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Thanks Tomasz...as far as I recall I cut-and-pasted that "placed inline
for speed" median calculation from the version posted in the library &
haven't revisited the code until now. I take it then that there is no
performance benefit to the way I have it and I should (for the benefit
of efficiency) simplify the code accordingly?
Tomasz Janeczko wrote:
> FYI: Median is built-in function
>
> Best regards,http://www.amibroker.com/f?median
> Tomasz Janeczko
> amibroker.com
>
> ----- Original Message -----
> *From:* Andy Davidson <mailto:AndyDavidson@xxxxxxxxxxxxx>
> *To:* amibroker@xxxxxxxxxxxxxxx <mailto:amibroker@xxxxxxxxxxxxxxx>
> *Sent:* Thursday, October 05, 2006 7:46 PM
> *Subject:* Re: [amibroker] Ehlers Dominant Cycle
>
> Steve,
> I think you're getting confused between Ehler's two books. As far
> as I recall (books not to hand right now) he makes the confusion
> easy as there is a "Dominant Cycle" indicator in both 'Rocket
> Science' and 'Cybernetic', which are based on different methods.
> Looks to me like the top one on your plot is the former and the
> bottom is the latter. I personally have used the latter...the code
> is copied below, which is probably nearly identical to the posted
> AFL library version as I used that as a starting point when I
> worked through it myself.
> Can't help you with the 'Rocket Science' version I'm afraid.
> Andy
>
>
> // Ehler's Dominant Cycle Period
> // Cybernetic Analysis for Stocks and Futures
> // Chapter 9, p. 107. Code on p. 111.
>
> //Global Parameters
> X = Param("MP[1] Close[2]",1,1,2,1);
> Z1 = IIf(X==1, (H+L)/2 , C);
> Z2 = Param("Alpha", .07, .01, 1, .01);
>
> function CyclePeriod(price, alpha)
> {
> instperiod = deltaphase = cycle = period = 0;
> Cycle = ( price[2] - 2*price[1] + price[0] )/4; //initialise arrays
> smooth = ( price + 2*Ref(price,-1) + 2*Ref(price,-2) +
> Ref(price,-3) )/6;
>
> for (i=6 ; i<BarCount ; i++)
> {
> Cycle[i] = (1-alpha/2)^2 * ( smooth[i] - 2*smooth[i-1] +
> smooth[i-2] ) +
> 2*(1-alpha)*Cycle[i-1] - (1-alpha)^2*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]));
> //limit Delta Phase High/Low (0.09rads = 69bars, 1.1rads =
> 6bars...per page 117)
> if(DeltaPhase[i] < 0.09)
> DeltaPhase[i] = 0.09;
> if(DeltaPhase[i] > 1.1)
> DeltaPhase[i] = 1.1;
>
> //---Begin median calculation (placed inline for speed).
> //Hardcoded as length=5 as higher values would be out of range
> due to start-up period in main loop
> for(k=4; k>=0; k--)
> { temparray[k] = DeltaPhase[i-k]; } //create new array with
> last 5 values of DeltaPhase
> temp = 0;
> for(k=4; k>0; k--) //this series of loops re-organises
> temparray into ascending order
> { for (j=4; j>0; j--)
> { if (temparray[j-1] > temparray[j]) //swap values in array
> if previous value is greater
> { temp = temparray[j-1];
> temparray[j-1] = temparray[j];
> temparray[j] = temp;
> }}}
> MedianDelta[i] = temparray[2]; //returns the middle (third)
> element of temparray
> //---End median calculation
>
> DC[i] = Nz( 6.28318 / MedianDelta[i] + .5, 15 );
>
> InstPeriod[i] = .33*DC[i] + .67*InstPeriod[i-1];
> Period[i] = .15*InstPeriod[i] + .85*Period[i-1];
> }
> for (i=0; i<7; i++)
> { Period[i] = 1; }
> return Period;
> }
>
> Plot( CyclePeriod(Z1,Z2) , "CyberCycle", colorRed );
>
>
>
> Steve Dugas wrote:
>> Hi All,
>>
>> I wonder if anyone has ever tried to code Ehlers Dominant Cycle -
>> the one based on the Homodyne Discriminator, pp. 68-69 in Rocket
>> Science. I have never used TradeStation and this is my first shot
>> at translating EasyLanguage. As far as I can see the code looks
>> OK to me but what do I know? Anyway, the graph it produces (
>> middle one ) looks pretty bad. For comparison, I plotted the
>> Dominant Cycle code from the AFL library on the bottom ( but I
>> believe this uses a different method ). I would like to go on
>> and code the rest of the indicators in the book but many are
>> built on this so I need to get this right first. Any thoughts
>> or working code would be greatly appreciated. I have enclosed my
>> code below.Thank you!
