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I'm sure someone has posted the code here or in the library for the
Hilbert Transform which has the capability to calculate the dominant
cycle which may be good for some things ...
However, even if you remove the noise and news driven events price,
is still at best a function of many cycle lengths/frequencies and
their corresponding amplitudes and phase shifts. In addition
these "features" like the signle feature of the so called single
dominant cycle will change over time or at best get morphed by longer
cycles with larger amplitudes.
--- In amibroker@xxxxxxxxxxxxxxx, "Rakesh Sahgal" <rakeshsahgal@xxx>
wrote:
>
> 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@xxx> 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@xxx>
> > *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@xxx> 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@xxx>
> > > *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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