Calcul de la période des cycles selon Ehlers

This topic has 5 replies, 2 voices, and was last updated 8 years ago by zilliq.

Viewing 6 posts - 1 through 6 (of 6 total)

05/11/2016 at 11:04 AM #6787

zilliq

Bonjour à tous,

Je cherche à coder cet indicateur d’Ehlers qui détermine la péridoe du cycle dominant.

Je bute sur la conversion de ce code MT5 en PRT car MT5 n’est vraiment pas ma tasse de thé

Alors si quelqu’un a plus de facilité pour faire la conversion

Merci d’avance

Zilliq

<span class="comment">//+------------------------------------------------------------------+</span>
<span class="comment">//|                                                  CyclePeriod.mq5 |</span>
<span class="comment">//|                                      Copyright 2011, Investeo.pl |</span>
<span class="comment">//|                                               http://Investeo.pl |</span>
<span class="comment">//+------------------------------------------------------------------+</span>
<span class="preprocessor">#property copyright <span class="string">"Copyright 2011, Investeo.pl"</span></span>
<span class="preprocessor">#property link      <span class="string">"http://Investeo.pl"</span></span>
<span class="preprocessor">#property version   <span class="string">"1.00"</span></span>
<span class="preprocessor">#property indicator_separate_window</span>

<span class="preprocessor">#property description <span class="string">"CyclePeriod indicator - described by John F. Ehlers"</span></span>
<span class="preprocessor">#property description <span class="string">"in \"Cybernetic Analysis for Stocks and Futures\""</span></span>

<span class="preprocessor">#property indicator_buffers <span class="number">2</span></span>
<span class="preprocessor">#property indicator_plots <span class="number">2</span></span>
<span class="preprocessor">#property indicator_width1 <span class="number">1</span></span>
<span class="preprocessor">#property indicator_width2 <span class="number">1</span></span>
<span class="preprocessor">#property indicator_type1   DRAW_LINE</span>
<span class="preprocessor">#property indicator_type2   DRAW_LINE</span>
<span class="preprocessor">#property indicator_color1  Green</span>
<span class="preprocessor">#property indicator_color2  Red</span>
<span class="preprocessor">#property indicator_label1  <span class="string">"Cycle"</span></span>
<span class="preprocessor">#property indicator_label2  <span class="string">"Trigger Line"</span></span>

<span class="preprocessor">#define Price(i) ((high[i]+low[i])/<span class="number">2.0</span>)</span>

<span class="keyword">double</span> Smooth[];
<span class="keyword">double</span> Cycle[];
<span class="keyword">double</span> Trigger[];
<span class="comment">//double Price[];</span>
<span class="keyword">double</span> Q1[]; <span class="comment">// Quadrature component</span>
<span class="keyword">double</span> I1[]; <span class="comment">// InPhase component</span>
<span class="keyword">double</span> DeltaPhase[];
<span class="keyword">double</span> InstPeriod[];
<span class="keyword">double</span> CyclePeriod[];


<span class="keyword">input</span> <span class="keyword">double</span> InpAlpha=<span class="number">0.07</span>; <span class="comment">// alpha</span>
<span class="comment">//+------------------------------------------------------------------+</span>
<span class="comment">//| Custom indicator initialization function                         |</span>
<span class="comment">//+------------------------------------------------------------------+</span>
<span class="keyword">int</span> <span class="functions">OnInit</span>()
  {
<span class="comment">//--- indicator buffers mapping </span>
   <span class="functions">ArraySetAsSeries</span>(Cycle,<span class="keyword">true</span>);
   <span class="functions">ArraySetAsSeries</span>(CyclePeriod,<span class="keyword">true</span>);
   <span class="functions">ArraySetAsSeries</span>(Trigger,<span class="keyword">true</span>); 
   <span class="functions">ArraySetAsSeries</span>(Smooth,<span class="keyword">true</span>);
   <span class="comment">//ArraySetAsSeries(Price,true);</span>
   
   <span class="functions">SetIndexBuffer</span>(<span class="number">0</span>,CyclePeriod,<span class="keyword">INDICATOR_DATA</span>);
   <span class="functions">SetIndexBuffer</span>(<span class="number">1</span>,Trigger,<span class="keyword">INDICATOR_DATA</span>);
   