>>
>> Steve
>>
>>
>> // Dominant Cycle
>>
>> SetBarsRequired( 10000, 10000 );
>>
>> // USER DEFINED PARAMS
>>
>> Price = ( *High* + *Low* ) / 2;
>>
>> // FORMULA
>>
>> // initialize variables
>>
>> Smooth = Detrender = I1 = Q1 = jI = jQ = I2 = Q2 = Re = Im =
>> Period = SmoothPeriod = 0;
>>
>> // calculate dominant cycle period
>>
>> *for* ( i = 6; i < *BarCount*; i++ )
>>
>> {
>>
>> // smooth price data with 4-bar WMA
>>
>> Smooth[i] = ( 4 * Price[i] + 3 * Price[i-1] + 2 * Price[i-2] +
>> Price[i-3] ) / 10;
>>
>> // compute amplitude correction
>>
>> AmpCorr[i] = 0.075 * Period[i-1] + 0.54;
>>
>> // compute detrended price data and Quadrature component with
>> 7-bar Hilbert Transform
>>
>> Detrender[i] = ( 0.0962 * Smooth[i] + 0.5769 * Smooth[i-2] -
>> 0.5769 * Smooth[i-4] - 0.0962 * Smooth[i-6] ) * AmpCorr[i];
>>
>> Q1[i] = ( 0.0962 * Detrender[i] + 0.5769 * Detrender[i-2] -
>> 0.5769 * Detrender[i-4] - 0.0962 * Detrender[i-6] ) * AmpCorr[i];
>>
>> // compute InPhase component by referencing center bar of Hilbert
>> Transformer ( 3 bars ago )
>>
>> I1[i] = Detrender[i-3];
>>
>> // advance the phase of I1 and Q1 by 90 degrees with 7-bar
>> Hilbert Transform
>>
>> jI[i] = ( 0.0962 * I1[i] + 0.5769 * I1[i-2] - 0.5769 * I1[i-4] -
>> 0.0962 * I1[i-6] ) * AmpCorr[i];
>>
>> jQ[i] = ( 0.0962 * Q1[i] + 0.5769 * Q1[i-2] - 0.5769 * Q1[i-4] -
>> 0.0962 * Q1[i-6] ) * AmpCorr[i];
>>
>> // perform Phasor addition for 3-bar averaging
>>
>> I2[i] = I1[i] - jQ[i];
>>
>> Q2[i] = Q1[i] + jI[i];
>>
>> // smooth the I and Q components
>>
>> I2[i] = 0.2 * I2[i] + 0.8 * I2[i-1];
>>
>> Q2[i] = 0.2 * Q2[i] + 0.8 * Q2[i-1];
>>
>> // apply the Homodyne Discriminator
>>
>> Re[i] = I2[i] * I2[i-1] + Q2[i] * Q2[i-1];
>>
>> Im[i] = I2[i] * Q2[i-1] - Q2[i] * I2[i-1];
>>
>> // smooth the Re and Im components
>>
>> Re[i] = 0.2 * Re[i] + 0.8 * Re[i-1];
>>
>> Im[i] = 0.2 * Im[i] + 0.8 * Im[i-1];
>>
>> // compute Dominant Cycle period
>>
>> *if* ( Im[i] != 0 *AND* Re[i] != 0 )
>>
>> Period[i] = 360 / atan( Im[i] / Re[i] );
>>
>> // limit ROC of the cycle period to +/- 50% of previous cycle period
>>
>> *if* ( Period[i] > 1.5 * Period[i-1] )
>>
>> Period[i] = 1.5 * Period[i-1];
>>
>> *if* ( Period[i] < 0.67 * Period[i-1] )
>>
>> Period[i] = 0.67 * Period[i-1];
>>
>> // limit the cycle period to be > 6 or < 50
>>
>> *if* ( Period[i] < 6 )
>>
>> Period[i] = 6;
>>
>> *if* ( Period[i] > 50 )
>>
>> Period[i] = 50;
>>
>> // smooth the cycle period
>>
>> Period[i] = 0.2 * Period[i] + 0.8 * Period[i-1];
>>
>> SmoothPeriod[i] = 0.33 * Period[i] + 0.67 * SmoothPeriod[i-1];
>>
>> }
>>
>> Plot( SmoothPeriod, "Dominant Cycle", *colorWhite*,
>> *styleLine*|*styleOwnScale* );
>>
>> //Plot( Re, "Re", colorBlue, styleLine|styleOwnScale );
>>
>> //Plot( Im, "Im", colorSkyblue, styleLine|styleOwnScale );
>>
>> //Plot( Im/Re, "Im/Re", colorDarkGreen, styleLine|styleOwnScale );
>>
>> //Plot( atan(Im/Re), "atan(Im/Re)", colorBrightGreen,
>> styleLine|styleOwnScale );
>>
>> //Plot( Period, "Period", colorYellow, styleLine|styleOwnScale );
>>
>>
>> ------------------------------------------------------------------------
>>
>
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