Hi Fred - Well, I just opened the book for the first time to look at App 6 and I'm afraid its over my head. Maybe I will have a better grasp after reading the book, but unfortunately I am not an engineer or anything, and my first thought is that if it is giving *you* some trouble, then *my* chances are probably slim to none. 8 - ) But anyway, I will do some reading over the weekend, and see if I can learn anything...
BTW, I noticed that our two threads seemed to be related. It would seem that I am starting down a road that you have some experience in so I would value your opinion. As far as timing is concerned, do you think that cycles, ala Ehlers, Hurst, etc is the preferred way to go? In the future, after I have come up to speed, perhaps we could bounce some ideas around, etc... Steve ----- Original Message ----- From: "Fred" <[EMAIL PROTECTED]> To: <[email protected]> Sent: Friday, October 06, 2006 2:26 PM Subject: [amibroker] Re: Ehlers Dominant Cycle > Steve, > > Are your math skills strong enough to implement what's in Appendix 6 > of Hurst's book ? > > --- In [email protected], "Steve Dugas" <[EMAIL PROTECTED]> wrote: >> >> OK, thanks Andy! I will do something else for a few days and wait > for Cybernetics to arrive ( I also got the MESA book, but had to > wait while they backordered both. ) I have had Hurst's book on my > shelf for a couple of months now, waiting patiently for a little > attention - I will look that over in the meantime. Thanks very much > and good luck with your move - maybe we can pick this up again a > little way down the road... >> >> Steve >> >> ----- Original Message ----- >> From: Andy Davidson >> To: [email protected] >> Sent: Friday, October 06, 2006 4:27 AM >> Subject: Re: [amibroker] Ehlers Dominant Cycle >> >> >> Steve, >> >> I think Ehler believes that the Cyber Cycle method is better...I > remember that being my impression when I read the books. Certainly > both approaches use the Hilbert Transform but I think the difference > lies in the method of extracting the Quadrature and In-Phase > components. Difficult to say exactly without the book to hand to > double check what I'm saying! >> >> As for the differences between approaches, try playing around > with the alpha parameter (which determines the smoothing and > therefore low-end cut-off level for the measured cycles). You will > probably see some very large shifts in the period for even a 0.01 > change in alpha. This tells me something. >> >> I do use Ehler's cycle measurements in some of my indicators as > an adaptive input to the period function. He talks about this > approach in the Cybernetic book. The reason I do this is because my > feeling is that something which at least attempts to measure a cycle > period is probably better than than some arbitrary optimised number. > I say 'probably' as I can't prove this to be the case - it's just a > matter of what makes more logical sense to me. >> >> To my mind though there's one pretty big hole in Ehler's > approach. Basically he states that although there are multiple > cycles at play in the market at any one time there is only one that > is "dominant" and thus tradeable. So you are only taking into > account and trying to measure one specific cycle at any one time. > One way he achieves this is through limiting the parameters to > specific wavelength ranges. Therefore you might be assuming that you > are (a) going to ignore cycles less than 6-bars in period as noise > and (b) going to ignore cycles of more than, say, 60 bars as too > long to trade (or too prone to margins of error) and then measuring > *the* cycle in that range. Well what if there is a 20-bar and a 45- > bar cycle at play at the same time and the noise sometimes exceeds 6- > bars? My experience is that Ehler's method is not good at coping > with this. I'm no engineer and so my theorising might be flawed, but > my experience of engineering tells me that you get to work with much > bigger margins of error than we can tolerate as traders. For > example, you might be able to use Hilbert Transforms in electronic > engineering to extract a person's voice from a 'noisy' > waveform...but I would say that there is still too much noise in the > output signal to transfer the analogy to the trading world. We can > make sense of the extracted voice but this is because our human > brains are good at that sort of thing, not because the modified > signal is particularly clear in a real sense. Our trading capital is > not so