   <span class="functions">PlotIndexSetDouble</span>(<span class="number">0</span>,<span class="keyword">PLOT_EMPTY_VALUE</span>,<span class="number">0.0</span>);
   <span class="functions">PlotIndexSetDouble</span>(<span class="number">1</span>,<span class="keyword">PLOT_EMPTY_VALUE</span>,<span class="number">0.0</span>);

   <span class="keyword">return</span>(<span class="number">0</span>);
  }
<span class="comment">//+------------------------------------------------------------------+</span>
<span class="comment">//| Custom indicator iteration function                              |</span>
<span class="comment">//+------------------------------------------------------------------+</span>
<span class="keyword">int</span> <span class="functions">OnCalculate</span>(<span class="keyword">const</span> <span class="keyword">int</span> rates_total,
                <span class="keyword">const</span> <span class="keyword">int</span> prev_calculated,
                <span class="keyword">const</span> <span class="keyword">datetime</span> &time[],
                <span class="keyword">const</span> <span class="keyword">double</span> &open[],
                <span class="keyword">const</span> <span class="keyword">double</span> &high[],
                <span class="keyword">const</span> <span class="keyword">double</span> &low[],
                <span class="keyword">const</span> <span class="keyword">double</span> &close[],
                <span class="keyword">const</span> <span class="keyword">long</span> &tick_volume[],
                <span class="keyword">const</span> <span class="keyword">long</span> &volume[],
                <span class="keyword">const</span> <span class="keyword">int</span> &spread[])
  {
<span class="comment">//---   </span>
   <span class="keyword">long</span> tickCnt[<span class="number">1</span>];
   <span class="keyword">int</span> i;
   <span class="keyword">int</span> ticks=<span class="functions">CopyTickVolume</span>(<span class="functions">Symbol</span>(), <span class="number">0</span>, <span class="number">0</span>, <span class="number">1</span>, tickCnt);
   <span class="keyword">if</span>(ticks!=<span class="number">1</span>) <span class="keyword">return</span>(rates_total);
   <span class="keyword">double</span> DC, MedianDelta;

   <span class="functions">Comment</span>(tickCnt[<span class="number">0</span>]);

   <span class="keyword">if</span>(prev_calculated==<span class="number">0</span> || tickCnt[<span class="number">0</span>]==<span class="number">1</span>)
     {
      <span class="comment">//--- last counted bar will be recounted</span>
      <span class="keyword">int</span> nLimit=rates_total-prev_calculated-<span class="number">1</span>; <span class="comment">// start index for calculations</span>

      <span class="functions">ArraySetAsSeries</span>(high,<span class="keyword">true</span>);
      <span class="functions">ArraySetAsSeries</span>(low,<span class="keyword">true</span>);
      
      <span class="functions">ArrayResize</span>(Smooth,<span class="functions">Bars</span>(<span class="predefines">_Symbol</span>,<span class="predefines">_Period</span>));
      <span class="functions">ArrayResize</span>(Cycle,<span class="functions">Bars</span>(<span class="predefines">_Symbol</span>,<span class="predefines">_Period</span>));
      <span class="comment">//ArrayResize(Price,Bars(_Symbol,_Period));</span>
      <span class="functions">ArrayResize</span>(CyclePeriod,<span class="functions">Bars</span>(<span class="predefines">_Symbol</span>,<span class="predefines">_Period</span>));
      <span class="functions">ArrayResize</span>(InstPeriod,<span class="functions">Bars</span>(<span class="predefines">_Symbol</span>,<span class="predefines">_Period</span>));
      <span class="functions">ArrayResize</span>(Q1,<span class="functions">Bars</span>(<span class="predefines">_Symbol</span>,<span class="predefines">_Period</span>));
      <span class="functions">ArrayResize</span>(I1,<span class="functions">Bars</span>(<span class="predefines">_Symbol</span>,<span class="predefines">_Period</span>));
      <span class="functions">ArrayResize</span>(DeltaPhase,<span class="functions">Bars</span>(<span class="predefines">_Symbol</span>,<span class="predefines">_Period</span>));
      
      <span class="keyword">if</span> (nLimit>rates_total-<span class="number">7</span>) <span class="comment">// adjust for last bars</span>
         nLimit=rates_total-<span class="number">7</span>;   
      
