UCI - Universal Cycle Index

Modified on 2008/08/23 17:49 by Administrator — Categorized as: TASCIndicators

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");
			}
		}
	}
}