Need some help with my indicator

ErikD
27 Jul 2013, 11:54

I think I got it to work now

ErikD
27 Jul 2013, 12:32

Or maybe not

What I did was 

             _hp[1] = 0;
            _hp[2] = 0;
            _filt[1] = 0;
            _filt[2] = 0;

But as soon as period is over 40 I get a NaN

atrader
29 Jul 2013, 10:40

Consider these changes. The period over 10 for both fields, does not produce any results (goes to infinity). You probably need to confirm the formula. Or maybe post the formula here. 

What is this indicator supposed to show?

namespace cAlgo.Indicators
{
    [Indicator(IsOverlay = false, TimeZone = TimeZones.UTC, ScalePrecision = 5)]
    public class Forum_1305 : Indicator
    {
        #region Variables

        private IndicatorDataSeries _filt;
        private IndicatorDataSeries _hp;
        private double a1;
        private double alpha1;
        private double b1;
        private double c1;
        private double c2;
        private double c3;

        

        #endregion

        #region  Parameters

        [Output("Roofing", Color = Colors.Purple)]
        public IndicatorDataSeries Roofing { get; set; }

        [Parameter("Max", DefaultValue = 8)]
        public int Period { get; set; }

        [Parameter("Min", DefaultValue = 4)]
        public int Period2 { get; set; }

        [Parameter]
        public DataSeries Source { get; set; }

        #endregion

        protected override void Initialize()
        {
            _filt = CreateDataSeries();
            _hp = CreateDataSeries();

            // consider these changes: 180 = pi, 360 = 2*pi, 1.414 = Math.Sqrt(2),  .707 = Math.Sqrt(2)/2            

//            alpha1 = (Math.Cos(.707*360/Period) + Math.Sin(.707*360/Period) - 1)/Math.Cos(.707*360/Period);
            alpha1 = (Math.Cos(Math.Sqrt(2) * Math.PI / Period) + Math.Sin(Math.Sqrt(2) * Math.PI / Period) - 1) / Math.Cos(Math.Sqrt(2) * Math.PI / Period);


            a1 = Math.Exp(-Math.Sqrt(2)*Math.PI/Period2);
//            b1 = 2*a1*Math.Cos(1.414*180/Period2);
            b1 = 2 * a1 * Math.Cos(Math.Sqrt(2) * Math.PI / Period2);
            c2 = b1;
            c3 = -a1*a1;
            c1 = 1 - c2 - c3;

            _hp[0] = 0;
            _hp[1] = 0;
            _hp[2] = 0;
            _filt[0] = 0;
            _filt[1] = 0;
            _filt[2] = 0;

        }


        public override void Calculate(int index)
        {
            if(index < 3) return;

            _hp[index] = (1 - alpha1/2)*(1 - alpha1/2)*
                         ((Source[index] - 2*Source[index - 1] + Source[index - 2]) + 2*(1 - alpha1)*_hp[index - 2] -
                          (1 - alpha1)*(1 - alpha1)*_hp[index - 3]);
            
            _filt[index] = c1*(_hp[index]*2)/2 + c2*_filt[index - 1] + c3*_filt[index - 2];

            // Use print to check the results
            //Print("{0},{1},{2}", index, _hp[index], _filt[index]);
            
            Roofing[index] = _filt[index];

        }
    }
}

ErikD
30 Jul 2013, 21:57

Thanks for the reply Atrader

The indicator is a convertaion from one of Ehlers papers

Its basicly a HighPass filter that is supposed to filter out signals over a higher noumber (default should be 48) that is then smootherd by what ehlers call a super smoother.

The indicator can be used as a standalone indicator but I have found that it is best used as a scourse for other osciliators (I have TS aswell)

The code looks good and I can tell from the indicator that it produces the result that I want, only that the period is to slow which make it that messy.

I'll see if I can find the paper and link it, the formula is in there but its basicly what I wrote in the code.

Could be with the way EasyLaunge and C prioritize code.

The alternative is that I use a libary with signal codes such as SignalLab but I rahter not :P

ErikD
30 Jul 2013, 22:04

http://www.stockspotter.com/files/PredictiveIndicators.pdf   page 5-6

atrader
31 Jul 2013, 10:11

I corrected a couple of things according to the paper.

using System;
using cAlgo.API;
using cAlgo.API.Indicators;

namespace cAlgo.Indicators
{
    [Indicator(IsOverlay = false, TimeZone = TimeZones.UTC, ScalePrecision = 5)]
    public class Forum_1305 : Indicator
    {
        #region Variables

        private IndicatorDataSeries _filt;
        private IndicatorDataSeries _hp;
        private double a1;
        private double alpha1;
        private double b1;
        private double c1;
        private double c2;
        private double c3;

        

        #endregion

        #region  Parameters

        [Output("Roofing", Color = Colors.Purple)]
        public IndicatorDataSeries Roofing { get; set; }

        [Parameter("Max", DefaultValue = 48)]
        public int Period { get; set; }

        [Parameter("Min", DefaultValue = 10)]
        public int Period2 { get; set; }

        [Parameter]
        public DataSeries Source { get; set; }

        #endregion

        protected override void Initialize()
        {
            _filt = CreateDataSeries();
            _hp = CreateDataSeries();

            alpha1 = (Math.Cos(Math.Sqrt(2) * Math.PI / Period) + Math.Sin(Math.Sqrt(2) * Math.PI / Period) - 1) / Math.Cos(Math.Sqrt(2) * Math.PI / Period);

            a1 = Math.Exp(-Math.Sqrt(2)*Math.PI/Period2);
            b1 = 2 * a1 * Math.Cos(Math.Sqrt(2) * Math.PI / Period2);
            c2 = b1;
            c3 = -a1*a1;
            c1 = 1 - c2 - c3;

            _hp[0] = 0;
            _hp[1] = 0;

            _filt[0] = 0;
            _filt[1] = 0;

        }

        public override void Calculate(int index)
        {
            
            if (index < 2) return;

            _hp[index] = (1 - alpha1/2)*(1 - alpha1/2)*
                         ((Source[index] - 2*Source[index - 1] + Source[index - 2]) + 2*(1 - alpha1)*_hp[index - 1] -
                          (1 - alpha1)*(1 - alpha1)*_hp[index - 2]);
            
            _filt[index] = c1 * (_hp[index] + _hp[index-1]) / 2 + c2 * _filt[index - 1] + c3 * _filt[index - 2];
           
            Roofing[index] = _filt[index];

        }
    }
}