good at dealing with the remnant noise!! >> >> As far as measuring cycles goes, I have had much more success > and have much more confidence in the approach outlined by Hurst in > his "Profit Magic of Stock Transaction Timing". An old book which > uses centred MAs and assumes there are many cycles to be > measured...centred MAs are much more low-tech than Hilbert > Transforms I know, but there's beauty in the simplicity if you can > get away from the idea that your indicators must tell you > the "answer" right up to the right edge of the chart. Of course, the > fact that centred MAs *don't* go the right-edge makes backtesting > very difficult. Well, there's flaws with everything of course... >> >> Anyway, let me know how you get on and I'll help more if I can. > I'm in the process of moving house at the moment so can't do much > more until I get set-up again. Good luck. >> >> Andy >> >> >> Steve Dugas wrote: >> Hi Andy, >> >> In Rocket Science, Ehlers shows 3 methods to compute the cycle > period. Then he tests them against each other and determines that > the Homodyne Discriminator method had the the best characteristics > of the 3, so he uses that code as a basis for the indicators that > follow. The 3 yeilded fairly similar results, so when my graph > looked wrong, I figured the code from the library should give me a > rough idea of what mine should look like even though it is created > through a different technique. I still think there is something > wrong with mine, it should look much more like the other one. Maybe > I will be able to just substitute your code for mine and build from > there. Is the one in Cybernetics supposed to be better? I ordered > that book too, but it got delayed and I just found out that it > shipped today. Thanks for the code! >> >> Steve >> ----- Original Message ----- >> From: Andy Davidson >> To: [email protected] >> Sent: Thursday, October 05, 2006 1:46 PM >> Subject: Re: [amibroker] Ehlers Dominant Cycle >> >> >> Steve, >> I think you're getting confused between Ehler's two books. > As far as I recall (books not to hand right now) he makes the > confusion easy as there is a "Dominant Cycle" indicator in > both 'Rocket Science' and 'Cybernetic', which are based on different > methods. Looks to me like the top one on your plot is the former and > the bottom is the latter. I personally have used the latter...the > code is copied below, which is probably nearly identical to the > posted AFL library version as I used that as a starting point when I > worked through it myself. >> Can't help you with the 'Rocket Science' version I'm afraid. >> Andy >> >> >> // Ehler's Dominant Cycle Period >> // Cybernetic Analysis for Stocks and Futures >> // Chapter 9, p. 107. Code on p. 111. >> >> //Global Parameters >> X = Param("MP[1] Close[2]",1,1,2,1); >> Z1 = IIf(X==1, (H+L)/2 , C); >> Z2 = Param("Alpha", .07, .01, 1, .01); >> >> function CyclePeriod(price, alpha) >> { >> instperiod = deltaphase = cycle = period = 0; >> Cycle = ( price[2] - 2*price[1] + price > [0] )/4; //initialise arrays >> smooth = ( price + 2*Ref(price,-1) + 2*Ref(price,-2) + Ref > (price,-3) )/6; >> >> for (i=6 ; i<BarCount ; i++) >> { >> Cycle[i] = (1-alpha/2)^2 * ( smooth[i] - 2*smooth[i-1] + > smooth[i-2] ) + >> 2*(1-alpha)*Cycle[i-1] - (1-alpha)^2*Cycle[i- > 2]; >> >> Q1[i] = (.0962*cycle[i] + .5769*cycle[i-2] -.5769*cycle[i- > 4] - .0962*cycle[i-6])*(.5 + .08*InstPeriod[i-1]); >> I1[i] = cycle[i-3]; >> >> if(Q1[i] != 0 AND Q1[i-1] != 0) >> DeltaPhase[i] = (I1[i]/Q1[i] - I1[i-1]/Q1[i-1])/(1 + I1[i] > *I1[i-1]/(Q1[i]*Q1[i-1])); >> //limit Delta Phase High/Low (0.09rads = 69bars, 1.1rads > = 6bars...per page 117) >> if(DeltaPhase[i] < 0.09) >> DeltaPhase[i] = 0.09; >> if(DeltaPhase[i] > 1.1) >> DeltaPhase[i] = 1.1; >> >> //---Begin median calculation (placed inline for speed). >> //Hardcoded as length=5 as higher values would be out of > range due to start-up period in main loop >> for(k=4; k>=0; k--) >> { temparray[k] = DeltaPhase[i-k]; } //create new array > with last 5 values of DeltaPhase >> temp = 0; >> for(k=4; k>0; k--) //this series of loops re-organises > temparray into ascending order >> { for (j=4; j>0; j--) >> { if (temparray[j-1] > temparray[j]) //swap values in > array if previous value is greater >> { temp = temparray[j-1]; >> temparray[j-1] = temparray[j]; >> temparray[j] = temp; >> }}} >> MedianDelta[i] = temparray[2]; //returns the middle > (third) element of temparray >> //---End median calculation >> >> DC[i] = Nz( 