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Ton
Back in the old MetaStock days I had fiddled around with using the packaged
FFT in MS. I had used it to extract the current dominant cycle length in a
market and then used it to compute studies. The results were quite
satisfactory. Then I changed platforms to AB and the whole idea got shelved..
Subsequently I have tried to find a way of extracting current dominant cycle
length in an issue/market in AB but have not seen any way of using it which
my non-engineering/mathmetician brain could comprehend. It was in this
context I tried DT's code. Unfortunately (a) it was computing power
intensive and (b) the results were beyond my comprehension so I gave up on
it. I still would like to find a way of ascertaining what the current cycle
length is in an issue but have not been able to make much progress. Perhaps
someone on the list could throw up some ideas which are implementable on the
AB platform.
R
On 9/6/06, Ton Sieverding <ton.sieverding@xxxxxxxxxx> wrote:
>
> Thanks Rakesh. I've tried underneath mentioned AFL code for Fourier
> analysis. It does something but I have some questions :
>
> 1. I have the feeling that the code uses a lot of computer power. When
> modifying the parameters it takes several seconds ( about 5 sec ) before I
> have a result on the graph. I am using a Ghz 2.6 CPU with 1GB internal and
> have never seen my computer so slow. Do you have the same experience ?
> 2. What I would like to see is a couple of sine waves being the harmonics
> of the original time series. So more or less the same picture as Fred's
> Cycles. But that's not what I get. Also the calculations for the Fourier
> analysis does not look familiar to me. Where can I find the logical
> background behind these formulas ?
>
> Ton.
>
>
>
> ----- Original Message -----
> *From:* Rakesh Sahgal <rakeshsahgal@xxxxxxxxx>
> *To:* amibroker@xxxxxxxxxxxxxxx
> *Sent:* Tuesday, September 05, 2006 2:12 PM
> *Subject:* Re: [amibroker] Re: Cycles and Mesa
>
> If you are interested in Fourier Analysis in AB environment you should
> refer to the work of Dmitris Tsokasis who shared his work on Fourier
> Analysis with the group. Am pasting below his code. I have never used it and
> would not know how to apply it in a meaningful manner. Hope you find it
> useful.
>
>
> R
>
>
> ===============================
> // Elementary Fourier analysis, by D. Tsokakis, May 2004
>
> t=Cum(1)-1;
>
> A=Param("Rsi",50,1,100,1);
>
> B=Param("smooth",100,1,120,1);
>
> C1=MA(RSI(A),B);
>
> start=Cum(IsTrue(C1))==1;
>
> t1=ValueWhen(start,t);
>
> PlotShapes(shapeDownTriangle*start,colorYellow);
>
> C10=ValueWhen(start,C1);Plot(C1,"C1",colorBlack,8);
>
> GraphXSpace=2;
>
> x = Cum(1);
>
> lastx = LastValue( x );
>
> Daysback = LastValue(Cum(IsTrue(C1)));
>
> aa = LastValue( LinRegIntercept( C1, Daysback) );
>
> bb = LastValue( LinRegSlope( C1, Daysback ) );
>
> yy = Aa + bb * ( x - (Lastx - DaysBack) );
>
> yy=IIf( x >= (lastx - Daysback), yy, -1e10 );
>
> Plot( yy, "yy", colorRed );
>
> detrend=C1-yy;
>
> new1=detrend;Hor=LastValue(Cum(new1)/Cum(IsTrue(C1)));
>
> pi=4*atan(1);n=12;
>
> // Fundamental period, crude approximation
>
> error00=10000;per01=0;g01=0;phi01=0;stg0=0.5;stp0=100;
>
> for(phi=0;phi<2*pi;phi=phi+pi/n)
>
> {
>
> for(g=0.5;g<=8;g=g+stg0)
>
> {
>
> for(per=300;per<=1000;per=per+stp0)
>
> {f=1/per;
>
> y=Hor+g*sin(2*pi*f*(t-t1)+phi);
>
> error=LastValue(Cum(abs(y-new1)));
>
> if(error<error00)
>
