Author Topic: Weekly Autocorrelation Periodogram on a Daily Amibroker Chart  (Read 63 times)

derek2209

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Weekly Autocorrelation Periodogram on a Daily Amibroker Chart
« on: November 30, 2017, 04:33:14 pm »
Hi
Is it possible  plot a  Weekly  "Autocorrelation Periodogram " ( John F. Ehlers)
on a separate  pane of a Daily Amibroker Chart ?
Link to  Autocorrelation Periodogram code below:

https://www.wisestocktrader.com/indicators/4665-john-f-ehlers-autocorrelation-periodogram-for-amibroker-afl

Thanking you in advance
Best regards
Derek

Code: [Select]
// Downloaded From www.WiseStockTrader.com
/*
Autocorrelation Periodogram
2013 John F. Ehlers
*/

SetBarsRequired(sbrAll);

LPeriod = Param("Low-pass Period", 10, 3, 20);
HPeriod = Param("High-pass Period", 48, 22, 80);
IsPlotHeatMap = ParamToggle("Show HeatMap?", "No|Yes", 1);
IsPlotDominantCycle = ParamToggle("Show Dom. Cycle?", "No|Yes");

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 AGC(lowerCutoff, higherCutoff, acceptableSlope)
{
factor = 0;
accSlope = -acceptableSlope; //acceptableSlope = 1.5 dB
halfLC = lowerCutoff / 2;
halfHC = higherCutoff / 2;
ratio = 10^(accSlope/20);
if(halfHC - halfLC > 0)
factor = ratio^(1/(halfHC - halfLC));
return factor;
}

function AutocorrelationPeriodogram(data, isHeatMap, isDomCyc)
{
avgLength = 3;
dominantCycle = 0;

//Pearson correlation for each value of lag
for(lag = 0; 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);
VarSet("corr" + lag, IIf(var1 > 0, (M*Sxy - Sx*Sy)/sqrt(var1), 0)); //Compute correlation for each value of lag
//VarSet("corrScale" + lag, IIf(var1 > 0, 0.5*((M*Sxy - Sx*Sy)/sqrt(var1) + 1), 0)); //Scale each correlation to range between 0 and 1
}

/*//Plot as a Heatmap (for scale each correlation to range between 0 and 1)
for(period = 3; period <= 48; period++)
{
corr = VarGet("corrScale" + period);
Red = IIf(corr > 0.5, 255*(2 - 2*corr), 255);
Green = IIf(corr > 0.5, 255, 2*255*corr);
PlotOHLC( period-1, period-1, period, period, "", ColorRGB( Red, Green, 0 ), styleCloud | styleNoLabel);
}*/

/*
The DFT is accomplished by correlating the autocorrelation at each value of lag with the cosine and sine of each period of interest.
The sum of the squares of each of these values represents the relative power at each period.
*/
for(period = 10; period <= 48; period++)
{
cosinePart = 0;
sinePart = 0;

for(n = 3; n <= 48; n++)
{
cosinePart += VarGet("corr" + n)*cos(2*pi*n / period);
sinePart += VarGet("corr" + n)*sin(2*pi*n / period);
}
VarSet("sqSum" + period, cosinePart^2 + sinePart^2);
}

//EMA is used to smooth the power measurement at each period
for(period = 10; period <= 48; period++)
VarSet("r" + period, AMA((VarGet("sqSum" + period))^2, 0.2));

//Find Maximum Power Level for Normalization
K = AGC(10, 48, 1.5);
for(period = 10; period <= 48; period++)
{
if(period == 10)
VarSet("maxPwr", 0);
VarSet("maxPwr", IIf(VarGet("r" + period) > VarGet("maxPwr"), K*VarGet("r" + period), VarGet("maxPwr")));
}

//Normalization power
for(period = 10; period <= 48; period++)
VarSet("pwr" + period, VarGet("r" + period)/VarGet("maxPwr"));

//Compute the dominant cycle using the CG of the spectrum
Spx = 0;
Sp = 0;
for(period = 10; period <= 48; period++)
{
Spx += IIf(VarGet("pwr" + period) >= 0.5,  period*VarGet("pwr" + period), 0);
Sp += IIf(VarGet("pwr" + period) >= 0.5, VarGet("pwr" + period), 0);
}
dominantCycle = IIf(Sp != 0, Spx / Sp, 0);

if(isHeatMap)
{
//Plot as a Heatmap
for(period = 10; period <= 48; period++)
{
pwr = VarGet("pwr" + period);
Red = IIf(pwr > 0.5, 255, 2*255*pwr);
Green = IIf(pwr > 0.5, 255*(2*pwr - 1), 0);
PlotOHLC( period-1, period-1, period, period, "", ColorRGB( Red, Green, 0 ), styleCloud | styleNoLabel, Null, Null, 0, 0);
}
}

if(isDomCyc)
Plot(dominantCycle, "Dominant Cycle", colorBlue, styleThick, Null, Null, 0, 1);

return dominantCycle;
}

filtData = RoofingFilter(LPeriod, HPeriod);
AutocorrelationPeriodogram(filtData, IsPlotHeatMap, IsPlotDominantCycle);