XCAP_iPolyCycle

[Tams 20]

XCAP_iPolyCycle

 

 

XCAP_iPolyCycle

 

Author: Paul A. Griffin

January 16, 2007

Extrema Capital, 2007

 

Introduction:

 

This is an example of what can be done by combining Legendre polynomials and

analytic signals. I get a way of determining a smooth period and

relative adaptive strength indicator without adding time lag.

 

This indicator displays the following:

 

a. The Least Squares fit of a polynomial to a DC subtracted time series - a best fit to a cycle.

 

b. The normalized analytic signal of the cycle (signal and quadrature).

 

c. The Phase shift of the analytic signal per bar.

 

d. The Period and HalfPeriod lengths, in bars of the current cycle.

 

e. A relative strength indicator of the time series over the cycle length. That is, adaptive

relative strength over the cycle length.

 

The Relative Strength Indicator, is adaptive to the time series, and it can be smoothed by increasing the length of

decreasing the number of degrees of freedom.

 

Other adaptive indicators based upon the period and can be similarly constructed.

 

There is some new math here, so I have broken the story up into 5 Parts:

 

Part 1:

 

Any time series can be decomposed into a orthogonal set of polynomials [1,2,3].

This is just math and here are some good references:

 

[1] http://en.wikipedia.org/wiki/Legendre_polynomials

 

[2] https://www.tradestation.com/Discussions/Topic.aspx?Topic_ID=59250

 

[3] Peter Seffen, "On Digital Smoothing Filters: A Brief Review of Closed Form Solutions and Two New Filter Approaches",

Circuits Systems Signal Process, Vol. 5, No 2, 1986

 

I gave some thought to what should be done with ths and came to the conclusion that they can be used for basic smoothing

of time series. For the analysis below, I decompose a time series into a low number of

degrees of freedom and discard the zero mode to introduce smoothing.

 

That is:

 

time series => c_1 t + c_2 t^2 ... c_Max t^Max

 

This is the cycle. By construction, the cycle does not have a zero mode and more physically, I am defining the

"Trend" to be the zero mode.

 

The data for the cycle and the fit of the cycle can be viewed by setting

 

ShowDataAndFit = TRUE;

 

There, you will see the fit of the last bar as well as the time series of the leading edge of the fits. If you don't

know what I mean by the "leading edge", please see some of the postings in [2]. The leading edges are in grayscale,

and the fit of the last bar is in color.

 

I have choosen Length = 17 and Degree = 4 as the default. I am simply making sure by eye that the fit is reasonably good and

degree 4 is the lowest polynomial that can represent a sine-like wave, and 17 is the smallest length that lets me calculate

the Phase Shift (Part 3 below) using the Hilbert Transform of width=7 (Part 2 below).

 

Depending upon the fit you make, you will capture different cycles in the data. A fit that is too "smooth" will

not see the smaller cycles, and a fit that is too "choppy" will not see the longer ones. The idea is to use the fit

to try to suppress the smaller noise cycles while keeping larger signal cycles.

 

Part 2:

 

Every time series has an Analytic Signal, defined by applying the Hilbert Transform to it. You can think of the

original time series as amplitude * cosine(theta) and the transformed series, called the quadrature, can be thought of as

amplitude * sine(theta). By taking the ratio, you can get the angle theta, and this is exactly what was done by

John Ehlers in [4]. It lets you get a frequency out of the time series under consideration.

 

[4] http://www.amazon.com/Rocket-Science-Traders-Processing-Applications/dp/0471405671

 

It helps to have more references to understand this. There is a nice article in Wikipedia[5] on it.