6.28318 / MedianDelta[i] + .5, 15 ); >> >> InstPeriod[i] = .33*DC[i] + .67*InstPeriod[i-1]; >> Period[i] = .15*InstPeriod[i] + .85*Period[i-1]; >> } >> for (i=0; i<7; i++) >> { Period[i] = 1; } >> return Period; >> } >> >> Plot( CyclePeriod(Z1,Z2) , "CyberCycle", colorRed ); >> >> >> >> Steve Dugas wrote: >> Hi All, >> >> I wonder if anyone has ever tried to code Ehlers Dominant > Cycle - the one based on the Homodyne Discriminator, pp. 68-69 in > Rocket Science. I have never used TradeStation and this is my first > shot at translating EasyLanguage. As far as I can see the code looks > OK to me but what do I know? Anyway, the graph it produces ( middle > one ) looks pretty bad. For comparison, I plotted the Dominant Cycle > code from the AFL library on the bottom ( but I believe this uses a > different method ). I would like to go on and code the rest of the > indicators in the book but many are built on this so I need to get > this right first. Any thoughts or working code would be greatly > appreciated. I have enclosed my code below.Thank you! >> >> Steve >> >> // Dominant Cycle >> >> SetBarsRequired( 10000, 10000 ); >> >> // USER DEFINED PARAMS >> >> Price = ( High + Low ) / 2; >> >> // FORMULA >> >> // initialize variables >> >> Smooth = Detrender = I1 = Q1 = jI = jQ = I2 = Q2 = Re = Im > = Period = SmoothPeriod = 0; >> >> // calculate dominant cycle period >> >> for ( i = 6; i < BarCount; i++ ) >> >> { >> >> // smooth price data with 4-bar WMA >> >> Smooth[i] = ( 4 * Price[i] + 3 * Price[i-1] + 2 * Price[i- > 2] + Price[i-3] ) / 10; >> >> // compute amplitude correction >> >> AmpCorr[i] = 0.075 * Period[i-1] + 0.54; >> >> // compute detrended price data and Quadrature component > with 7-bar Hilbert Transform >> >> Detrender[i] = ( 0.0962 * Smooth[i] + 0.5769 * Smooth[i- > 2] - 0.5769 * Smooth[i-4] - 0.0962 * Smooth[i-6] ) * AmpCorr[i]; >> >> Q1[i] = ( 0.0962 * Detrender[i] + 0.5769 * Detrender[i-2] - > 0.5769 * Detrender[i-4] - 0.0962 * Detrender[i-6] ) * AmpCorr[i]; >> >> // compute InPhase component by referencing center bar of > Hilbert Transformer ( 3 bars ago ) >> >> I1[i] = Detrender[i-3]; >> >> // advance the phase of I1 and Q1 by 90 degrees with 7-bar > Hilbert Transform >> >> jI[i] = ( 0.0962 * I1[i] + 0.5769 * I1[i-2] - 0.5769 * I1 > [i-4] - 0.0962 * I1[i-6] ) * AmpCorr[i]; >> >> jQ[i] = ( 0.0962 * Q1[i] + 0.5769 * Q1[i-2] - 0.5769 * Q1 > [i-4] - 0.0962 * Q1[i-6] ) * AmpCorr[i]; >> >> // perform Phasor addition for 3-bar averaging >> >> I2[i] = I1[i] - jQ[i]; >> >> Q2[i] = Q1[i] + jI[i]; >> >> // smooth the I and Q components >> >> I2[i] = 0.2 * I2[i] + 0.8 * I2[i-1]; >> >> Q2[i] = 0.2 * Q2[i] + 0.8 * Q2[i-1]; >> >> // apply the Homodyne Discriminator >> >> Re[i] = I2[i] * I2[i-1] + Q2[i] * Q2[i-1]; >> >> Im[i] = I2[i] * Q2[i-1] - Q2[i] * I2[i-1]; >> >> // smooth the Re and Im components >> >> Re[i] = 0.2 * Re[i] + 0.8 * Re[i-1]; >> >> Im[i] = 0.2 * Im[i] + 0.8 * Im[i-1]; >> >> // compute Dominant Cycle period >> >> if ( Im[i] != 0 AND Re[i] != 0 ) >> >> Period[i] = 360 / atan( Im[i] / Re[i] ); >> >> // limit ROC of the cycle period to +/- 50% of previous > cycle period >> >> if ( Period[i] > 1.5 * Period[i-1] ) >> >> Period[i] = 1.5 * Period[i-1]; >> >> if ( Period[i] < 0.67 * Period[i-1] ) >> >> Period[i] = 0.67 * Period[i-1]; >> >> // limit the cycle period to be > 6 or < 50 >> >> if ( Period[i] < 6 ) >> >> Period[i] = 6; >> >> if ( Period[i] > 50 ) >> >> Period[i] = 50; >> >> // smooth the cycle period >> >> Period[i] = 0.2 * Period[i] + 0.8 * Period[i-1]; >> >> SmoothPeriod[i] = 0.33 * Period[i] + 0.67 * SmoothPeriod[i- > 1]; >> >> } >> >> Plot( SmoothPeriod, "Dominant Cycle", colorWhite, > styleLine|styleOwnScale ); >> >> //Plot( Re, "Re", colorBlue, styleLine|styleOwnScale ); >> >> //Plot( Im, "Im", colorSkyblue, styleLine|styleOwnScale ); >> >> //Plot( Im/Re, "Im/Re", colorDarkGreen, > styleLine|styleOwnScale ); >> >> //Plot( atan(Im/Re), "atan(Im/Re)", colorBrightGreen, > styleLine|styleOwnScale ); >> >> //Plot( Period, "Period", colorYellow, > styleLine|styleOwnScale ); >> >> >> >> ------------------------------------------------------------------- > ----- >> > > > > > > > Please note that this group is for discussion between users only. > > To get support from AmiBroker please send an e-mail directly to > SUPPORT {at} amibroker.com > > For other support material please check also: > http://www.amibroker.com/support.html > > > Yahoo! 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