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Dimitris,
Not at all. That's why I posted the code. I've been fascinated by
this cyclic stuff, but have not determened a way to back test its
usefullness. Forward testing is a viable option, but that could take
quite a bit of time.
Feel free to comment on anything regarding the code.
-ace
--- In amibroker@xxxxxxxxxxxxxxx, "DIMITRIS TSOKAKIS" <TSOKAKIS@xxxx>
wrote:
> 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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