Cycle Calc
Improve your cycle analysis with the Cycle Calc AFL for Amibroker. This tool, available for free download, facilitates precise calculations related to market cycles. By harnessing the power of the Amibroker data feed, Cycle Calc enhances accuracy in determining cycle lengths and frequencies. Whether you’re a technical analyst or a quantitative trader, this AFL can be a valuable asset in fine-tuning your cycle-based trading strategies, ensuring you stay ahead of market trends.
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_SECTION_BEGIN("cycle_calc");
//
// This AFL is intended to be used with any Price Data and if available CPI data
//
// If a symbol for CPI has been supplied then constant dollar plots will be shown
// The CPI data should not be less granular then the chart periodicity
//
// This AFL will produce results beginning with the second bar
//
// Bars Offset can be used to align the beginning of the cycle wherever one wants
//
// For example if the object was to see the presidential ( 4 year ) cycle
//
// Using weekly data that began 9/1/1988
//
// You would set CycleLength to 208 i.e. 52 Weeks / Year * 4 Years
//
// The first bar plotted would be for the week ending 9/2/1988
//
// In order to align this to where the presidential cycle begins i.e. 1/1/1989,
// one would change the Bars Offset to 17 to push the cycle plot ahead by 17 weeks
//
// Offset Cycles will position the plot under the specific occurance of the cycle
// A value of 0 ( Default ) will position the plot at the beginning of the last cycle
// in the data and will show the extrapolation into future dates for as many bars
// as you have defined in the AB Preferences
//
// Separators are used to place vertical separators on the plot every n-bars. In the above
// this would be set to 52 to show the different years in the weekly data of the
// presidential cycle
//
// GraphXSpace can be used to add extra space to the top and bottom of the plot
//
// RescalePrice = Yes will rescale the price data to the computed cycle ( usually not necessary )
CycleLength = Param("Cycle Length", 208, 2, 10000, 1);
OffsetBars = Param("Offset Bars", 17, 0, 10000, 1);
OffsetCycles = Param("Shift Cycles", 0, 0, 1000, 1);
Separators = Param("Separators Every ? Bars", 52, 0, 100, 1);
GraphXSpace = Param("GraphXSpace", 5, 0, 100, 1);
RescalePrice = ParamList("Rescale Price ?", "No|Yes");
SpecialData = ParamList("Year in Vol AND Month in OI ?", "No|Yes");
CPISym = "";//"CNPI-";//"CPI_1800";
OffsetBars = OffsetBars + CycleLength;
OffsetCycles = OffsetCycles - 1;
Cum1 = Cum(1) - 1;
LVC1 = LastValue(Cum1);
if (OffsetCycles < 0)
OffsetCycles = int(LVC1 / CycleLength);
if (OffsetCycles < 0)
OffsetCycles = 0;
Index = IIf(BarIndex() == 0, L, IIf(L < Ref(L, -1), L, IIf(H > Ref(H, -1), H, C)));
if (SpecialData == "Yes")
{
YYYY = V;
MM = OI;
}
else
{
YYYY = Year();
MM = Month();
}
YYYYMM = 100 * YYYY + MM;
if (CPISym != "")
CPI = Foreign(CPISym, "C");
else
CPI = Cum(0) + 1;
IndexCD = Index / CPI;
ii = IIf(Cum1 < OffsetBars + 1, 0, int((Cum1 - OffsetBars - 1) / CycleLength) * CycleLength + OffsetBars);
