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I'm sorry .. I meant to say that I want the sum of the price CHANGES to = 0 .. I tried this:
Inputs:Price(numeric),Max(numericsimple);
Vars:len(1),Min(1000),Save(10);
For Len=5 to Max begin
Min=Summation(Price-Price[1],len);
If AbsValue(Min)<Save then begin
Cyclelen=len;
Save=Min;
end;
Len=Len+1;
end; ..
I'm close but this doesn't work ..
----- Original Message -----
From: "Gary Fritz" <fritz@xxxxxxxx>
To: <omega-list@xxxxxxxxxx>
Sent: Wednesday, January 07, 2004 9:51 AM
Subject: Re: Cycle Length
> > I thought I'd try to use the ehlers cycle length idea to create a
> > varying term oscillator .. so the idea is to find the number of
> > periods you have to go back in time until you reach the condition
> > where the sum of the closes or the sum of (high+low)/2 =0 ..
>
> Assuming you're looking at price when you're doing this, the sum
> of closes and the sum of (H+L)/2 will **NEVER** approach zero.
> They are all positive values, so the sums will all be positive.
> You need a "price" that oscillates around zero.
>
> One option, as Gary Funck mentioned, is to detrend the data.
> Another is to use the slope of price instead of price itself, but
> you still might want to detrend the data to take out strong
> moves. Otherwise a strong move will skew your cycle-length
> calculations. (I.e. in a strong up-move the slope might stay
> positive even though there are clear cycles in the uptrend.)
>
> You could use LinearRegSlope(Price, LRSlen) as your price proxy.
> That will cross above and below zero as the price moves up and
> down. You could sum up the LRS values looking for a zero sum
> like you were thinking, but it's probably simpler and more
> accurate to look at zero-crossings.
>
> So e.g. something like this (untested):
>
> vars: LRS(0), LastCross(0), CycleLen(0);
> LRS = LinearRegSlope(Price, LRSlen);
> if LRS crosses over 0 then begin
> CycleLen = CurrentBar - lastCross;
> LastCross = CurrentBar;
> end;
>
> That gives you the "cycle length" of the most recent "cycle,"
> where "cycle" is defined as the # of bars between places where
> the price slope turns up. That will change dramatically from
> cycle to cycle. If you want an average cycle length, you could
> calculate an xaverage of the last N cycle lengths. You should
> calculate this yourself, e.g. something like
>
> AvgCycLen = alpha*CycleLen + (1-alpha)*AvgCycLen;
>
> rather than using xaverage(), because xaverage will calculate the
> average value over the last N *bars*, not the last N *cycles*.
> alpha = 2 / (Xlen + 1) for xaverage(price, Xlen).
>
> If you want to detrend your data before calculating the LRS, you
> can do something as simple as subtracting two xaverages. E.g.
> take a look at the oscillator you get with
>
> LRS = LinearRegSlope(xaverage(Price,20)-xaverage(Price,15), 10);
>
> BTW gaps will throw off this simple calculation. You'll have to
> get more clever to avoid that.
>
> Gary
>
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