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Since this is my first post in the list since the terrible events in the USA
on Tuesday, I would like to take the opportunity to express that I am both
sad and outraged. I have trouble finding words to express my feelings after
the massive blind horror. My whole-hearted condolences to all of the
Americans. This is terrible and will probably change a lot in the world
around us.
Also, since I believe we must try to let life go on as close as before as we
can, I am curious about the code in the mail. I do not use C#, but using the
atan function, you still use the 360/atan. Is atan in C# returning results
in degrees instead of radians? I would have assumed you would have to adjust
for that?
> -----Original Message-----
> From: Michael de la Maza [mailto:mdlm@xxxxxxxxxxxx]
> Sent: den 14 september 2001 04:22
> To: omega-list@xxxxxxxxxx
> Subject: Ehlers' MAMA in C#
>
>
> In the latest issue of TASC (September 2001), John F. Ehlers
> has an article on MESA Adaptive Moving Averages (MAMA).
>
>
>
> I’ve included a C# implementation of MAMA below.
>
>
>
> using System;
>
> using System.IO;
>
> using System.Collections;
>
> using System.Text.RegularExpressions;
>
>
>
> class MAMA
>
> {
>
> public static void Main()
>
> {
>
> ArrayList allValues = new ArrayList();
>
> ArrayList price = new ArrayList();
>
> string szSrcFile = "C:\\Temp\\Stocks\\IBM\\IBM.txt";
>
> string mamaFile = "C:\\Temp\\Stocks\\IBM\\mama.txt";
>
> MAMA sMama = new MAMA();
>
>
>
> allValues = sMama.ReadFile(szSrcFile);
>
> allValues.Reverse();
>
>
>
> foreach (object i in allValues)
>
> {
>
>
>
> Regex r;
>
> Match m;
>
>
>
> r = new
> Regex("(?<1>.*?\t.*?\t.*?\t.*?\t)(?<2>.*?)\t");
>
> m = r.Match(i.ToString());
>
>
>
> // Need try catch for Date - Open - High - Low line
>
> try
>
> {
>
>
> price.Add(Double.Parse(m.Groups[2].ToString()));
>
> }
>
> catch {}
>
>
>
> }
>
>
>
> Console.WriteLine(price[price.Count-1]);
>
>
>
> // the algorithm
>
> double[] smooth= new double[price.Count];
>
> double[] detrender = new double[price.Count];
>
> double[] period = new double[price.Count];
>
> double[] q1 = new double[price.Count];
>
> double[] i1 = new double[price.Count];
>
> double[] ji = new double[price.Count];
>
> double[] jq = new double[price.Count];
>
> double[] i2 = new double[price.Count];
>
> double[] q2 = new double[price.Count];
>
> double[] re = new double[price.Count];
>
> double[] im = new double[price.Count];
>
> double[] smoothperiod = new double[price.Count];
>
> double[] phase = new double[price.Count];
>
> double[] deltaphase = new double[price.Count];
>
> double[] alpha = new double[price.Count];
>
> double fastlimit = 0.5;
>
> double slowlimit = 0.05;
>
> double[] mama = new double[price.Count];
>
> double[] fama = new double[price.Count];
>
>
>
> for (int i = 5; i < price.Count; i++)
>
> {
>
> smooth[i] = (4*(double) price[i-0] +
> 3*(double)price[i-1] + 2*(double)price[i-2] + (double)price[i-3])/10;
>
>
>
> try {detrender[i] = (.0962*smooth[i] +
> .5769*smooth[i-2] - .5769*smooth[i-4] -
> 0.0962*smooth[i-6])*(.075*period[i-1]+0.54);
>
> }
>
> catch
>
> {
>
> detrender[i] = 0;
>
> }
>
>
>
> try {q1[i] = (.0962*detrender[i] +
> .5769*detrender[i-2] - 0.5769*detrender[i-4] +