iii = BarsSince(ii != Ref(ii, -1)) + OffsetBars + 1;
Za = Cum(0);
Zg = Cum(0) + 1;
N = Cum(0);
for (i = OffsetBars + 1; i < BarCount; i++)
{
Y[i] = IndexCD[i] / IndexCD[ii[i]];
Za[iii[i]] = Za[iii[i]] + Y[i];
Zg[iii[i]] = Zg[iii[i]] * Y[i];
N[iii[i]] = N[iii[i]] + 1;
}
ZZa = IIf(Cum1 > OffsetBars AND
Cum1 <= CycleLength + OffsetBars, Za / N, -1e10);
ZZg = IIf(Cum1 > OffsetBars AND
Cum1 <= CycleLength + OffsetBars, Zg ^ (1 / N), -1e10);
ZZa[OffsetBars] = 1;
ZZg[OffsetBars] = 1;
ZZZa = NOT IsEmpty(Ref(ZZa, -1)) AND (BarsSince(IsEmpty(Ref(ZZa, -1)))) % Separators - 1 == 0;
ZZZg = NOT IsEmpty(Ref(ZZg, -1)) AND (BarsSince(IsEmpty(Ref(ZZg, -1)))) % Separators - 1 == 0;
Price = IIf(IsEmpty(Ref(ZZa, CycleLength)), -1e10, Ref(IndexCD, CycleLength * OffsetCycles));
PMult = LastValue(Highest(IIf(IsEmpty(Ref(Price, -1)) AND NOT IsEmpty(Price), 1 / Price, 0)));
Price = IIf(Cum1 > LVC1 - CycleLength * OffsetCycles, -1e10, Price * PMult);
if (RescalePrice == "Yes")
{
Factor = log10(LastValue(Highest(ZZa))) / log10(LastValue(Highest(Price)));
Price = Price ^ Factor;
}
MinPlot = LastValue(Min(Lowest(IIf(ZZa > 0, ZZa, 1)), Lowest(IIf(Price > 0, Price, 1))));
MaxPlot = LastValue(Max(Highest(ZZa), Highest(Price)));
Plot(MinPlot, "", colorDefault, styleNoDraw);
Plot(MaxPlot, "", colorDefault, styleNoDraw);
Plot(Ref(ZZg, CycleLength), "", colorRed, styleThick, Null, Null, CycleLength * OffsetCycles);
Plot(Ref(ZZa, CycleLength), "", colorBlue, styleThick, Null, Null, CycleLength * OffsetCycles);
Plot(Price, "", colorBrightGreen, styleThick, Null, Null, CycleLength * OffsetCycles);
Plot(IIf(Ref(ZZZa, CycleLength), 2, 1), "", colorLightBlue, styleHistogram | styleNoLabel | styleOwnScale, 1, 2, CycleLength * OffsetCycles);
if (Separators > 0)
for (i = 1; i <= int(CycleLength / Separators); i++)
{
PlotText(NumToStr(i, 1.0), CycleLength * OffsetCycles + OffsetBars + int((i - 0.5) * Separators) - CycleLength + 1, MinPlot, colorWhite);
}
Title = "Cycle Number = " + EncodeColor(colorWhite) + NumToStr(OffsetCycles + 1, 1.0) + " " + EncodeColor(colorLightBlue) +
"Cycle Length = " + EncodeColor(colorWhite) + NumToStr(CycleLength, 1.0) + " " + EncodeColor(colorLightBlue) +
"Price = " + EncodeColor(colorBrightGreen) + NumToStr(Ref(Price, -CycleLength * OffsetCycles), 1.3) + " " + EncodeColor(colorLightBlue) +
"Geometric = " + EncodeColor(colorRed) + NumToStr(Ref(ZZg, - (CycleLength * OffsetCycles) + CycleLength), 1.3) + " " + EncodeColor(colorLightBlue) +
"Arithmetic = " + EncodeColor(colorBlue) + NumToStr(Ref(ZZa, - (CycleLength * OffsetCycles) + CycleLength), 1.3);
SetOption("NoDefaultColumns", True);
Filter = 1;
AddColumn(YYYY, "YYYY", 1.0);
AddColumn(MM, "MM", 1.0);
AddColumn(YYYYMM, "YYYY-MM", 1.0);
AddColumn(Cum1, "Cum1", 1.0);
AddColumn(Index, "Index", 1.5);
AddColumn(CPI, "CPI", 1.5);
AddColumn(IndexCD, "Index CD", 1.5);
AddColumn(ii, "ii", 1.0);
AddColumn(Y, "Y", 1.5);
AddColumn(iii, "iii", 1.0);
AddColumn(Za, "Za", 1.5);
AddColumn(N, "N", 1.0);
AddColumn(ZZa, "ZZa", 1.5);
AddColumn(PMult, "PMult", 1.5);
_SECTION_END();