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[amibroker] Re: Empirical Mode Decomposition


  • Date: Wed, 03 Mar 2010 16:01:38 -0000
  • From: "bbands" <BBands@xxxxxxxxx>
  • Subject: [amibroker] Re: Empirical Mode Decomposition

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I've included the TradeStation code below. It is lines 29 through 36 that I am having trouble realizing in AB.

TIA,

     John

1.	Indicator:  EmpiricalMode
2.	inputs:
3.	Price( 0.5 * ( High + Low ) ),
4.	Period( 20 ),
5.	Delta1( 0.5 ),
6.	Fraction( 0.1 ) ;

7.	variables:
8.	Beta1( 0 ),
9.	Gamma1( 0 ),
10.	Alpha( 0 ),
11.	HalfAlphaDiff( 0 ),
12.	Beta1OnePlusAlpha( 0 ),
13.	BP( 0 ),
14.	Trend( 0 ),
15.	Peak( 0 ),
16.	Valley( 0 ),
17.	AvgPeak( 0 ),
18.	FracAvgPeak( 0 ),
19.	AvgValley( 0 ),
20.	FracAvgValley( 0 ) ;

21.	Beta1 = Cosine( 360 / Period ) ;
22.	Gamma1 = 1 / Cosine( 720 * Delta1 / Period ) ;
23.	Alpha = Gamma1 - SquareRoot( Square( Gamma1 ) - 1 ) ;
24.	HalfAlphaDiff = 0.5 * ( 1 - Alpha ) ;
25.	Beta1OnePlusAlpha = Beta1 * ( 1 + Alpha ) ;
26.	BP = HalfAlphaDiff * ( Price - Price[2] ) +
27.	Beta1OnePlusAlpha * BP[1] - Alpha * BP[2] ;
28.	Trend = Average( BP, 2 * Period ) ;

29.	if BP[1] > BP and BP[1] > BP[2] then 
30.	Peak = BP[1]
31.	else if BP[1] < BP and BP[1] < BP[2] then 
32.	Valley = BP[1] ;

33.	AvgPeak = Average( Peak, 50 ) ;
34.	FracAvgPeak = Fraction * AvgPeak ;
35.	AvgValley = Average( Valley, 50 ) ;
36.	FracAvgValley = Fraction * AvgValley ;

37.	Plot1( Trend, "Trend" ) ;
38.	Plot2( FracAvgPeak, "AvgPeak" ) ;
39.	Plot3( FracAvgValley, "AvgValley" ) ;




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