Bill, Sounds like you're interested in John Ehlers' work on adaptive indicators that he explained in Chapter 22 of his book, "Rocket Science for Traders". He took some common momentum indicators (including the CCI) and coded them up to be adaptive in Tradestation Easy Language.
Also, you can find a couple of articles about this at tuckerreport.com --- In [email protected], "bilbo0211" <[EMAIL PROTECTED]> wrote: > > --- In [email protected], "Howard B" <howardbandy@> wrote: > > For this statement: > > somevar = CCI(parm); > > "somevar" will be an array with one element for every bar of the > data array, > > the value of that element the result of applying the CCI function to the > > "average" of that bar ((H+L+C)/3), for the lookback length of "parm". > > > > What problem are you trying to solve? > > > > I want parm to be an array. > > What I am doing is trying to 'tune' the CCI to the dominant cycle in > the market. > > Let me give you a simplistic example using moving averages. > > If you are trading a trending market (longer period dominant cycle), > you want a longer period moving average to filter out the small (high > frequency) corrections that occur. > > In a trading range market (shorter period dominant cycle), you want a > shorter period moving average that can react more quickly to the > shorter term changes in direction. > > I started by using the fft to estimate the dominant cycle but I had a > lot of trouble coding something useful so I switched to Ehler's > estimate (using Laguerre filter, it's in the afl library). > > As crude as that estimate is, it improves the performance of the > indicators I tried it on. If I could get a more accurate measure of > the dominant cycle, I am confident it would improve performance even more. > > That's why I want the period of the CCI to vary. > > I also don't see any point to include the C of a bar for intraday > charts. I use CCIa((H+L)/2,period). > > Bill >
