|
PureBytes Links
Trading Reference Links
|
I believe Tomasz Janeczko published in the past an adaptive
CCI (CCIa?).
Search the archived of this forum for adaptive indicator or
variable period CCI
jb
______________________________________________________________
-----Original Message-----
From: amibroker@xxxxxxxxxxxxxxx
[mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of scourt2000
Sent: Tuesday, January 01, 2008 10:07 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: [amibroker] Re: Is there a way to get CCI to accept
an array for periods?
Bill,
Sounds like you're interested in John Ehlers' work on adaptive
indicators that he explained in Chapter 22 of his book,
"Rocket
Science for Traders". He took some common momentum indicators
(including the CCI) and coded them up to be adaptive in
Tradestation
Easy Language.
Also, you can find a couple of articles about this at
tuckerreport.com
--- In amibroker@xxxxxxxxxxxxxxx, "bilbo0211" <bilbod@xxx>
wrote:
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Howard B" <howardbandy@>
wrote:
> > For this statement:
> > somevar = CCI(parm);
> > "somevar" will be an array with one element for every bar
of the
> data array,
> > the value of that element the result of applying the CCI
function
to the
> > "average" of that bar ((H+L+C)/3), for the lookback length
of "parm".
> >
> > What problem are you trying to solve?
> >
>
> I want parm to be an array.
>
> What I am doing is trying to 'tune' the CCI to the dominant
cycle in
> the market.
>
> Let me give you a simplistic example using moving averages.
>
> If you are trading a trending market (longer period dominant
cycle),
> you want a longer period moving average to filter out the
small
(high
> frequency) corrections that occur.
>
> In a trading range market (shorter period dominant cycle),
you want
a
> shorter period moving average that can react more quickly to
the
> shorter term changes in direction.
>
> I started by using the fft to estimate the dominant cycle
but I had
a
> lot of trouble coding something useful so I switched to
Ehler's
> estimate (using Laguerre filter, it's in the afl library).
>
> As crude as that estimate is, it improves the performance of
the
> indicators I tried it on. If I could get a more accurate
measure of
> the dominant cycle, I am confident it would improve
performance
even more.
>
> That's why I want the period of the CCI to vary.
>
> I also don't see any point to include the C of a bar for
intraday
> charts. I use CCIa((H+L)/2,period).
>
> Bill
>
Please note that this group is for discussion between users
only.
To get support from AmiBroker please send an e-mail directly
to
SUPPORT {at} amibroker.com
For NEW RELEASE ANNOUNCEMENTS and other news always check
DEVLOG:
http://www.amibroker.com/devlog/
For other support material please check also:
http://www.amibroker.com/support.html
Yahoo! Groups Links
Please note that this group is for discussion between users only.
To get support from AmiBroker please send an e-mail directly to
SUPPORT {at} amibroker.com
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
For other support material please check also:
http://www.amibroker.com/support.html
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> Your email settings:
Individual Email | Traditional
<*> To change settings online go to:
http://groups.yahoo.com/group/amibroker/join
(Yahoo! ID required)
<*> To change settings via email:
mailto:amibroker-digest@xxxxxxxxxxxxxxx
mailto:amibroker-fullfeatured@xxxxxxxxxxxxxxx
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|