John F. Ehlers Autocorrelation Reversals for Amibroker (AFL)

/*
	Autocorrelation Reversals
	2013 John F. Ehlers
*/

SetBarsRequired(sbrAll);

AvgL = Param("AvgLength", 3, 0, 10);
LPeriod = Param("Low-pass Period", 10, 3, 20);
HPeriod = Param("High-pass Period", 48, 22, 80);

pi=3.1415926;

function RoofingFilter(lpPeriod, hpPeriod)
{
	alpha1 = (cos(0.707*2*pi / hpPeriod) + sin(0.707*2*pi / hpPeriod) - 1) / cos(0.707*2*pi / hpPeriod);
	a1 = exp(-1.414*pi / lpPeriod);
	b1 = 2*a1*cos(1.414*pi / lpPeriod);
	c2 = b1;
	c3 = -a1*a1;
	c1 = 1 - c2 - c3;
	
	HP = Close;
	Filt = HP;
	
	for(i = 2; i < BarCount; i++)
	{
		HP[i] = ((1 - alpha1 / 2)^2)*(Close[i] - 2*Close[i-1] + Close[i-2]) + 2*(1 - alpha1)*HP[i-1] - ((1 - alpha1)^2)*HP[i-2];
		Filt[i] = c1*(HP[i] + HP[i-1]) / 2 + c2*Filt[i-1] + c3*Filt[i-2];
	}
	
	return Filt;
}

function AutocorrelationReversals(data, avgLength)
{
	//Pearson correlation for each value of lag
	for(lag = 3; lag <= 48; lag++)
	{
		//Set the average length as M
		M = avgLength;
		if(avgLength == 0)
			M = lag;
		//Initialize correlation sums
		Sx = 0;
		Sy = 0;
		Sxx = 0;
		Syy = 0;
		Sxy = 0;
		//Advance samples of both data streams and sum Pearson components
		for(count = 0; count <= M-1; count++)
		{
			X = Ref(data, -count);
			Y = Ref(data, -(lag + count));
			Sx += X;
			Sy += Y;
			Sxx += X^2;
			Syy += Y^2;
			Sxy += X*Y;
		}
		var1 = (M*Sxx - Sx^2)*(M*Syy - Sy^2);
		//Scale each correlation to range between 0 and 1
		VarSet("corr" + lag, IIf(var1 > 0, 0.5*((M*Sxy - Sx*Sy)/sqrt(var1) + 1), 0));
	}
	
	sumDeltas = 0;	//sum the bar-to-bar differences of the autocorrelation function across all values of lag
	
	for(lag = 3; lag <= 48; lag++)
	{
		corrShift0 = VarGet("corr" + lag);
		corrShift1 = Ref(corrShift0, -1);
		result = IIf((corrShift0 > 0.5 AND corrShift1 < 0.5) OR (corrShift0 < 0.5 AND corrShift1 > 0.5), 1, 0);
		sumDeltas += result;
	}
	
	reversal = IIf(sumDeltas > 24, 1, 0);
	
	Plot(reversal, "Autocorrelation Reversals", colorBlue);
	
	return reversal;
}

filtData = RoofingFilter(LPeriod, HPeriod);
AutocorrelationReversals(filtData, AvgL);