      <span class="keyword">for</span>(i=nLimit;i>=<span class="number">0</span> && !<span class="functions">IsStopped</span>();i--)   
      {
         Smooth[i] = (Price(i)+<span class="number">2</span>*Price(i+<span class="number">1</span>)+<span class="number">2</span>*Price(i+<span class="number">2</span>)+Price(i+<span class="number">3</span>))/<span class="number">6.0</span>;
   
         <span class="keyword">if</span> (i<rates_total-<span class="number">7</span>)
         {
            Cycle[i] = (<span class="number">1.0</span>-<span class="number">0.5</span>*InpAlpha) * (<span class="number">1.0</span>-<span class="number">0.5</span>*InpAlpha) * (Smooth[i]-<span class="number">2.0</span>*Smooth[i+<span class="number">1</span>]+Smooth[i+<span class="number">2</span>])
                      +<span class="number">2.0</span>*(<span class="number">1.0</span>-InpAlpha)*Cycle[i+<span class="number">1</span>]-(<span class="number">1.0</span>-InpAlpha)*(<span class="number">1.0</span>-InpAlpha)*Cycle[i+<span class="number">2</span>];
                   
         } <span class="keyword">else</span>         
         {
            Cycle[i]=(Price(i)-<span class="number">2.0</span>*Price(i+<span class="number">1</span>)+Price(i+<span class="number">2</span>))/<span class="number">4.0</span>;
         }
         
         Q1[i] = (<span class="number">0.0962</span>*Cycle[i]+<span class="number">0.5769</span>*Cycle[i+<span class="number">2</span>]-<span class="number">0.5769</span>*Cycle[i+<span class="number">4</span>]-<span class="number">0.0962</span>*Cycle[i+<span class="number">6</span>])*(<span class="number">0.5</span>+<span class="number">0.08</span>*InstPeriod[i+<span class="number">1</span>]);
         I1[i] = Cycle[i+<span class="number">3</span>];
         
         <span class="keyword">if</span> (Q1[i]!=<span class="number">0.0</span> && Q1[i+<span class="number">1</span>]!=<span class="number">0.0</span>) 
            DeltaPhase[i] = (I1[i]/Q1[i]-I1[i+<span class="number">1</span>]/Q1[i+<span class="number">1</span>])/(<span class="number">1.0</span>+I1[i]*I1[i+<span class="number">1</span>]/(Q1[i]*Q1[i+<span class="number">1</span>]));
         <span class="keyword">if</span> (DeltaPhase[i] < <span class="number">0.1</span>)
            DeltaPhase[i] = <span class="number">0.1</span>;
         <span class="keyword">if</span> (DeltaPhase[i] > <span class="number">0.9</span>)
            DeltaPhase[i] = <span class="number">0.9</span>;
        
         MedianDelta = Median(DeltaPhase, i, <span class="number">5</span>);
         
         <span class="keyword">if</span> (MedianDelta == <span class="number">0.0</span>)
            DC = <span class="number">15.0</span>;
         <span class="keyword">else</span>
            DC = (<span class="number">6.28318</span>/MedianDelta) + <span class="number">0.5</span>;
        
         InstPeriod[i] = <span class="number">0.33</span> * DC + <span class="number">0.67</span> * InstPeriod[i+<span class="number">1</span>];
         CyclePeriod[i] = <span class="number">0.15</span> * InstPeriod[i] + <span class="number">0.85</span> * CyclePeriod[i+<span class="number">1</span>];
         Trigger[i] = CyclePeriod[i+<span class="number">1</span>];
      }
     }
<span class="comment">//--- return value of prev_calculated for next call</span>
   <span class="keyword">return</span>(rates_total);
  }
<span class="comment">//+------------------------------------------------------------------+</span>

<span class="keyword">double</span> Median(<span class="keyword">double</span>& arr[], <span class="keyword">int</span> idx, <span class="keyword">int</span> m_len)
{
   <span class="keyword">double</span> MedianArr[];
   <span class="keyword">int</span> copied;
   <span class="keyword">double</span> result = <span class="number">0.0</span>;
   
