Wealth-Lab Wiki

API ChartStyles Community Components Community Indicators IndexDefinitions Knowledge Base Misc Optimizers Pending Deletion PosSizers Providers Standard Indicators TASC Traders Tips TASCIndicators Tutorial Videos Visualizers
RSS

Navigation


Quick Search
»
Advanced Search »


UCI - Universal Cycle Index

RSS

Syntax

public UCI(DataSeries ds, int period, int volaperiod, string description)
public static UCI Series(DataSeries ds, int period, int volaper)

Parameter Description

ds Source Series, typically Close
period Indicator period (per the article, Minor cycle = 25, Secondary cycle = 50, or Intermediate cycle = 100)
volaperiod Period for Volatility calculation (50 suggested)

Description

Universal Cycle Index (UCI) comes from the May 2005 issue of Stocks & Commodities magazine by Stuart Belknap, PhD: "The UCI is nothing more than a normalized Moving Average Converging/Diverging (MACD) indicator."

Note: UCI employs the EMA of the half period, and therefore you should allow at least twice period for UCI to stabilize.

Example

Based on Version 4 ChartScript "Universal Cycle Index System (SAC May 2005)

using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;
using TASCIndicators;

namespace WealthLab.Strategies { public class MyStrategy : WealthScript { protected override void Execute() { const int DVS_PER = 50; // Volatility Period const int CYC_PER = 25; // Uni. Cycle Period DataSeries hDVS = DVS.Series( Close, DVS_PER ); DataSeries hUCI = UCI.Series( Close, CYC_PER, DVS_PER ); /* Plotting */ ChartPane uciPane = CreatePane(40, true, true); PlotSeries(uciPane, hUCI, Color.Red, LineStyle.Solid, 2); DrawHorzLine(uciPane, 50, Color.Black, LineStyle.Dotted, 1); DrawHorzLine(uciPane, -50, Color.Black, LineStyle.Dotted, 1); ChartPane dvsPane = CreatePane(40, true, true); PlotSeries(dvsPane, hDVS, Color.Blue, LineStyle.Solid, 2); /* Trading System */ int startBar = (int)Math.Round( Math.Max( 2 * DVS_PER, 1.5 * CYC_PER ) ); if( startBar >= Bars.Count ) DrawLabel(PricePane, "More bars required", Color.Red ); double Stp = 0d; for(int bar = startBar; bar < Bars.Count; bar++) { if (IsLastPositionActive) { Position p = LastPosition; if( p.PositionType == PositionType.Long ) { Stp = p.EntryPrice * ( 1 - hDVS[bar]/100 ); if( Close[bar] < Stp || CrossUnder(bar, hUCI, 50 ) ) { SellAtMarket(bar + 1, p, "1, Reverse"); ShortAtMarket(bar + 1, "S, Reverse"); } } else { Stp = p.EntryPrice * ( 1 + hDVS[bar]/100 ); if( Close[bar] > Stp || CrossOver(bar, hUCI, -50 ) ) { CoverAtMarket(bar + 1, p, "2, Reverse"); BuyAtMarket(bar + 1, "L, Reverse"); } } DrawCircle(PricePane, 4, bar, Stp, Color.Maroon, Color.Transparent, LineStyle.Solid, 1, true); } else if( CrossOver(bar, hUCI, -50) ) BuyAtMarket(bar + 1, "L"); else if( CrossUnder(bar, hUCI, 50) ) ShortAtMarket(bar + 1, "S"); } } } }

Important Disclaimer: The information provided by Wealth-Lab is strictly for informational purposes and is not to be construed as advice or solicitation to buy or sell any security.  The owner of Wealth-Lab.com assumes no liability resulting from the use of the material contained herein for investment purposes. By using this web site, you agree to the terms of this disclaimer and our Terms of Use.

Used under license from FMR Corp. Copyright 2008 FMR Corp. All rights reserved.


ScrewTurn Wiki. Some of the icons created by FamFamFam.