Re: [amibroker] Cycles

[Jason Hart <jhart_1972@xxxxxxxxx>]

Rakesh,

 

Try this formula from the library.  It is based on some of JM Hurst's work.  He's written some good books on this subject - check out "Profit from transaction timing" ~ that's not the exact title but something along those lines.

 

Jason

 

Plot( Close, "Price", colorWhite, styleCandle );

//------------------------------------------------------

// -------------------- 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);

a1=(C-Ref(C,-1))/(Ref(C,-1))*100;

b = 1041231;

a=DateNum()==b;

i=ValueWhen(a,C);

ii = ((C-i)/i)*100;

Title = Name() + " - " + WriteVal( DateTime(), formatDateTime ) + " - " + " Open: " + O + ", Hi: " + H + ", Low: " + L + ", Close: " + C + " " + NumToStr(a1,1.2) + "%" + ", Volume: " + Writeb =

________________________________________________________

Rakesh Sahgal <rakeshsahgal@xxxxxxxxx> wrote:

Hi All


Has anyone done any work on identifying the cycle
prevalent in any market at a given point in time, that
they would not mind sharing?

TIA


Rakesh



           
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