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you can try this one to see how it reacts on different initLengths.
There are some "magic" periods like 19, 29, when twitch jumps off
the fitted curve, one can look at why it happens with these primes,
but it certainly might w/ARMA
cheers-- alex
/////////////////////////////////////////////////////
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;
}
initL = Param("init",3,2,50,1);
tw = twitch(C,initL);
Plot(tw,"twitch",1,1);
Plot(C,"c",1,64);
--- 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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>
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