   <span class="functions">ArraySetAsSeries</span>(MedianArr, <span class="keyword">true</span>);
   <span class="functions">ArrayResize</span>(MedianArr, m_len);
   
   copied = <span class="functions">ArrayCopy</span>(MedianArr, arr, <span class="number">0</span>, idx, m_len);
   <span class="keyword">if</span> (copied == m_len)
   {
      <span class="functions">ArraySort</span>(MedianArr);
      <span class="keyword">if</span> (m_len %<span class="number">2</span> == <span class="number">0</span>) 
            result = (MedianArr[m_len/<span class="number">2</span>] + MedianArr[(m_len/<span class="number">2</span>)+<span class="number">1</span>])/<span class="number">2.0</span>;
      <span class="keyword">else</span>
            result = MedianArr[m_len / <span class="number">2</span>];
      
   }
   <span class="keyword">else</span> <span class="functions">Print</span>(<span class="macro">__FILE__</span>+<span class="macro">__FUNCTION__</span>+<span class="string">"median error - wrong number of elements copied."</span>); 
   <span class="keyword">return</span> result; 
}

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//+------------------------------------------------------------------+

//| CyclePeriod.mq5 |

//| http://Investeo.pl |

//+------------------------------------------------------------------+

#property link "http://Investeo.pl"

#property version "1.00"

#property indicator_separate_window

#property description "CyclePeriod indicator - described by John F. Ehlers"

#property description "in \"Cybernetic Analysis for Stocks and Futures\""

#property indicator_buffers 2

#property indicator_plots 2

#property indicator_width1 1

#property indicator_width2 1

#property indicator_type1 DRAW_LINE

#property indicator_type2 DRAW_LINE

#property indicator_color1 Green

#property indicator_color2 Red

#property indicator_label1 "Cycle"

#property indicator_label2 "Trigger Line"

#define Price(i) ((high[i]+low[i])/2.0)

double Smooth[];

double Cycle[];

double Trigger[];

//double Price[];

double Q1[]; // Quadrature component

double I1[]; // InPhase component

double DeltaPhase[];

double InstPeriod[];

double CyclePeriod[];

input double InpAlpha=0.07; // alpha

//+------------------------------------------------------------------+

//| Custom indicator initialization function |

//+------------------------------------------------------------------+

int OnInit()

{

//--- indicator buffers mapping

ArraySetAsSeries(Cycle,true);

ArraySetAsSeries(CyclePeriod,true);

ArraySetAsSeries(Trigger,true);

ArraySetAsSeries(Smooth,true);

//ArraySetAsSeries(Price,true);

SetIndexBuffer(0,CyclePeriod,INDICATOR_DATA);

SetIndexBuffer(1,Trigger,INDICATOR_DATA);

PlotIndexSetDouble(0,PLOT_EMPTY_VALUE,0.0);

PlotIndexSetDouble(1,PLOT_EMPTY_VALUE,0.0);

return(0);

}

//+------------------------------------------------------------------+

//| Custom indicator iteration function |

//+------------------------------------------------------------------+

int OnCalculate(const int rates_total,

const int prev_calculated,

const datetime &time[],

const double &open[],

const double &high[],

const double &low[],

const double &close[],

const long &tick_volume[],

const long &volume[],

const int &spread[])

{

//---

long tickCnt[1];

int i;

int ticks=CopyTickVolume(Symbol(), 0, 0, 1, tickCnt);

if(ticks!=1) return(rates_total);

double DC, MedianDelta;

Comment(tickCnt[0]);

if(prev_calculated==0 || tickCnt[0]==1)

{

//--- last counted bar will be recounted

int nLimit=rates_total-prev_calculated-1; // start index for calculations

ArraySetAsSeries(high,true);

ArraySetAsSeries(low,true);

ArrayResize(Smooth,Bars(_Symbol,_Period));

ArrayResize(Cycle,Bars(_Symbol,_Period));

//ArrayResize(Price,Bars(_Symbol,_Period));

ArrayResize(CyclePeriod,Bars(_Symbol,_Period));

ArrayResize(InstPeriod,Bars(_Symbol,_Period));

ArrayResize(Q1,Bars(_Symbol,_Period));

ArrayResize(I1,Bars(_Symbol,_Period));

ArrayResize(DeltaPhase,Bars(_Symbol,_Period));

if (nLimit>rates_total-7) // adjust for last bars

nLimit=rates_total-7;

for(i=nLimit;i>=0 && !IsStopped();i--)

{

Smooth[i] = (Price(i)+2*Price(i+1)+2*Price(i+2)+Price(i+3))/6.0;

if (i<rates_total-7)