Read the part about the discrete Hilbert Transform:

 

[5] http://www.answers.com/topic/hilbert-transform'>http://www.answers.com/topic/hilbert-transform

 

Also, Answers.com has good information on the Hilbert Transform and links to other concepts:

 

[6] http://www.answers.com/topic/hilbert-transform

 

If you really want to understand how to go from continuous to discrete, look up this article

written by Richard Lyons:

 

[7] http://www.dspguru.com/info/tutor/QuadSignals.pdf

 

In the indicator below, I am calculating the normalized analytic signal,

which can be written as:

 

s + i h where i is the imagary number, and s^2 + h^2 = 1;

 

s= signal = cosine(theta)

h = hilbert transformed signal = quadrature = sine(theta)

 

The angle is therefore given by theta = arctan(h/s);

 

The analytic signal leading edge and the fit of the last bar of the cycle can be viewed by setting

 

ShowAnalyticSignal = TRUE;

 

The leading edges are in grayscale fit to the last bar is in color. Light (yellow) is the

s term, and Dark (orange) is the quadrature (hilbert transform). Note that for every bar,

s^2 + h^2 = 1 , by construction.

 

I am using a width = 7 Hilbert transform, just like Ehlers. (But you can adjust it if you want.) This transform has a

7 bar lag. I have put the lag into the plot statements, so the cycle info should be quite good at displaying minima

and maxima (extrema).

 

Part 3:

 

The Phase shift is the amount of phase change from bar to bar.

 

It is a discrete unitary transformation that takes s[1] + i h[1] to s + i h

 

explicitly, T = (s+ih)*(s[1]-ih[1]) , since s[1]*s[1] + h[1]*h[1] = 1.

 

writing it out, we find that T = T1 + iT2

 

where T1 = s*s[1] + h*h[1] and T2 = s*h[1]-h*s[1]

 

and the phase shift is given by PhaseShift = arctan(T2/T1);

 

Alas, I have no reference for this, all I doing is finding the rotation what takes the analytic signal

at bar [1] to the analytic signal at bar [0]. T is the transfer matrix.

 

Of interest is the PhaseShift from the closest two bars to the present, given by the

bar [7] and bar [8] since I am using a width=7 Hilbert transform, bar [7] is the earliest bar with an

analytic signal.

 

I store the phase shift from bar [7] to bar [8] as a timeseries called PhaseShift. It basically gives

you the (7-bar delayed) leading edge the amount of phase angle change in the series.

 

You can see it by setting

 

ShowPhaseShift=TRUE

 

The green points are positve phase shifts and red points are negative pahse shifts.

On most charts, I have looked at, the indicator is mostly green, but occationally, the stock

"retrogrades" and red appears. This happens when the cycle is "broken" and the cycle length starts to

expand as a trend occurs.

 

Part 4:

 

The Period:

 

The Period is the number of bars required to generate a sum of

PhaseShifts equal to 360 degrees.

 

The halfperiod is the number of bars required to generate a sum of phase shifts

equal to 180 degrees. It is usually not equal to 1/2 of the period.

 

You can see the Period and Halfperiod by setting

 

ShowPeriod=TRUE

 

The code is very simple here:

 

Value1=0;

Value2=0;

while Value1 < barnumber and AbsValue(Value2) < 360 begin

Value2 = Value2 + PhaseShift[Value1];

Value1 = Value1 + 1;

end;

Period = Value1;

 

The period is sensitive to the input length and degree values but not overly so. Any insight

on this would be appreciated.

 

Part 5:

 

The Relative Stength indicator:

 

The Relative Strength is just the current value of the series minus the minimum over the last cycle

divided by the maximum - minimum over the last cycle, normalized between +1 and -1.

 

RelativeStrength = -1 + 2*(Series-Min)/(Max-Min);

 

It therefore tells you where the current bar is relative to the cycle. If you want to smooth the indicator, then

extend the period and/or reduce the polynomial degree.

 

In code:

 

NewLength = floor(Period + HilbertWidth+1);

Max = highest(Series,NewLength);

Min = lowest(Series,NewLength);

if Max>Min then

 

Note that the variable NewLength includes the lag that comes from the hilbert transform,

(HilbertWidth=7 by default).

 

Conclusion:

 

This is an example of what can be done by combining Legendre polynomials and

analytic signals to determine a smooth period without adding time lag.

