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Bob,
Just had a look at yr. adaptive stochastic. Life
amusing if you don'r weaken. Just entered a trade on a slow stochastic amongst
other things. Trade is going sideways. Wouldn't have done it if I'd had yr.
stochastic. Any pointers on lengths 1 & 2?
MTI
DJ
<BLOCKQUOTE
style="PADDING-RIGHT: 0px; PADDING-LEFT: 5px; MARGIN-LEFT: 5px; BORDER-LEFT: #000000 2px solid; MARGIN-RIGHT: 0px">
----- Original Message -----
<DIV
style="BACKGROUND: #e4e4e4; FONT: 10pt arial; font-color: black">From:
BobR
To: <A title=realtraders@xxxxxxxxxxxxxxx
href="mailto:realtraders@xxxxxxxxxxxxxxx";>realtraders@xxxxxxxxxxxxxxx
Sent: Friday, June 29, 2001 1:20 PM
Subject: Re: [RT] MKT - NQ & ES
Clyde Lee had an integral part in the coding the adaptive
stochastic alongwith John Hall. John incorporated the Hilbert Period
function for adaptivecycle length. See Hilbert related articles by
John Ehlers TASC March, May,Nov 2000. Here is a simplified ELA
version that works on TS4 andSuperCharts as well as TS2k. It isn't
quite as smooth as Clyde's version,but does have the HilbertPeriod
adaptive cycle length that John Hallincorporated and is quite good.
The attached gif has a comparison of theclassic stochastic and the
adaptive stochastic.enjoy,bobr<A
href="http://www.oextrader.com/sigma_trader";>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
beginstochma1=stoch;stochma2=stoch;endelse
beginStochMa1=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])*(.046*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 3bar
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
PMSubject: 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 inwhich> > 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 onceagain> > for his cunning
cleanup work.> >> > bobr> > <A
href="http://www.oextrader.com/sigma_trader";>http://www.oextrader.com/sigma_trader>
>> >> > To unsubscribe from this group, send an email
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