/ _SECTION_BEGIN("Dominant Cycle Period"); SetBarsRequired(200, 0); // Ehlers Dominant Cycle Period // from Ehlers, John F. Cybernetic Analysis for Stocks and Futures. Wiley. 2004. // Chapter 9, p. 107. Code on p. 111. function CyclePeriod(array, alpha) // Figure 9.4 on p. 111 { smooth = (array + 2*Ref(array, -1) + 2*Ref(array, -2) + Ref(array, -3))/6; // for(i = 0; i < 7; i++) cycle[i]=array[i]; // Initialize early values and as array for(i = 0; i < 6; i++) { InstPeriod[i] = 0; // Initialize early values and as array DeltaPhase[i] = 0; cycle[i]=0; Period[i]=0; } for(i = 6; i < BarCount; i++) { cycle[i] = (1 - .5*alpha)*(1 - .5*alpha)*(smooth[i] - 2*smooth[i-1] + smooth[i-2]) + 2*(1 - alpha)*cycle[i-1] - (1 - alpha)*(1 - alpha)*cycle[i-2]; Q1[i] = (.0962*cycle[i] + .5769*cycle[i-2] -.5769*cycle[i-4] - .0962*cycle[i-6])*(.5 + .08*InstPeriod[i-1]); I1[i] = cycle[i-3]; if(Q1[i] != 0 AND Q1[i-1] != 0) DeltaPhase[i] = (I1[i]/Q1[i] - I1[i-1]/Q1[i-1])/(1 + I1[i]*I1[i-1]/(Q1[i]*Q1[i-1])); if(DeltaPhase[i] < 0.1) DeltaPhase[i] = 0.1; if(DeltaPhase[i] > 1.1) DeltaPhase[i] = 1.1; //----- Speed up the median calculation by placing it inline mlen = 5; for(k = mlen - 1; k >= 0; k--) {temparray[k] = DeltaPhase[i + k - (mlen - 1)];} temp=0; for(k = mlen - 1; k > 0; k--) {for (j = mlen - 1; j > 0; j--) {if (temparray[j-1] > temparray[j]) { temp = temparray[j-1]; temparray[j-1] = temparray[j]; temparray[j] = temp; } } } MedianDelta[i] = temparray[mlen - 1 - (mlen / 2)]; //----- End median calculation if(MedianDelta[i] == 0) DC[i] = 15; else DC[i] = 6.28318/MedianDelta[i] + .5; InstPeriod[i] = .33*DC[i] + .67*InstPeriod[i-1]; Period[i] = .15*InstPeriod[i] + .85*Period[i-1]; } return Period; } Med = (H+L)/2; // CyclePeriod CP = CyclePeriod(Med, 0.07); Plot(CP, "CyclePeriod", colorRed, styleLine); Graph0BarColor=IIf(CP>Ref(CP,-1),colorGreen,colorOrange); _SECTION_END();