 

 

 

 

 

 

Note:

This indicator was written in EasyLanguage.

Please refer to your users manual for importation instructions.

 

Your comments and rating of this indicator is appreciated.

XCAP_iPolyCycle_(MultiCharts).pla

XCAP_iPolyCycle_(EasyLanguage).txt

[Tams 20]

related indicators:

 

XCAP IPolyFitPredict

http://www.traderslaboratory.com/forums/f46/xcap-ipolyfitpredict-7056.html

 

XCAP IPolyFit

http://www.traderslaboratory.com/forums/f46/xcap-ipolyfit-7039.html

 

[ajax358 10]

thx looks very interesting.....will test it shortly & then reply with feedback.......looks like it turns with Price, so can be a good addition/verifier for other indicators one uses....thx Tams

[ajax358 10]

tried to copy the easylanguage to make an "indicator".....made it via th top of the dialogue wordages... & it did make an indicator....but when loaded up unto a chart, showed the level, but nothing in it. So, not sure how to make an ELD for the graph you have. Any suggestions Tams? Do you have an ELD already made that you can post? Or am I copying the wrong wordage? Thx ahead of time....ajax358,,,,,,,,,,Here is what I copied:

 

Inputs:

Series((h+l)/2),

Length(17), // Length = 2*Width+1, the minimum is 17 bars

Degree(4), // 0 <= Degree <= 2*Width+1, default is 4, 4 DOF for 17 bars

ShowDataAndFit(FALSE), //Shows data and fit of the data last bar only

ShowAnalyticSignal(FALSE), //Shows the signal between the

ShowPhaseShift(FALSE), //Shows the PhaseShift for the last bar

ShowPeriod(FALSE), //Shows the number of bars required to Phase Shift a half and a full period

ShowRelativeStrength(TRUE); //Show the relative strengh of the current bar w.r.t. a full period (+ calculation lag).

 

Variables:

HilbertWidth(7), // Must be an odd number. 1,3,5,7,9, ... less than or equal to Width = floor(Length-1)/2)

pi(3.141592653589793), //close enough

Width(floor((Length-1)/2)); //

 

Variables:

DC(0),

EarliestWidth(0),

LeadingCycleEdge(0),

LeadingSignalEdge(0),

LeadingHilbertEdge(0),

p(0),j(0),k(0),

DataSize(2*Width+1),

T1(0),T2(0),//TransferMatrix

PhaseShift(0),

HalfPeriod(0),Period(0),

Max(0),Min(0),

RelativeStrength(0);

 

 

Arrays:

Polynomial[](0),

Coefficient[](0),

Cycle[](0),

Signal[](0),

Hilbert[](0),

HilbertTransform[](0),

SignalTransform[](0);

 

if barnumber = 1 then begin

 

//Allocate memory for the arrays. Polynomial is a 2D array

Array_SetMaxIndex(Polynomial, DataSize*(Degree+1)+1);

Array_SetMaxIndex(Coefficient, Degree+1);

Array_SetMaxIndex(Cycle, DataSize);

Array_SetMaxIndex(Signal, DataSize);

Array_SetMaxIndex(Hilbert, DataSize);

 

//We are going to make the analytic signal of the time series with the transforms below:

Array_SetMaxIndex(HilbertTransform, 2*HilbertWidth+1);

Array_SetMaxIndex(SignalTransform,2*HilbertWidth+1);

 

//Create the Dicrete Hilbert Transform Filter, normalized to a step function (the last being my idea)

for k = -HilbertWidth to HilbertWidth begin

if mod(k,2) = 0 then HilbertTransform[HilbertWidth+k] = 0 else HilbertTransform[HilbertWidth+k] = 2/(pi*k);

if k = 0 then SignalTransform[HilbertWidth+k] = 1 else SignalTransform[HilbertWidth+k] = 0;

end;

 

end;

[sevensa 10]

You haven't even copied half of the code. It's a wonder it even compiles. Why don't you copy and paste all the text and try again?