> .0962*detrender[6])*(.075*period[i-1]+0.54);}
>
> catch
>
> {
>
> q1[i] = 0;
>
> }
>
>
>
> i1[i] = detrender[i-3];
>
>
>
> try {ji[i] = (.0962*i1[i] + .5769*i1[i-2] -
> .5769*i1[i-4] - .0962*i1[i-6])*(.075*period[i-1]+.54);}
>
> catch
>
> {
>
> ji[i] = 0;
>
> }
>
>
>
> try {jq[i] = (.0962*q1[i] + .5769*q1[i-2] -
> .5769*q1[i-4] - .0962*q1[i-6])*(.075*period[i-1]+.54);}
>
> catch
>
> {
>
> jq[i] = 0;
>
> }
>
>
>
> i2[i] = i1[i] - jq[i];
>
> q2[i] = q1[i] + ji[i];
>
>
>
> i2[i] = .2*i2[i] + .8*i2[i-1];
>
> q2[i] = .2*q2[i] + .8*q2[i-1];
>
>
>
> re[i] = i2[i]*i2[i-1] + q2[i]*q2[i-1];
>
> im[i] = i2[i]*q2[i-1] - q2[i]*i2[i-1];
>
> re[i] = .2*re[i] + .8*re[i-1];
>
> im[i] = .2*im[i] + .8*im[i-1];
>
> if ((im[i] != 0) && (re[i] != 0))
>
> {
>
> period[i] = 360/Math.Atan(im[i]/re[i]);
>
> }
>
>
>
> if (period[i] > 1.5*period[i-1])
>
> {
>
> period[i] = 1.5*period[i-1];
>
> }
>
>
>
> if (period[i] < .67*period[i-1])
>
> {
>
> period[i] = .67*period[i-1];
>
> }
>
>
>
> if (period[i] < 6)
>
> {
>
> period[i] = 6;
>
> }
>
>
>
> if (period[i] > 50)
>
> {
>
> period[i] = 50;
>
> }
>
>
>
> period[i] = .2*period[i] + .8*period[i-1];
>
> smoothperiod[i] = .33*period[i] +
> .67*smoothperiod[i-1];
>
>
>
> if (i1[i] != 0)
>
> {
>
> phase[i] = Math.Atan(q1[i]/i1[i]);
>
> }
>
>
>
> deltaphase[i] = phase[i-1] - phase[i];
>
>
>
> if (deltaphase[i] < 1)
>
> {
>
> deltaphase[i] = 1;
>
> }
>
>
>
> alpha[i] = fastlimit/deltaphase[i];
>
>
>
> if (alpha[i] < slowlimit)
>
> {
>
> alpha[i] = slowlimit;
>
> }
>
>
>
> if (alpha[i] > fastlimit)
>
> {
>
> alpha[i] = fastlimit;
>
> }
>
>
>
> mama[i] = alpha[i]*(double)price[i] +
> (1-alpha[i])*mama[i-1];
>
> fama[i] = 0.5*alpha[i]*mama[i] +
> (1-.5*alpha[i])*fama[i-1];
>
> }
>
>
>
> // write to file
>
> FileStream fs = new FileStream(mamaFile,
> FileMode.OpenOrCreate, FileAccess.Write);
>
> StreamWriter w = new StreamWriter(fs);
>
>
>
> double[] profit = new double[price.Count];
>
> bool slong = true;
>
> double cumproft = 1;
>
>
>
> // calculate profit
>
> for (int i = 5; i < price.Count; i++)
>
> {
>
> if (slong) // long position
>
> {
>
> profit[i] = (double) price[i]/
> (double) price[i-1];
>
> if (fama[i] < mama[i]) slong = false;
>
> }
>
> else // short position
>
> {
>
> profit[i] = 1+((double) price[i-1] -
> (double)price[i])/(double) price[i-1];
>
> if (fama[i] > mama[i]) slong = true;
>
> }
>
> }
>
>
>
> double cumprofit = 1;
>
>
>
> for (int i = 5; i < price.Count; i++)
>
> {
>
> cumprofit *= profit[i];
>
> w.WriteLine("{0} {1} {2} {3} {4}",
> price[i], mama[i], fama[i], profit[i], cumprofit);
>
> Console.WriteLine("{0} {1} {2} {3} {4}",
> price[i], mama[i], fama[i], profit[i], cumprofit);
>
> }
>
>
>
> w.Flush();
>
> w.Close();
>
> fs.Close();
>
>
>
>
>
> }
>
>
>
> public ArrayList ReadFile (string szSrcFile)
>
> {
>
> string szSrcLine;
>
> ArrayList sData = new ArrayList();
>
>
>
> FileStream fsInput = new FileStream (szSrcFile,
> FileMode.Open, FileAccess.Read);
>
> StreamReader srInput = new StreamReader(fsInput);
>
> while ((szSrcLine = srInput.ReadLine()) != null)
>
> {
>
> sData.Add(szSrcLine);
>
> }
>
> srInput.Close();
>
> fsInput.Close();
>
>
>
> return sData;
>
> }
>
>
>
> }
>
>
>
>
>
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