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Sine Wave Indicator for Amibroker (AFL)
kaiji
about 15 years ago
Amibroker (AFL)

Rating:
4 / 5 (Votes 2)
Tags:
oscillator, amibroker, ehler

I got this going, based on other people’s work and the dominant cycle code already on the site, it took me a while, but I think it looks correct now.

I am not sure how to trade it, using buy sell signals on the cross overs does not always perform well using back testing. There must be more to it I suspect it needs to be used with some other indicators.

I have done some other work too which looks good around a stochastic adaptive Cyber Cycle, which I may put up if there is sufficient interest to review.

By Sony Chauhan

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SetBarsRequired(100000,100000);
pi=4*atan(1);
RTD=180/pi;
DTR=pi/180;
SetOption( "initialequity", 50000 ); /* starting capital */
//PositionSize = -10; /* trade size will be 10% of available equty */
 
 
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
    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)];
     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];
 
    //Compute Dominant Cycle Phase
    DCPeriod[i] = int(Period[i]);
    RealPart[i] = 0; ImagPart[i] = 0;
 
    for (Count1=0; Count1 < DCPeriod[i] ;Count1++) {
        if ((i-Count1) > 0) {
            RealPart[i] = RealPart[I] + sin(360*DTR*Count1/DCPeriod[i]) * Cycle[i-Count1];
            ImagPart[i] = ImagPart[i] + cos(360*DTR*Count1/DCPeriod[i]) * Cycle[i-Count1];
        }
    }
 
    if (abs(ImagPart[i]) > 0.001) {
        DCPhase[i] = atan(RealPart[i]/ImagPart[i])*RTD;
    }; 
 
    if (abs(ImagPart[i]) <= 0.001) {
        DCPhase[i] = 90*sign(RealPart[i]);
    };
 
    DCPhase[i] = DCPhase[i] + 90;
    if (ImagPart[i] < 0) DCPhase[i] = DCPhase[i] + 180;
    if (DCPhase[i] > 315) DCPhase[i] = DCPhase[i] - 360;
  }
    return DCPhase;
}
 
 
Med = (H+L)/2;
 
// CyclePeriod
CP = CyclePeriod(Med, .07);
SineWave = sin(CP*DTR);
LeadSine = sin((CP+45)*DTR);
 
 
Buy =Cross(Sinewave,LeadSine);
Sell =Cross(LeadSine, Sinewave);
 
Plot(SineWave , "SineWave ", colorBlue, styleLine);
Plot(LeadSine , "LeadSine ", colorRed, styleLine);

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