[ajax358 10]

there were apparent breaks in the code with dialogue, so was not sure were to to copy & what not to copy.....still not sure, so am in limbo. Maybe someone smarter than me can then just post the string of dialogue so this non techie feeble mind can know. Just a thought & grateful for any help....

thx......ajax358

[sevensa 10]

there were apparent breaks in the code with dialogue, so was not sure were to to copy & what not to copy.....still not sure, so am in limbo. Maybe someone smarter than me can then just post the string of dialogue so this non techie feeble mind can know. Just a thought & grateful for any help....

thx......ajax358

 

Why do you try to pick what to copy and what not? Just copy and paste the text file Tams attached. It contains everything you need.

 

Open the attached Text file then:

Ctrl-A

Ctrl-C

Create a new indicator in TS then:

Ctrl-V

 

This is not so hard, is it?

[ajax358 10]

I did copy the whole thing & it did not work.....TS verified it on the close of the indicator creation, but when loaded to the window nothing loaded=it was blank. So I guess it is not so easy, as per the results of the above statement. As I asked, if someone could just copy & paste the entire one that works, then I will test it out & try it, then report back. If no one does, then I will pass on this....see is easy. Thx for someone to post it or the ELD....

[statsign 10]

:beer::beer:

 

https://www.tradestation.com/Discussions/Topic.aspx?Topic_ID=59793

XCAP_POLYCYCLE.ELD

[ajax358 10]

"statsign".....cheers mate & thx for posting it.....me being puter geek language challenged, tho a geek wannabe.....thx ya allot. Will load & test it over this weekend....will report to this board later of my use & findings. Thx again. & thx to Tams for posting it....

[ajax358 10]

"statsign"....(not sure if the other post got thru, as not see it, so try again).....thx allot for the post of the ELD....me being geek language/puter challengesd, but a geek wannabe, this will do the ticket. Will post a backtest & usgae response this weekend. Thx again. & thx Tams for posting this code ....

[gaudi 10]

is it possible to set array sizes to fixed sizes rather than dynamic allocation?

i'm talking about the part where Array_SetMaxIndex function called.

cause i use minor platform (not TS) which doesn't support dynamic allocating.

[zdo 20]

Most likely. Look at declarations for most of the array sizes. You may have to oversize some of the arrays... hth

[gregcgc01 10]

Many thanks, this is currently my favorite oscillator, turned it into a scanner by adding the below code:

 

Value54=(UlcerIndex(RelativeStrength,40)/40-1);
	Plot88 (Value54,"ulcer");


If useradar = True then


{
if GetAppInfo( aiRealTimeCalc ) = 1 and OneAlert( Value15>.99 or Value15<-.99 ) then
RunCommand( ".NC" ) ; 
	RunCommand( Symbol ) ; }

If usescreenerR	Then
		begin	
		{If  value14[4]< -.95 and RelativeStrength <-.75 and RelativeStrength >-.95 and  Value54< 0 then}
		 If  value14[4]< -.55 and RelativeStrength[4] <-.55 and RelativeStrength >-.65 and  Value54< 0 then
		FileAppend(fname,  Numtostr(date,0)+ ","+Numtostr(time,0)+ ", Xcap value14[4]< 5 and RelativeStrength <25 and RelativeStrength >5  ," +symbol + "," +  Numtostr(Value14*100,0)+ "," + Numtostr(RelativeStrength*100,0) + "," + Numtostr(Value54,2) +newline);	


		If  value14[4]>.55     and RelativeStrength[4] >.55 and RelativeStrength <.65 and  Value54< 0 then
		FileAppend(fname,  Numtostr(date,0)+ ","+Numtostr(time,0)+ ", Xcap value14[4]> 95 and RelativeStrength <75 and RelativeStrength <95  ," +symbol + "," +  Numtostr(Value14*100,0)+ "," + Numtostr(RelativeStrength*100,0) + "," + Numtostr(Value54,2) +newline);
	END;

 

Also using suri.CharShow.slideshow to cycle symbols. I'm scanning on 180 min.