Re: [RT] MKT - NQ & ES

["BobR" <bobrabcd@xxxxxxxxxxxxx>]

Clyde Lee had an integral part in the coding the adaptive stochastic along
with John Hall.  John incorporated the Hilbert Period function for adaptive
cycle length.  See Hilbert related articles by John Ehlers TASC March, May,
Nov 2000.  Here is a simplified ELA version that works on TS4 and
SuperCharts as well as TS2k.  It isn't quite as smooth as Clyde's version,
but does have the HilbertPeriod adaptive cycle length that John Hall
incorporated and is quite good.  The attached gif has a comparison of the
classic stochastic and the adaptive stochastic.

enjoy,
bobr
http://www.oextrader.com/sigma_trader

{=======================================}
{Stochastic Adaptive Indicator}
Inputs:
Price((H+L)/2),Len1(5),Len2(5),LoRef(20),HiRef(80),vFactor(0.7),K(1);
vars:  currlen(9),hh(0),ll(0),stoch(0),stochma1(0),stochma2(0);
currlen=K*HilbertPeriod(price);
hh=highest(h,currlen);
ll=lowest(l,currlen);
if (hh-ll)>0 then stoch=((close-ll)/(hh-ll))*100;
if currentbar=1 then begin
stochma1=stoch;
stochma2=stoch;
end
else begin
StochMa1=average(Stoch,Len1);
StochMa2=average(StochMa1,Len2);
end;

plot1(stochma1,"AdStoch");
plot2(stochma2,"StochMa");
Plot3(hiref,"HiRef");
Plot4(loref,"LoRef");

{===================================================}
{Hilbert Period Function by John Ehlers TASC March,May,Nov 2000}

Inputs:  Price(numeric);

Vars: Smoother(0),Detrender(0),I1(0),Q1(0),jI(0),
jQ(0),I2(0),Q2(0),X1(0),X2(0),Y1(0),Y2(0),Re(0),Im(0),Period(0);

If CurrentBar>5 then begin
   Smoother=(4*Price+3*Price[1]+2*Price[2]+Price[3])/10;

Detrender=(.25*Smoother+.75*Smoother[2]-.75*Smoother[4]-.25*Smoother[6])*(.0
46*Period[1]+.332);

{Compute InPhase and Quadrature components}

Q1=(.25*Detrender+.75*Detrender[2]-.75*Detrender[4]-.25*Detrender[6])*(.046*
Period[1]+.332);
  I1=Detrender[3];

{advance the phase of I1 and Q1 by 90 degrees}
 jI=.25*I1+.75*I1[2]-.75*I1[4]-.25*I1[6];
jQ=.25*Q1+.75*Q1[2]-.75*Q1[4]-.25*Q1[6];

{Phasor addition to equalize amplitude due to quadrature calculations (and 3
bar average)}
I2=I1-jQ;
Q2=Q1+jI;

{Smooth the I and Q components before applying the discriminator}
I2=.15*I2+.85*I2[1];
Q2=.15*Q2+.85*Q2[1];

{Homodyne Discriminator}
{Complex Conjugate Multiply}
X1=I2*I2[1];
X2=I2*Q2[1];
Y1=Q2*Q2[1];
Y2=Q2*I2[1];
Re=X1+Y1;
Im=X2-Y2;

{Smooth to remove undesired cross products}
Re=.2*Re+.8*Re[1];
Im=.2*Im+.8*Im[1];

{Compute Cycle Period}
If Im<>0 and Re<>0 then Period = 360/ArcTangent(Im/Re);
If Period>1.5*Period[1] then Period = 1.5*Period[1];
If Period<.67*Period[1] then Period=.67*Period[1];
If Period<.6 then Period = 6;
If Period>50 then Period=50;
Period=.2*Period+.8*Period[1];

{End Core Code}
HilbertPeriod=Period;
end;
{======================================}


----- Original Message -----
From: "Karl" <kschr@xxxxxxxxxxx>
To: <realtraders@xxxxxxxxxxxxxxx>
Sent: Thursday, June 28, 2001 9:46 PM
Subject: Re: [RT] MKT - NQ & ES


> Bob,
>    You seem to imply that the two adaptive indicators you show on your gif
> are publically available. Is this the case? I would certainly appreciate
> receiving them or a reference where they can be found. Many thanks. Karl
>
> ----- Original Message -----
> From: "BobR" <bobrabcd@xxxxxxxxxxxxx>
> To: <realtraders@xxxxxxxxxxxxxxx>
> Cc: <code-list@xxxxxxxxxxxxx>
> Sent: Thursday, June 28, 2001 1:03 PM
> Subject: [RT] MKT - NQ & ES
>
>
> > Awfully quiet again, must be everyone is busy riding the trend.
Speaking
> of
> > trendriding, attached is a view of the NQ and ES on 5 minute bars in
which
> > the trend was caught by some adaptive cycle length oscillators.  As
> truely
> > adaptive indicators would do, they stay saturated at the high reference
> > during the trend.  Credit goes to John Hall for the adaptation of the
> Hilber
> > Period to the Stochastics on the MB Code List, and to Clyde Lee once
again
> > for his cunning cleanup work.
> >
> > bobr
> > http://www.oextrader.com/sigma_trader
> >
> >
> > To unsubscribe from this group, send an email to:
> > realtraders-unsubscribe@xxxxxxxxxxxxxxx
> >
> >
> >
> > Your use of Yahoo! Groups is subject to
http://docs.yahoo.com/info/terms/
> >
> >
>
>
> To unsubscribe from this group, send an email to:
> realtraders-unsubscribe@xxxxxxxxxxxxxxx
>
>
>
> Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
>
>

To unsubscribe from this group, send an email to:
realtraders-unsubscribe@xxxxxxxxxxxxxxx

 

Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/

Attachment: Description: "AdStoch.gif"

Attachment: Description: "ADSTOCH.ELA"