UB",colorRed,styleLine);
> Plot(cma1*(1-m*dp1),"LB",colorRed,styleLine);
> Plot(cma2*(1+m*dp2),WriteVal(p2,3.0)+"p"+" UB",colorBlue,styleLine);
> Plot(cma2*(1-m*dp2),"LB",colorBlue,styleLine);
> Plot(cma3*(1+m*dp3),WriteVal(p3,3.0)+"p"+"
UB",colorGreen,styleLine);
> Plot(cma3*(1-m*dp3),"LB",colorGreen,styleLine);
> ub=cma1*(1+m*dp1);
> Lb=cma1*(1-m*dp1);
> inpercentage1=Sum(IIf(H<ub AND H>lb AND L<ub AND
> L>lb,1,0),3*p1)/3/p1*100;
> "";
> ub=cma2*(1+2*dp2);
> Lb=cma2*(1-2*dp2);
> inpercentage2=Sum(IIf(H<ub AND H>lb AND L<ub AND
> L>lb,1,0),3*p2)/3/p2*100;
> ub=cma3*(1+2*dp3);
> Lb=cma3*(1-2*dp3);
> inpercentage3=Sum(IIf(H<ub AND H>lb AND L<ub AND
> L>lb,1,0),3*p3)/3/p3*100;
> "";
> WriteVal(inpercentage1,3.0)+"% prices within 1st DE over 3 Periods";
> WriteVal(inpercentage2,3.0)+"% prices within 2nd DE over 3 Periods";
> WriteVal(inpercentage3,3.0)+"% prices within 3rd DE over 3 Periods";
> PlotShapes(IIf(Cross(BarIndex(),BarCount-1-
> (p1+1)/2),shapeSmallUpTriangle,0), colorRed, 0, cma1*(1-2*dp1));
> PlotShapes(IIf(Cross(BarIndex(),BarCount-1-
> (p2+1)/2),shapeSmallUpTriangle,0), colorBlue, 0, cma2*(1-2*dp2));
> PlotShapes(IIf(Cross(BarIndex(),BarCount-1-
> (p3+1)/2),shapeSmallUpTriangle,0), colorGreen, 0, cma3*(1-2*dp3));
> //------------------------------------------------------
> // Clyde Lee said that Hurst recommended going back one
> // full cycle to and copy that centerline shape to the
> // shifted CMA to project forward for the envelopes.
> //------------------------------------------------------
> dy1=LastValue(Ref(cma1,-3*p1/2))-LastValue(Ref(cma1,-p1/2));
> RefCMA1=IIf(BarIndex()>=BarCount-p1/2-1,Ref(cma1,-p1),Null)-dy1;
> Plot(RefCMA1*(1+m*dp1),"RefUB1",colorOrange);
> Plot(RefCMA1*(1-m*dp1),"RefLB1",colorOrange);
>
>
> dy2=LastValue(Ref(cma2,-3*p2/2))-LastValue(Ref(cma2,-p2/2));
> Refcma2=IIf(BarIndex()>=BarCount-p2/2-1,Ref(cma2,-p2),Null)-dy2;
> Plot(Refcma2*(1+m*dp2),"RefUB1",colorLightBlue);
> Plot(Refcma2*(1-m*dp2),"RefLB1",colorLightBlue);
>
> dy3=LastValue(Ref(cma3,-3*p3/2))-LastValue(Ref(cma3,-p3/2));
> Refcma3=IIf(BarIndex()>=BarCount-p3/2-1,Ref(cma3,-p3),Null)-dy3;
> Plot(Refcma3*(1+m*dp3),"RefUB1",colorSeaGreen);
> Plot(Refcma3*(1-m*dp3),"RefLB1",colorSeaGreen);
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