{

Cycle[i] = (1.0-0.5*InpAlpha) * (1.0-0.5*InpAlpha) * (Smooth[i]-2.0*Smooth[i+1]+Smooth[i+2])

+2.0*(1.0-InpAlpha)*Cycle[i+1]-(1.0-InpAlpha)*(1.0-InpAlpha)*Cycle[i+2];

} else

{

Cycle[i]=(Price(i)-2.0*Price(i+1)+Price(i+2))/4.0;

}

Q1[i] = (0.0962*Cycle[i]+0.5769*Cycle[i+2]-0.5769*Cycle[i+4]-0.0962*Cycle[i+6])*(0.5+0.08*InstPeriod[i+1]);

I1[i] = Cycle[i+3];

if (Q1[i]!=0.0 && Q1[i+1]!=0.0)

DeltaPhase[i] = (I1[i]/Q1[i]-I1[i+1]/Q1[i+1])/(1.0+I1[i]*I1[i+1]/(Q1[i]*Q1[i+1]));

if (DeltaPhase[i] < 0.1)

DeltaPhase[i] = 0.1;

if (DeltaPhase[i] > 0.9)

DeltaPhase[i] = 0.9;

MedianDelta = Median(DeltaPhase, i, 5);

if (MedianDelta == 0.0)

DC = 15.0;

else

DC = (6.28318/MedianDelta) + 0.5;

InstPeriod[i] = 0.33 * DC + 0.67 * InstPeriod[i+1];

CyclePeriod[i] = 0.15 * InstPeriod[i] + 0.85 * CyclePeriod[i+1];

Trigger[i] = CyclePeriod[i+1];

}

//--- return value of prev_calculated for next call

return(rates_total);

}

//+------------------------------------------------------------------+

double Median(double& arr[], int idx, int m_len)

{

double MedianArr[];

int copied;

double result = 0.0;

ArraySetAsSeries(MedianArr, true);

ArrayResize(MedianArr, m_len);

copied = ArrayCopy(MedianArr, arr, 0, idx, m_len);

if (copied == m_len)

{

ArraySort(MedianArr);

if (m_len %2 == 0)

result = (MedianArr[m_len/2] + MedianArr[(m_len/2)+1])/2.0;

else

result = MedianArr[m_len / 2];

}

else Print(__FILE__+__FUNCTION__+"median error - wrong number of elements copied.");

return result;

}

zilliq

Participant

Topics: 58

Replies: 683

Been thanked: 152 times

05/11/2016 at 1:36 PM #6802

Nicolas

J’ai recodé l’indicateur pour PRT, mais je ne suis pas certain pour le calcul de la fonction Median.

Regarde ce que ça donne:

Price = medianprice
InpAlpha=0.07
once MedianDelta = 0

if barindex>20 then
 Smooth = (Price[2]*Price[1]+2*Price[2]+Price[3])/6.0

  if barindex<27 then
   CycleP = (1-0.5*InpAlpha) * (1-0.5*InpAlpha) * (Smooth-2.0*Smooth[1]+Smooth[2])+2.0*(1.0*InpAlpha)*CycleP[1]-(1.0-InpAlpha)*(1.0-InpAlpha)*CycleP[2]
   else
  CycleP = (Price-2.0*Price[1]+Price[2])/4.0
 endif

Q1 = (0.0962*CycleP+0.5769*CycleP[2]-0.5769*CycleP[4]-0.0962*CycleP[6])*(0.5+0.08*InstPeriod[1])

I1 = CycleP[3]

 if Q1<>0 AND Q1[1]<>0 then
  DeltaPhase = (I1/Q1-I1[1]/Q1[1])/(1.0+I1*I1[1]/(Q1*Q1[1]))
 elsif DeltaPhase<0.1 then
  DeltaPhase = 0.1
 elsif DeltaPhase>0.9 then 
  DeltaPhase = 0.9
endif

 array = 0
  for i = 0 to 5 do
   array = array + DeltaPhase[i]
  next
 MedianDelta = array/2

 if MedianDelta = 0 then 
  DC=15
 else
  DC=(6.28318/MedianDelta) + 0.5
 endif

 InstPeriod = 0.33*DC+0.67*InstPeriod
 CyclePeriod = 0.15*InstPeriod+0.85*CyclePeriod[1]

endif

RETURN CyclePeriod,CyclePeriod[1]

