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Re: Strategies based on Ehlers' work
[Re: scotpip]
#446486
10/17/14 09:44
10/17/14 09:44
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Joined: Apr 2014
Posts: 482 Sydney, Australia
boatman
OP
Senior Member
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OP
Senior Member
Joined: Apr 2014
Posts: 482
Sydney, Australia
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Thanks for sharing the ADX. I had a play with it, but from what I could tell, in the long run it didn't really discriminate between filtering good trades and bad trades. I tried tuning it to both the dominant cycle period and half dominant cycle period, as well as a few other values, but couldn't seem to get much of value out of it. But that's OK, I think that testing and discarding what doesn't work is important, and all part of the game!
I have another idea I want to explore: identify a trend on a higher time frame, and then use cycle analytics on a lower time frame to find a good entry point. I'm not too sure about how to implement it just yet, but I'll keep working on it.
In terms of a momentum indicator, I believe that Ehlers uses one on his stockspotter website as a confirmation signal for cycle trades. I haven't looked into it too deeply though, and I assume that it would be proprietary information. Maybe we could have a go at developing something similar?
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Re: Strategies based on Ehlers' work
[Re: boatman]
#446629
10/23/14 18:31
10/23/14 18:31
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Joined: Oct 2014
Posts: 42 DEVON
scotpip
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Newbie
Joined: Oct 2014
Posts: 42
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Sorry for the silence - been caught up in something else. I'll get back to you on this as soon as I can get some breathing space!
Last edited by scotpip; 10/23/14 18:32.
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Re: Strategies based on Ehlers' work
[Re: boatman]
#446793
10/31/14 11:33
10/31/14 11:33
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Joined: Oct 2014
Posts: 42 DEVON
scotpip
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Newbie
Joined: Oct 2014
Posts: 42
DEVON
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Made a bit of a breakthrough with our system using another approach - lots of work to do to get it trading, so Ehlers will be on the sidelines for a bit, I'm afraid. I'll keep watching this thread through - hope others join the fray...
Last edited by scotpip; 10/31/14 11:35.
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Re: Strategies based on Ehlers' work
[Re: scotpip]
#447916
01/12/15 17:25
01/12/15 17:25
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Joined: Apr 2014
Posts: 45 Germany
webradio
Newbie
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Newbie
Joined: Apr 2014
Posts: 45
Germany
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Posting "Ehlers' Even Better Sinewave", coded slightly differently (after his Code Listing 12-1 in his Cycle Analytics for Traders). Tried to save some CPU time by calculating coefficients just once and creating couple of series less.
//Ehlers' Even Better Sine Wave
function run()
{
var Duration = 40; //highpass
var Cutoff = 10; //lowpass
vars Price = series(price());
static var alpha1,a1,b1,c2,c3,c1;
if(is(INITRUN)) {
alpha1 = (1 - sin(2*PI/Duration)) / cos(2*PI/Duration);
a1 = exp(-1.414*PI / Cutoff);
b1 = 2*a1*cos(1.414*PI / Cutoff);
c2 = b1;
c3 = -a1*a1;
c1 = 1 - c2 - c3;
}
//High pass filter cyclic components whose periods are shorter than duration input
vars HP = series(Price[0], 2);
HP[0] = 0.5*(1 + alpha1)*(Price[0] - Price[1]) + alpha1*HP[1];
//Smooth with a Super Smoother Filter
vars Filt = series(HP[0], 3);
Filt[0] = c1*(HP[0] + HP[1]) / 2 + c2*Filt[1] + c3*Filt[2];
//3 Bar average of Wave amplitude and power
//Normalize the Average Wave to Square Root of the Average Power
vars EBSW = series(0, 1);
EBSW[0] = ((Filt[0] + Filt[1] + Filt[2])/3)/sqrt((Filt[0]*Filt[0] + Filt[1]*Filt[1] + Filt[2]*Filt[2])/3);
plot("EBSW", EBSW, NEW, RED);
}
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