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It is up to you, but built-in functions are several orders of magnitude faster
because they execute native CPU code.
Best regards,
Tomasz Janeczko
amibroker.com
----- Original Message -----
From: "Andy Davidson" <AndyDavidson@xxxxxxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Thursday, October 05, 2006 9:53 PM
Subject: Re: [amibroker] Ehlers Dominant Cycle
> 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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