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Re: [amibroker] Re: Empirical Mode Decomposition


  • Date: Thu, 4 Mar 2010 08:59:41 +0100
  • From: "Ton Sieverding" <ton.sieverding@xxxxxxxxxx>
  • Subject: Re: [amibroker] Re: Empirical Mode Decomposition

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Thanks Mike. I must have misunderstood the article. I got the feeling that FracAvgPeak and FracAvgValley should give me a band for BP. That's not what I get with this code because I am using the same BP1 for both ... In my opinion it should be something like
FracAvgPeak = BP + Delta and FracAvgValley - Delta ... Anyway I must read the article again.
 
Regards, Ton.
 
 
----- Original Message -----
From: Mike
Sent: Wednesday, March 03, 2010 10:30 PM
Subject: [amibroker] Re: Empirical Mode Decomposition

 

Ton,

The intent appears to be to split the BP[1] values into peaks and valleys such that the two averages can be calculated independent of the other.

Mike

--- In amibroker@xxxxxxxxxps.com, "Ton Sieverding" <ton.sieverding@...> wrote:
>
> Hi John. It's not that I cannot translate lines 29 thru 36 in AFL. My problem is that I do not understand the code :
>
> 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] ;
>
> What's the difference between Peak and Valley in the above code ? For me they always have the same value because whatever happens this value is BP[1] ...
>
> BTW BP is an array and AFL handles this with the double if.( Iff( BP<Ref(BP,-1) etc. ) ...
>
> Regards, Ton.
>
>
> ----- Original Message -----
> From: bbands
> To: amibroker@xxxxxxxxxps.com
> Sent: Wednesday, March 03, 2010 5:01 PM
> Subject: [amibroker] Re: Empirical Mode Decomposition
>
>
>
> 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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