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Hello Corey Saxe - are you on line?
Moni
-
Corey wrote a version of it and let's see if he's still
on the forum
and if you get his copy then you can compare your code
with his.
It may well be in the AFL area in Amibroker or the AB
Forum files area.
JOE
----- Original Message -----
Sent: Monday, September 12, 2005 11:57
AM
Subject: [amibroker] Ehler's SineWave
Indicator Code check form AB GURU please.
Hi,
Can any AB guru who is familiar with Ehler's work
check to see if the
following SineWave Indicator code is correct?
TIA
SetBarsRequired( 200, 0 );
// Ehlers Sine Wave
Indicator
// Cybernetic Analysis for Stocks and Futures
// Chapter 11,
p. 154.
// Original code is at:
function CyclePeriod(array,
alpha)
// Figure 9.4 on p. 111
{
smooth = (array +
2*Ref(array, -1) + 2*Ref(array, -2) + Ref(array,
-3))/6; // Weighted
Average
// for(i = 0; i < 7; i++) cycle[i]=array[i]; //
Initialize early
values and as array
for(i = 0; i < 6;
i++) {
InstPeriod[i] = 0; // Initialize early
values and as array
DeltaPhase[i] =
0;
cycle[i]=0;
Period[i]=0;
}
for(i = 6; i < BarCount; i++)
{
cycle[i] = (1 - .5*alpha)*(1 -
.5*alpha)*(smooth[i] -
2*smooth[i-1] + smooth[i-2])
+
2*(1 - alpha)*cycle[i-1] - (1 - alpha)*(1
-
alpha)*cycle[i-2];
Q1[i] = (.0962*cycle[i] +
.5769*cycle[i-2] -.5769*cycle[i-4] -
.0962*cycle[i-6])*(.5 +
.08*InstPeriod[i-1]);
I1[i] =
cycle[i-3];
if(Q1[i] != 0 AND Q1[i-1] != 0)
DeltaPhase[i] = (I1[i]/Q1[i] -
I1[i-1]/Q1[i-1])/(1
+
I1[i]*I1[i-1]/(Q1[i]*Q1[i-1]));
if(DeltaPhase[i] < 0.1) DeltaPhase[i] = 0.1;
if(DeltaPhase[i] > 1.1) DeltaPhase[i] =
1.1;
//----- Speed up the median calculation
by placing it inline
mlen =
5;
for(k = mlen - 1; k >= 0; k--) {temparray[k]
= DeltaPhase[i + k -
(mlen - 1)];}
temp=0;
for(k = mlen - 1; k > 0; k--)
{
for (j = mlen - 1; j > 0; j--)
{
if (temparray[j-1] >
temparray[j])
{
temp =
temparray[j-1];
temparray[j-1] =
temparray[j];
temparray[j] = temp;
}
}
}
MedianDelta[i] = temparray[mlen - 1 - (mlen /
2)];
//----- End median
calculation
if(MedianDelta[i] == 0) DC[i] =
15;
else DC[i] = 6.28318/MedianDelta[i] +
.5;
InstPeriod[i] = .33*DC[i] +
.67*InstPeriod[i-1];
Period[i] = .15*InstPeriod[i]
+ .85*Period[i-1];
}
return Period;
}
function
CyberCycle( array, alpha )
{
smooth = ( array + 2 * Ref( array,
-1 )
+
2 * Ref( array, -2 ) + Ref( array, -3 ) ) / 6;
// init
value
Cycle = ( array[ 2 ] - 2 * array[ 1 ] + array[ 0 ]
)/4;
for( i = 6; i < BarCount; i++ )
{
Cycle[ i ] = ( ( 1 - 0.5 * alpha) ^ 2 )
*
( smooth[ i ] - 2 * smooth[ i - 1 ] + smooth[ i - 2] )
+
2 * ( 1 - alpha ) * Cycle[ i - 1 ]
-
( ( 1 - alpha) ^ 2 ) * Cycle[ i - 2 ];
}
return
Cycle;
}
// compute cycle
Cycle = CyberCycle( (H+L)/2, 0.07
);
// Compute Dominant Cycle.
dominantPeriod = CyclePeriod (
(H+L)/2, 0.07 );
// Compute Dominant Cycle Phase.
DCPeriod = int (
LastValue(dominantPeriod) );
RealPart = 0;
ImagPart = 0;
for (
Count = 0 ; Count < DCPeriod ; Count++ ) {
RealPart = RealPart +
( sin (360 * (Count/DCPeriod)) * (Cycle[Count]));
ImagPart =
ImagPart + ( cos (360 * (Count/DCPeriod)) * (Cycle[Count]));
}
if (
abs(ImagPart) > 0.001 ) { DCPhase = atan (RealPart/ImagPart); }
if (
abs(ImagPart) <= 0.001 ) { DCPhase = 90 * sign (RealPart); }
DCPhase
= DCPhase + 90;
if ( ImagPart < 0 ) { DCPhase = DCPhase + 180;
}
if ( DCPhase > 315 ) { DCPhase = DCPhase - 360; }
Plot ( sin
(DCPhase) , "Sine" , colorBlue , styleLine + styleThick );
Plot ( sin
(DCPhase + 45), "LeadSine", colorRed , styleLine +
styleThick
);
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