Re: [amibroker] Re: Cycles and Mesa

Tue, 05 Sep 2006 05:13:55 -0700

If you are interested in Fourier Analysis in AB environment you should refer to the work of Dmitris Tsokasis who shared his work on Fourier Analysis with the group. Am pasting below his code. I have never used it and would not know how to apply it in a meaningful manner. Hope you find it useful.


R


===============================
// Elementary Fourier analysis, by D. Tsokakis, May 2004

t=Cum(1)-1;

A=Param("Rsi",50,1,100,1);

B=Param("smooth",100,1,120,1);

C1=MA(RSI(A),B);

start=Cum(IsTrue(C1))==1;

t1=ValueWhen(start,t);

PlotShapes(shapeDownTriangle*start,colorYellow);

C10=ValueWhen(start,C1);Plot(C1,"C1",colorBlack,8);

GraphXSpace=2;

x = Cum(1);

lastx = LastValue( x );

Daysback = LastValue(Cum(IsTrue(C1)));

aa = LastValue( LinRegIntercept( C1, Daysback) );

bb = LastValue( LinRegSlope( C1, Daysback ) );

yy = Aa + bb * ( x - (Lastx - DaysBack) );

yy=IIf( x >= (lastx - Daysback), yy, -1e10 );

Plot( yy, "yy", colorRed );

detrend=C1-yy;

new1=detrend;Hor=LastValue(Cum(new1)/Cum(IsTrue(C1)));

pi=4*atan(1);n=12;

// Fundamental period, crude approximation

error00=10000;per01=0;g01=0;phi01=0;stg0=0.5;stp0=100;

for(phi=0;phi<2*pi;phi=phi+pi/n)

{

for(g=0.5;g<=8;g=g+stg0)

{

for(per=300;per<=1000;per=per+stp0)

{f=1/per;

y=Hor+g*sin(2*pi*f*(t-t1)+phi);

error=LastValue(Cum(abs(y-new1)));

if(error<error00)

{error00=error;per01=per;g01=g;phi01=phi;}

}}}

f01=1/per01;y01=Hor+g01*sin(2*pi*f01*(t-t1)+phi01);

Plot(y01+yy,"y01",colorSkyblue,4);

Title=Name()+" [ Sample="+WriteVal(Daysback,1.0)+" bars ]"+"\nyS0="+WriteVal(Hor,1.2)+

"\nyS01="+

WriteVal(g01,1.1)+"*sin(2*pi*(1/"+

WriteVal(per01,1.0)+")*(t-t1)+"+

WriteVal(12*phi01/pi,1.0)+"*pi/"+WriteVal(n,1.0)+"), Error1 ="+

WriteVal(LastValue(Cum(abs(y01-new1))),1.0)+", Error1/bar ="+

WriteVal(2*LastValue(Cum(abs(y01-new1)))/Daysback,1.2)+" %";;

// Fundamental period, detailed approximation

error0=10000;per1=0;g1=0;phi1=0;stg=0.5;stp=10;

for(phi=0;phi<2*pi;phi=phi+pi/n)

{

for(g=0.5;g<=8;g=g+stg)

{

for(per=per01-stp0;per<=per01+stp0;per=per+stp)

{f=1/per;

y=Hor+g*sin(2*pi*f*(t-t1)+phi);

error=LastValue(Cum(abs(y-new1)));

if(error<error0)

{error0=error;per1=per;g1=g;phi1=phi;}

}}}

f1=1/per1;y1=Hor+g1*sin(2*pi*f1*(t-t1)+phi1);

Plot(y1+yy,"y1",colorBlue,4);

Title=Title+

"\nyS1="+

WriteVal(g1,1.1)+"*sin(2*pi*(1/"+

WriteVal(per1,1.0)+")*(t-t1)+"+

WriteVal(12*phi1/pi,1.0)+"*pi/"+WriteVal(n,1.0)+"), Error1 ="+

WriteVal(LastValue(Cum(abs(y1-new1))),1.0)+", Error1/bar ="+

WriteVal(2*LastValue(Cum(abs(y1-new1)))/Daysback,1.2)+" %";;

// 2nd Harmonic

error0=10000;

for(phi=0;phi<2*pi;phi=phi+pi/n)

{

for(g=0;g<=8;g=g+0.1)

{

per2=per1/2;f=1/per2;

y2=y1+g*sin(2*pi*f*(t-t1)+phi);

error2=LastValue(Cum(abs(y2-new1)));

if(error2<error0)

{error0=error2;g2=g;phi2=phi;}

}}

f2=1/per2;y2=y1+g2*sin(2*pi*f2*(t-t1)+phi2);

Plot(y2+yy,"y1",colorYellow,8);

Title=Title+

"\nyS2="+

WriteVal(g2,1.1)+"*sin(2*pi*(1/"+

WriteVal(per2,1.0)+")*(t-t1)+"+

WriteVal(12*phi2/pi,1.0)+"*pi/"+WriteVal(n,1.0)+"), Error2 ="+

WriteVal(LastValue(Cum(abs(y2-new1))),1.0)+", Error2/bar ="+

WriteVal(2*LastValue(Cum(abs(y2-new1)))/Daysback,1.2)+" %";;

// 3rd Harmonic

error0=10000;

for(phi=0;phi<2*pi;phi=phi+pi/n)

{

for(g=0;g<=8;g=g+0.1)

{

per3=per2/2;f=1/per3;

y3=y2+g*sin(2*pi*f*(t-t1)+phi);

error3=LastValue(Cum(abs(y3-new1)));

if(error3<error0)

{error0=error3;g3=g;phi3=phi;}

}}

f3=1/per3;y3=y2+g3*sin(2*pi*f3*(t-t1)+phi3);

Plot(y3+yy,"y1",colorWhite,8);

Title=Title+

"\nyS3="+

WriteVal(g3,1.1)+"*sin(2*pi*(1/"+

WriteVal(per3,1.0)+")*(t-t1)+"+

WriteVal(12*phi3/pi,1.0)+"*pi/"+WriteVal(n,1.0)+"), Error3 ="+

WriteVal(LastValue(Cum(abs(y3-new1))),1.0)+", Error3/bar ="+

WriteVal(2*LastValue(Cum(abs(y3-new1)))/Daysback,1.2)+" %";

/*
 
===============================

On 9/5/06, Ton Sieverding <[EMAIL PROTECTED]> wrote:
I certainly like what I see Fred. But do you have the AFL code for this picture also ?
Is this based on Fourier stuff ? I have tried to find the FTT instructions in AFL but cannot find them. Do they exist in AFL or did you use some special DLL ?
 
Kind regards,
Ton Sieverding.
 
----- Original Message -----
From: Fred Tonetti
Sent: Tuesday, September 05, 2006 6:18 AM
Subject: [amibroker] Re: Cycles and Mesa

For example …

<<...>>


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