> {error00=error;per01=per;g01=g;phi01=phi;}
>
> }}}
>
> f01=1/per01;y01=Hor+g01*sin(2*pi*f01*(t-t1)+phi01);
>
> Plot(y01+yy,"y01",colorSkyblue,4);
>
> Title=Name()+" [ Sample="+WriteVal(Daysback,1.0)+" bars
> ]"+"\nyS0="+WriteVal(Hor,1.2)+
>
> "\nyS01="+
>
> WriteVal(g01,1.1)+"*sin(2*pi*(1/"+
>
> WriteVal(per01,1.0)+")*(t-t1)+"+
>
> WriteVal(12*phi01/pi,1.0)+"*pi/"+WriteVal(n,1.0)+"), Error1 ="+
>
> WriteVal(LastValue(Cum(abs(y01-new1))),1.0)+", Error1/bar ="+
>
> WriteVal(2*LastValue(Cum(abs(y01-new1)))/Daysback,1.2)+" %";;
>
> // Fundamental period, detailed approximation
>
> error0=10000;per1=0;g1=0;phi1=0;stg=0.5;stp=10;
>
> for(phi=0;phi<2*pi;phi=phi+pi/n)
>
> {
>
> for(g=0.5;g<=8;g=g+stg)
>
> {
>
> for(per=per01-stp0;per<=per01+stp0;per=per+stp)
>
> {f=1/per;
>
> y=Hor+g*sin(2*pi*f*(t-t1)+phi);
>
> error=LastValue(Cum(abs(y-new1)));
>
> if(error<error0)
>
> {error0=error;per1=per;g1=g;phi1=phi;}
>
> }}}
>
> f1=1/per1;y1=Hor+g1*sin(2*pi*f1*(t-t1)+phi1);
>
> Plot(y1+yy,"y1",colorBlue,4);
>
> Title=Title+
>
> "\nyS1="+
>
> WriteVal(g1,1.1)+"*sin(2*pi*(1/"+
>
> WriteVal(per1,1.0)+")*(t-t1)+"+
>
> WriteVal(12*phi1/pi,1.0)+"*pi/"+WriteVal(n,1.0)+"), Error1 ="+
>
> WriteVal(LastValue(Cum(abs(y1-new1))),1.0)+", Error1/bar ="+
>
> WriteVal(2*LastValue(Cum(abs(y1-new1)))/Daysback,1.2)+" %";;
>
> // 2nd Harmonic
>
> error0=10000;
>
> for(phi=0;phi<2*pi;phi=phi+pi/n)
>
> {
>
> for(g=0;g<=8;g=g+0.1)
>
> {
>
> per2=per1/2;f=1/per2;
>
> y2=y1+g*sin(2*pi*f*(t-t1)+phi);
>
> error2=LastValue(Cum(abs(y2-new1)));
>
> if(error2<error0)
>
> {error0=error2;g2=g;phi2=phi;}
>
> }}
>
> f2=1/per2;y2=y1+g2*sin(2*pi*f2*(t-t1)+phi2);
>
> Plot(y2+yy,"y1",colorYellow,8);
>
> Title=Title+
>
> "\nyS2="+
>
> WriteVal(g2,1.1)+"*sin(2*pi*(1/"+
>
> WriteVal(per2,1.0)+")*(t-t1)+"+
>
> WriteVal(12*phi2/pi,1.0)+"*pi/"+WriteVal(n,1.0)+"), Error2 ="+
>
> WriteVal(LastValue(Cum(abs(y2-new1))),1.0)+", Error2/bar ="+
>
> WriteVal(2*LastValue(Cum(abs(y2-new1)))/Daysback,1.2)+" %";;
>
> // 3rd Harmonic
>
> error0=10000;
>
> for(phi=0;phi<2*pi;phi=phi+pi/n)
>
> {
>
> for(g=0;g<=8;g=g+0.1)
>
> {
>
> per3=per2/2;f=1/per3;
>
> y3=y2+g*sin(2*pi*f*(t-t1)+phi);
>
> error3=LastValue(Cum(abs(y3-new1)));
>
> if(error3<error0)
>
> {error0=error3;g3=g;phi3=phi;}
>
> }}
>
> f3=1/per3;y3=y2+g3*sin(2*pi*f3*(t-t1)+phi3);
>
> Plot(y3+yy,"y1",colorWhite,8);
>
> Title=Title+
>
> "\nyS3="+
>
> WriteVal(g3,1.1)+"*sin(2*pi*(1/"+
>
> WriteVal(per3,1.0)+")*(t-t1)+"+
>
> WriteVal(12*phi3/pi,1.0)+"*pi/"+WriteVal(n,1.0)+"), Error3 ="+
>
> WriteVal(LastValue(Cum(abs(y3-new1))),1.0)+", Error3/bar ="+
>
> WriteVal(2*LastValue(Cum(abs(y3-new1)))/Daysback,1.2)+" %";
>
> /*
>
> ===============================
>
> On 9/5/06, Ton Sieverding <ton.sieverding@xxxxxxxxxx> wrote:
> >
> > I certainly like what I see Fred. But do you have the AFL code for this
> > picture also ?
> > Is this based on Fourier stuff ? I have tried to find the FTT
> > instructions in AFL but cannot find them. Do they exist in AFL or did you
> > use some special DLL ?
> >
> > Kind regards,
> > Ton Sieverding.
> >
> >
> > ----- Original Message -----
> > *From:* Fred Tonetti <ftonetti@xxxxxxxxxxxxx>
> > *To:* amibroker@xxxxxxxxxxxxxxx
> > *Sent:* Tuesday, September 05, 2006 6:18 AM
> > *Subject:* [amibroker] Re: Cycles and Mesa
> >
> > For example ?
> >
> > <<...>>
> >
> > ------------------------------
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> >
>
>
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