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Simplified ARMA. Plots OK for me, twitch !=C
Please let me know if it works for you.
Note that x, u, u1, ... = _constants_,
not arrays, so I do not quite understand the BobR code you posted.
cheers-- alex
//---8<-------------------------------------------------
function twitch(price,initLength)
// alex-- ARMA(2) "twitch" v.2 simplified
{
length = x = u = u1 = u1_2 = u_2 =0;
y=y1=y2=0;
if ( initLength < 2 ) length = 2; else length = initlength;
x =(1- cos(360/Length))/0.414213562;
u =-x + sqrt(x*x+2*x);
u1 = 1.0-u;
u1_2 =u1*u1;
u_2 =u*u;
y1 =price[0];
y2 =y1;
tw = Cum(0);
for ( i = 1; i < BarCount; i++ )
{
y = u_2* price[i]+2*u1*y1-u1_2*y2;
y2=y1;
y1=y;
tw[i]=y;
}
return tw;
}
tw = twitch(C,3);
Plot(tw,"twitch",1,1);
Plot(C,"c",1,64);
//---8<---------------------------------------
--- In amibroker@xxxxxxxxxxxxxxx, "Terry" <MagicTH@xxxx> wrote:
>
> I tried several variations, but I'm not getting it. It plots, but
has a
> very odd reaction with different periods and does not emulate the
chart
> previously posted and attached again. If any Tradestation person
would
> like to have a look.
>
>
>
> Here's the code I have so far (with notes).
>
>
>
> //================= TWITCH FUNCTION ======================
>
> /*
>
> EASYLANGUAGE FUNCTION:
>
> Inputs: price(NumericSeries), initLength(NumericSimple);
>
> variables: length(0), x(0), y(0), y1(0), y2(0), u(0), u1(0), u1_2
(0),
> u_2(0);
>
>
>
> If initLength <2 then length = 2 else length = initlength;
>
> if CurrentBar = 1 then begin
>
> x=(1- cosine(360/Length))/0.414213562;
>
> u=-x + squareroot(x*x+2*x);
>
> u1= 1.0-u;
>
> u1_2=u1*u1;
>
> u_2=u*u;
>
> y1=price;
>
> y2=y1;
>
> end;
>
> y=u_2* price+2*u1*y1-u1_2*y2;
>
> y2=y1;
>
> y1=y;
>
>
>
> TWITCH=Y
>
>
>
> //From Fred:
>
>
>
> Subject: [amibroker] Re: EasyLanguage question
>
>
>
> In the ela/d/s code ...
>
>
>
> Y = u_2* price+2*u1*y1-u1_2*y2;
>
> y2 = y1;
>
> y1 = y;
>
>
>
> The next time Y is calculated ( on the next bar ) Y2 will have the
>
> value of Y from two bars ago ... Y1 will have the value of Y from
>
> one bar ago ...
>
> */
>
> function twitch (tprice, initLength)
>
> { /*
>
> Code for this function coded by: BobR
>
> Code from Futures magazine Jan 2006, P39
>
> Adapted to Amibroker by TerryH on 1/31/2006
>
> */
>
>
>
> length = Max( 2, initLength);
>
> for (t = 1; t < BarCount; t++)
>
> {
>
> x[t] = (1 - cos(360 / length)) / 0.414213562;
>
> u[t] = -x[t] + sqrt(x[t]^2 + 2 * x[t]);
>
> u1[t] = 1 - u[t];
>
> //u1_2 = u1 * u1; //Substituted u1^2
>
> //u_2 = u * u; //Substituted u^2
>
> y1[t] = tprice[t-1];
>
> y2[t] = y1[t-1];
>
> }
>
> for (t = 1; t < BarCount; t++)
>
> {
>
> y[t] = u[t]^2 * tprice[t] + 2 * u1[t] * y1[t] - u1[t]^2 *
y2[t];
>
> y2[t] = y1[t-1];
>
> y1[t] = y[t-1];
>
> }
>
> return y;
>
> }
>
> //================= END FUNCTION ======================
>
>
>
> Period = Param("Twitch Period",21,2,100,1,5); //number of bars to
use in
> "average"
>
> TwValue = twitch(C,period);
>
>
>
> Plot(C,Name(),colorBlack,styleLine);
>
> Plot(TwValue,"Twitch",colorRed);
>
>
>
> --
>
> Terry
>
>
>
> -----Original Message-----
> From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx]
On
> Behalf Of Terry
> Sent: Tuesday, January 31, 2006 12:50
> To: amibroker@xxxxxxxxxxxxxxx
> Subject: RE: [amibroker] Re: EasyLanguage question
>
>
>
> Thanks Fred. That should let me make this thing work with a loop.
>
>
>
> --
>
> Terry
>
>
>
> -----Original Message-----
>
> From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx]
On
>
> Behalf Of Fred
>
> Sent: Tuesday, January 31, 2006 11:43
>
> To: amibroker@xxxxxxxxxxxxxxx
>
> Subject: [amibroker] Re: EasyLanguage question
>
>
>
> In the ela/d/s code ...
>
>
>
> Y = u_2* price+2*u1*y1-u1_2*y2;
>
> y2 = y1;
>
> y1 = y;
>
>
>
> The next time Y is calculated ( on the next bar ) Y2 will have the
>
> value of Y from two bars ago ... Y1 will have the value of Y from
>
> one bar ago ...
>
>
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Terry" <MagicTH@xxxx> wrote:
>
> >
>
> > I am trying to convert a function called Twitcher from
TradeStation
>
> > EasyLanguage. Twitcher concept was published in last month's
>
> FUTURES
>
> > Magazine. Code is from a user's group.
>
> >
>
> > QUESTION: Does the following code for y refer to the next bar
and
>
> next 2
>
> > bars or previous bars?
>
> >
>
> > Y = u_2* price+2*u1*y1-u1_2*y2;
>
> > y2 = y1;
>
> > y1 = y;
>
> >
>
> > Here's the entire EasyLanguage code (for the twitcher function)
>
> >
>
> > EASYLANGUAGE FUNCTION:
>
> > Inputs: price(NumericSeries), initLength(NumericSimple);
>
> > variables: length(0), x(0), y(0), y1(0), y2(0), u(0), u1(0), u1_2
>
> (0),
>
> > u_2(0);
>
> >
>
> > If initLength <2 then length = 2 else length = initlength;
>
> > if CurrentBar = 1 then begin
>
> > x=(1- cosine(360/Length))/0.414213562;
>
> > u=-x + squareroot(x*x+2*x);
>
> > u1= 1.0-u;
>
> > u1_2=u1*u1;
>
> > u_2=u*u;
>
> > y1=price;
>
> > y2=y1;
>
> > end;
>
> > y=u_2* price+2*u1*y1-u1_2*y2;
>
> > y2=y1;
>
> > y1=y;
>
> >
>
> > TWITCH=Y
>
> > --
>
> > Terry
>
> >
>
>
>
>
>
>
>
>
>
>
>
>
>
>
>
> Please note that this group is for discussion between users only.
>
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