Thanks Tomasz...as far as I recall I cut-and-pasted that "placed inline for speed" median calculation from the version posted in the library & haven't revisited the code until now. I take it then that there is no performance benefit to the way I have it and I should (for the benefit of efficiency) simplify the code accordingly?
Tomasz Janeczko wrote: > FYI: Median is built-in function > > Best regards,http://www.amibroker.com/f?median > Tomasz Janeczko > amibroker.com > > ----- Original Message ----- > *From:* Andy Davidson <mailto:[EMAIL PROTECTED]> > *To:* [email protected] <mailto:[email protected]> > *Sent:* Thursday, October 05, 2006 7:46 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 ); >> >> >> ------------------------------------------------------------------------ >> > ___________________________________________________________ Yahoo! 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