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[amibroker] Re: Empirical Mode Decomposition


  • Date: Wed, 03 Mar 2010 21:27:58 -0000
  • From: "Mike" <sfclimbers@xxxxxxxxx>
  • Subject: [amibroker] Re: Empirical Mode Decomposition

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Hi John,

I've never coded in EasyLanguage, but it looks like it might be the following:

BP1 = Ref(BP, -1);
BP2 = Ref(BP, -2);

Peak = IIF( BP1 > BP AND BP1 > BP2, BP1, 0 );
Valley = IIF( BP1 < BP AND BP1 < BP2, BP1, 0 );

AvgPeak = MA( Peak, 50 );
FracAvgPeak = Fraction * AvgPeak;
AvgValley = MA( Valley, 50 );
FracAvgValley = Fraction * AvgValley;

Mike

--- In amibroker@xxxxxxxxxxxxxxx, "bbands" <BBands@xxx> wrote:
>
> 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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