Re: [amibroker] Re: Cycles and Mesa

Tue, 05 Sep 2006 17:33:13 -0700

Ton

Back in the old MetaStock days I had fiddled around with using the packaged FFT in MS. I had used it to extract the current dominant cycle length in a market and then used it to compute studies. The results were quite satisfactory. Then I changed platforms to AB and the whole idea got shelved. Subsequently I have tried to find a way of extracting current dominant cycle length in an issue/market in AB but have not seen any way of using it which my non-engineering/mathmetician brain could comprehend. It was in this context I tried DT's code. Unfortunately (a) it was computing power intensive and (b) the results were beyond my comprehension so I gave up on it. I still would like to find a way of ascertaining what the current cycle length is in an issue but have not been able to make much progress. Perhaps someone on the list could throw up some ideas which are implementable on the AB platform.


R

On 9/6/06, Ton Sieverding <[EMAIL PROTECTED]> wrote:
Thanks Rakesh. I've tried underneath mentioned AFL code for Fourier analysis. It does something but I have some questions :
 
1. I have the feeling that the code uses a lot of computer power. When modifying the parameters it takes several seconds ( about 5 sec ) before I have a result on the graph. I am using a Ghz 2.6 CPU with 1GB internal and have never seen my computer so slow. Do you have the same experience ?
2. What I would like to see is a couple of sine waves being the harmonics of the original time series. So more or less the same picture as Fred's Cycles. But that's not what I get. Also the calculations for the Fourier analysis does not look familiar to me. Where can I find the logical background behind these formulas ?
 
Ton.
 
 
----- Original Message -----
Sent: Tuesday, September 05, 2006 2:12 PM
Subject: Re: [amibroker] Re: Cycles and Mesa

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 -----
Sent: Tuesday, September 05, 2006 6:18 AM
Subject: [amibroker] Re: Cycles and Mesa

For example …

<<...>>


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