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Swiss Army Knife Indicator (SWAK) for Amibroker (AFL)
Rating:
5 / 5 (Votes 1)
Tags:
oscillator, amibroker
In “Swiss Army Knife Indicator” of Stocks and Commodities Magazine, John Ehlers presents an indicator that is based on the second-order infinite impulse response (IIR) filter. IIR filters are widely used in almost every digital signal processing application. In the code listing given here, we have presented AmiBroker’s implementation of the SWAK indicator (second-order IIR filter). Included is some sample code that produces a point-change chart and IIR-filtered output. After applying the indicator, the parameter window can be used to control the type of filter used and its parameters, such as averaging period.
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Indicator / Formula
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SetBarsRequired(100000,0);
PI = 3.1415926;
function Poly2ndOrder( input, N, c0, c1, b0, b1, b2, a1, a2 )
{
output = input; // initialize for N first bars
for( i = Max( N, 2 ); i < BarCount; i++ )
{
output[ i ] = c0[ i ] * ( b0 * input[ i ] +
b1 * input[ i - 1 ] +
b2 * input[ i - 2 ] ) +
a1 * output[ i - 1 ] +
a2 * output[ i - 2 ] -
c1 * input[ i - N ];
}
return output;
}
function SWAK( input, type, Period, delta )
{
N = 0;
an = 2 * PI / Period;
c0 = b0 = 1;
c1 = b1 = b2 = a1 = a2 = gamma1 = 0;
beta1 = 2.415 * ( 1- cos( an ) );
alpha = -beta1 + sqrt( beta1 ^ 2 + 2 * beta1 );
alpha1 = ( cos( an ) + sin( an ) - 1 )/cos( an );
if( type == "EMA" )
{
b0 = alpha1; a1 = 1 - alpha1;
}
if( type == "SMA" )
{
N = Period;
c1 = b0 = 1/N; a1 = 1;
}
if( type == "Gauss" )
{
c0 = alpha ^ 2;
a1 = 2 * ( 1- alpha ); a2 = -( 1 - alpha )*( 1 - alpha );
}
if( type == "Butter" )
{
c0 = ( alpha ^ 2 ) / 4;
a1 = 2 * ( 1- alpha ); a2 = -( 1 - alpha )*( 1 - alpha );
b1 = 2; b2 = 1;
}
if( type == "HP" )
{
c0 = 1 - alpha1 / 2;
b1 = -1;
a1 = 1 - alpha1;
}
if( type == "2PHP" )
{
c0 = ( 1 - alpha / 2 ) ^ 2;
b1 = -2; b2 = 1; a1 = 2 * ( 1 - alpha ); a2 = - ( 1 - alpha ) ^ 2;
}
if( type == "BP" OR type == "BS" )
{
beta1 = cos( 2 * PI / Period );
gamma1 = 1 / cos( 4 * PI * delta / Period );
alpha = gamma1 - sqrt( gamma1 ^ 2 - 1 );
a1 = beta1 * ( 1 + alpha );
a2 = - alpha;
if( type == "BP" )
{
c0 = ( 1 - alpha ) / 2;
b2 = -1;
}
else
{
c0 = ( 1 + alpha ) / 2;
b1 = - 2 * beta1;
b2 = -1;
}
}
return Poly2ndOrder( input, N, c0, c1, b0, b1, b2, a1, a2 );
}
// test code
P = C - C[ 0 ];
Plot( P, "Change", colorBlack );
type = ParamList("Type", "EMA|SMA|Gauss|Butter|HP|2PHP|BP|BS" );
period = Param("Period", 20, 1, 100, 1 );
delta = Param("Delta", 0.1, 0, 1, 0.01 );
Plot( SWAK( P, type, period, delta), type +_PARAM_VALUES(), colorRed );0 comments
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