TASC 2008-03 | Measuring Cycle Periods (Ehlers)

Traders' Tip text

Strategy Code

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

namespace WealthLab.Strategies
{
	public class MyStrategy : WealthScript
	{
		public class ArrayHolder
		{	// current, old, older
			internal double I, I2, I3;  
			internal double Q, Q2, Q3;
			internal double R, R2, R3;
			internal double Im, Im2, Im3; 
			internal double A; 
			internal double dB;
		}
		public DataSeries CycleFilterDC(DataSeries ds, out DataSeries sine, out DataSeries cosine)
		{
			double twoPi = 2 * Math.PI;
		
			// Initialize arrays
			ArrayHolder[] ah = new ArrayHolder[51];
			for( int n = 8; n < 51; n++ )
				ah[n] = new ArrayHolder();		
			Color[] color = new Color[21];		
			DataSeries[] DB = new DataSeries[51];
			
			double domCycle = 0d;
			string name = ds.Description;
			DataSeries result = Close - Close;
			result.Description = "Dominant Cycle(" + name + ")";
			
			// Create and plot the decibel series - change the colors later
			ChartPane dbPane = CreatePane(40, false, false );
			for( int n = 8; n < 51; n++ ) {
				DB[n] = result + n;
				DB[n].Description = "Cycle." + n.ToString();	
				PlotSeries(dbPane, DB[n], Color.Black, LineStyle.Solid, 6);											
			}				
			// Convert decibels to RGB color for display								
			for( int n = 0; n <= 10; n++ )		// yellow to red: 0 to 10 dB
				color[n] = Color.FromArgb(255, (int)(255 - (255 * n / 10)), 0);									
			for( int n = 11; n <= 20; n++ )		// red to black: 11 to 20 db
				color[n] = Color.FromArgb( (int)(255 * (20 - n)/10 ), 0, 0);				
			
			// Detrend data by High Pass Filtering with a 40 Period cutoff		
			DataSeries HP = result;				
			double alpha = (1 - Math.Sin(twoPi/40)) / Math.Cos(twoPi/40);						
			for(int bar = 1; bar < Bars.Count; bar++)								
				HP[bar] = 0.5 * (1 + alpha)* Momentum.Series(ds, 1)[bar] + alpha * HP[bar-1];
			DataSeries smoothHP = FIR.Series(HP, "1,2,3,3,2,1");
		
			for( int bar = 6; bar < Bars.Count; bar++ )
			{
				double maxAmpl = 0;
				double delta = -0.015 * bar + 0.5;
				delta = delta < 0.15 ? 0.15 : delta;
				for( int n = 8; n < 51; n++ )
				{					
					double beta = Math.Cos(twoPi / n);
					double g = 1 / Math.Cos(2 * twoPi * delta / n);
					double a = g - Math.Sqrt(g * g - 1);
					ah[n].Q = Momentum.Series(smoothHP, 1)[bar] * n / twoPi;
					ah[n].I = smoothHP[bar];
					ah[n].R = 0.5 * (1 - a) * (ah[n].I - ah[n].I3) + beta * (1 + a) * ah[n].R2 - a * ah[n].R3;
					ah[n].Im = 0.5 * (1 - a) * (ah[n].Q - ah[n].Q3) + beta * (1 + a) * ah[n].Im2 - a * ah[n].Im3;
					ah[n].A = ah[n].R * ah[n].R + ah[n].Im * ah[n].Im;					
					maxAmpl = ah[n].A > maxAmpl ? ah[n].A : maxAmpl;
				}	
				double num = 0;	double den = 0;										
				for( int n = 8; n < 51; n++ )
				{		
					if( maxAmpl != 0 && ah[n].A / maxAmpl > 0 )
						ah[n].dB = 10 * Math.Log10( (1 - 0.99 * ah[n].A / maxAmpl) / 0.01 );
					ah[n].dB = ah[n].dB > 20 ? 20 : ah[n].dB;
					SetSeriesBarColor(bar, DB[n], color[(int)Math.Round(ah[n].dB)]);								
					
					if( ah[n].dB <= 3 ) {
						num = num + n * (20 - ah[n].dB);
						den = den + (20 - ah[n].dB);
					}					
					if( den > 0 ) domCycle = num/den;
					result[bar] = domCycle;	
					
					ah[n].I3 = ah[n].I2;
					ah[n].I2 = ah[n].I;
					ah[n].Q3 = ah[n].Q2;
					ah[n].Q2 = ah[n].Q;
					ah[n].R3 = ah[n].R2;
					ah[n].R2 = ah[n].R;
					ah[n].Im3 = ah[n].Im2;
					ah[n].Im2 = ah[n].Im;					
				}				
			}
			result = Median.Series(result, 10);
			PlotSeries(dbPane, result, Color.Lime, WealthLab.LineStyle.Solid, 2);	
			
			// sine and cosine components
			sine = Low - Low;  sine.Description = "sine(DC)";
			double a2 = 0d;
			for(int bar = 10; bar < Bars.Count; bar++)
			{
				double delta = -0.015 * bar + 0.5;
				delta = delta < 0.15 ? 0.15 : delta;
				double beta = Math.Cos(2 * Math.PI / result[bar] );
				double g = 1 / Math.Cos(4 * Math.PI * delta / result[bar]);	
				if( g < 1 )
					a2 = 0;
				else
					a2 = g - Math.Sqrt(g * g - 1);
				sine[bar] = 0.5 * (1 - a2) * Momentum.Value(bar, smoothHP, 1) 
						+ beta * (1 + a2) * sine[bar-1] - a2 * sine[bar-2];				
			}				
			cosine = ( result / 6.28 ) * ( sine - (sine >> 1) );
			cosine.Description = "cosine(DC)";
			
			ChartPane sinePane = CreatePane( 40, false, false );
			for(int bar = 0; bar < Bars.Count; bar++)
				SetPaneBackgroundColor(sinePane, bar, Color.Black);			
			PlotSeries(sinePane, sine, Color.Red, LineStyle.Solid, 1);
			PlotSeries(sinePane, cosine, Color.Cyan, LineStyle.Solid, 1);
			return result;			
		}		
		
		protected override void Execute()
		{					
			HideVolume();
			HidePaneLines();			
			DataSeries avgPrice = (High + Low) / 2;
			avgPrice.Description = "Avg Price";	
			
			// Get the dominant cycle, sine and cosine, and plot the heat map
			DataSeries sine, cosine;
			DataSeries DC = CycleFilterDC(avgPrice, out sine, out cosine);
						
			/* Use the DC, sine, and cosine DataSeries in a Trading Strategy here */
		}
	}
}