There are other books that would no doubt provide some clues but I don't think Hurst provides any additional clues in his book to what's in the appendecies which are I think back up information / methodologies for the book.
--- In [email protected], "Steve Dugas" <[EMAIL PROTECTED]> wrote: > > 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" <sjdugas@> 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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