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Hilbert study for Amibroker (AFL)
Rating:
3 / 5 (Votes 2)
Tags:
trading system, amibroker, exploration
Using the Hilbert Metastock code, my interpetation of this indicator that indicates whether a stock is trending or not. This is set up as a system buying in at the start of a trend.
Author: Steve Wiser
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1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 137 138 139 140 141 142 143 144 145 146 147 148 149 150 151 152 153 154 155 156 157 158 159 160 161 162 163 164 165 166 | /* Hilbert Study */EnableScript("VBScript");value1=((H+L)/2) - Ref(((H+L)/2),-6);value2= Ref(value1,-3);value3=0.75*(value1-Ref(value1,-6)) + 0.25*(Ref(value1,-2)-Ref(value1,-4));<% value1 = AFL("Value1") value2 = AFL("Value2") value3 = AFL("Value3") Close = AFL("Close") inphase = Close quad = inphaseCall Setup() Function Setup() for i = 1 to Ubound(close) inphase(i) = 0.33 * value2(i) + (0.67 * inphase(i-1) ) quad(i) = 0.20 * value3(i) + ( 0.8 * quad(i-1) ) nextEnd FunctionAFL.Var("inphase") = inphaseAFL.Var("quad") = quad%>p1 = Atan( Abs(quad+Ref(quad,-1) ) / Abs(inphase+Ref(inphase,-1) ) ) * 360 /3.1416;phase = IIf(inphase<0 AND quad>0, 180-p1, IIf(inphase<0 AND quad<0, 180+p1, IIf(inphase>0 AND quad<0, 360-p1,p1)));dp = IIf(Ref(phase,-1)<90 AND phase>270, 360+Ref(phase,-1)-phase,Ref(phase,-1)-phase);dp2 = IIf(dp < 1, 1, IIf(dp > 60, 60, dp));Graph1 = dp2;HilbertCyclePeriod1a = dp2;value = dp2;HCycleCount1a=IIf(Sum(value,6)>=360 AND Sum(value,5)<360 ,6,0) +IIf(Sum(value,7)>=360 AND Sum(value,6)<360 ,7,0) +IIf(Sum(value,8)>=360 AND Sum(value,7)<360 ,8,0) +IIf(Sum(value,9)>=360 AND Sum(value,8)<360 ,9,0) +IIf(Sum(value,10)>=360 AND Sum(value,9)<360 ,10,0) +IIf(Sum(value,11)>=360 AND Sum(value,10)<360 ,11,0) +IIf(Sum(value,12)>=360 AND Sum(value,11)<360 ,12,0) +IIf(Sum(value,13)>=360 AND Sum(value,12)<360 ,13,0) +IIf(Sum(value,14)>=360 AND Sum(value,13)<360 ,14,0) +IIf(Sum(value,15)>=360 AND Sum(value,14)<360 ,15,0);HCycleCount2a =IIf(Sum(value,16)>=360 AND Sum(value,15)<360 ,16,0) +IIf(Sum(value,17)>=360 AND Sum(value,16)<360 ,17,0) +IIf(Sum(value,18)>=360 AND Sum(value,17)<360 ,18,0) +IIf(Sum(value,19)>=360 AND Sum(value,18)<360 ,19,0) +IIf(Sum(value,20)>=360 AND Sum(value,19)<360 ,20,0) +IIf(Sum(value,21)>=360 AND Sum(value,20)<360 ,21,0) +IIf(Sum(value,22)>=360 AND Sum(value,21)<360 ,22,0) +IIf(Sum(value,23)>=360 AND Sum(value,22)<360 ,23,0) +IIf(Sum(value,24)>=360 AND Sum(value,23)<360 ,24,0) +IIf(Sum(value,25)>=360 AND Sum(value,24)<360 ,25,0);HCyclecount3a = IIf(Sum(value,26)>=360 AND Sum(value,25)<360 ,26,0) +IIf(Sum(value,27)>=360 AND Sum(value,26)<360 ,27,0) +IIf(Sum(value,28)>=360 AND Sum(value,27)<360 ,28,0) +IIf(Sum(value,29)>=360 AND Sum(value,28)<360 ,29,0) +IIf(Sum(value,30)>=360 AND Sum(value,29)<360 ,30,0) +IIf(Sum(value,31)>=360 AND Sum(value,30)<360 ,31,0) +IIf(Sum(value,32)>=360 AND Sum(value,31)<360 ,32,0) +IIf(Sum(value,33)>=360 AND Sum(value,32)<360 ,33,0) +IIf(Sum(value,34)>=360 AND Sum(value,33)<360 ,34,0) +IIf(Sum(value,35)>=360 AND Sum(value,34)<360 ,35,0);c1= HCycleCount1a + HCycleCount2a + HCycleCount3a;/*graph0 = HCycleCount1a;graph1 = HCyclecount2a;Graph2 = HCyclecount3a;Graph0Style=Graph1Style=Graph2Style=5;*/<%c1 = AFL("c1")c2 = c1c3 = c1 for i = 1 to Ubound(c1) IF c1(i) = 0 then c2(i) = c2(i-1) else c2(i) = c1(i) c3(i) = 0.25*c2(i) + 0.75*c3(i-1) nextAFL.Var("quad") = c1%>graphXspace = 1;/* playing a little here with moving averages, the Hilbert curve using Amibroker seems a lot more jagged than the one produced using Metastock. I do not understand this difference but using a moving average produces a curve that is closer to Metastocks results than the one that I produced as an interpetation. */fast = 2/(2+1);slow = 2/(30+1);dir=abs(close-ref(close,-5));vol=sum(abs(close-ref(close,-1)),5);ER=dir/vol;sc =( ER*(fast-slow)+slow)^2;graph0 = c1;graph1 = ama( c1, sc );graph2 = ema(c1,9);graph0style=graph1style=graph2style=4;/* Squelch here is used as 15 instead of 20 on the site */Squelch = 15;var1 = graph2;buy = IIF(var1 < Squelch , 0 , 1);sell = IIF( var1 < Squelch , 1, 0 );buy = exrem(buy,sell);sell = exrem(sell,buy);/* Exploration code *//* filter is setup so that you can test any particular date and see the followup performance. Just make sure that that date is at least 3 * first days in the past from the current date, otherwise the future references will produce the wrong information or no information useful */Filter = Buy==1;first=1; /* First is the number of days for each ROC interval for reviewing performance */numcolumns = 7;column0 = C;column0format = 1.2;column0name = "Close";column1 = ref(C, 1+first);column1name = "Close+i ";column1format = 1.2;column2 = ref(C,1+first*2);column2name = "Close+i*2 ";column2format = 1.2;column3 = ref(C,1+first*3);column3name = "Close+i*3 ";column3format = 1.2;column4= ref(C,first*1+1) - C;column4name="ROC+i";column4format = 1.2;column5= ref(C,first*2+1) - C;column5name="ROC+2i";column5format = 1.2;column6= ref(C,first*3+1) - C;column6name="ROC+3i";column6format = 1.2;/* End of Exploration Code. */ |
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how to erase the moving average the black line in this formula