Price = medianprice

InpAlpha=0.07

once MedianDelta = 0

if barindex>20 then

Smooth = (Price[2]*Price[1]+2*Price[2]+Price[3])/6.0

if barindex<27 then

CycleP = (1-0.5*InpAlpha) * (1-0.5*InpAlpha) * (Smooth-2.0*Smooth[1]+Smooth[2])+2.0*(1.0*InpAlpha)*CycleP[1]-(1.0-InpAlpha)*(1.0-InpAlpha)*CycleP[2]

else

CycleP = (Price-2.0*Price[1]+Price[2])/4.0

endif

Q1 = (0.0962*CycleP+0.5769*CycleP[2]-0.5769*CycleP[4]-0.0962*CycleP[6])*(0.5+0.08*InstPeriod[1])

I1 = CycleP[3]

if Q1<>0 AND Q1[1]<>0 then

DeltaPhase = (I1/Q1-I1[1]/Q1[1])/(1.0+I1*I1[1]/(Q1*Q1[1]))

elsif DeltaPhase<0.1 then

DeltaPhase = 0.1

elsif DeltaPhase>0.9 then

DeltaPhase = 0.9

endif

array = 0

for i = 0 to 5 do

array = array + DeltaPhase[i]

MedianDelta = array/2

if MedianDelta = 0 then

DC=15

else

DC=(6.28318/MedianDelta) + 0.5

endif

InstPeriod = 0.33*DC+0.67*InstPeriod

CyclePeriod = 0.15*InstPeriod+0.85*CyclePeriod[1]

endif

RETURN CyclePeriod,CyclePeriod[1]

Nicolas

Keymaster

Topics: 81

Replies: 20863

Been thanked: 4773 times

05/25/2016 at 9:57 AM #7956

Nicolas

Cela a été utile?

Nicolas

Keymaster

Topics: 81

Replies: 20863

Been thanked: 4773 times

05/25/2016 at 9:34 PM #8035

zilliq

Merci Nicolas,

Désolé complètement débordé en ce moment

D’accord avec toi, le median je ne l’avais pas compris

Je vais tester et comparer avec ce que ca donne sur MT5

Je te dis ca asap

En tout cas merci

Zilliq

zilliq

Participant

Topics: 58

Replies: 683

Been thanked: 152 times

05/25/2016 at 9:40 PM #8037

zilliq

Il y a des valeurs négatives

Cela ne doit pas être ca

Perso je ne comprends pas cette fonction median. Le problème vient peut être de là

Zilliq

zilliq

Participant

Topics: 58

Replies: 683

Been thanked: 152 times

05/25/2016 at 9:42 PM #8040

zilliq

Voici le code MT4, peut être plus “simple”

//+------------------------------------------------------------------+
//|                                                  CyclePeriod.mq4 |
//|                                                                  |
//| Cycle Period                                                     |
//|                                                                  |
//| Algorithm taken from book                                        |
//|     "Cybernetics Analysis for Stock and Futures"                 |
//| by John F. Ehlers                                                |
//|                                                                  |
//|                                              contact@mqlsoft.com |
//|                                          http://www.mqlsoft.com/ |
//+------------------------------------------------------------------+
#property copyright "Coded by Witold Wozniak (www.mqlsoft.com)"
#property link      "http://www.mqlsoft.com"
#property version "2.0"
#property description "The algorithm was taken from the book "
#property description "\"Cybernetics Analysis for Stock and Futures\" "
#property description "by John F. Ehlers"
#property strict

#property indicator_separate_window
#property indicator_buffers 1
#property indicator_color1 clrRed

#property indicator_minimum 0

double DeltaPhase[];
double CPeriod[];
double Smooth[];
double Cycle[];
double Q1[];
double I1[];
double InstPeriod[];

input double Alpha = 0.07;

int buffers = 0;
int drawBegin = 8;
int median = 5;

int init() {
    IndicatorBuffers(7);
    initBuffer(CPeriod, "Cycle Period", DRAW_LINE);
    initBuffer(Smooth);
    initBuffer(Cycle);
    initBuffer(Q1);
    initBuffer(I1);
    initBuffer(DeltaPhase);
    initBuffer(InstPeriod);    
    IndicatorShortName("Cycle Period [" + DoubleToStr(Alpha, 2) + "]");
    return (0);
}
  
int start() {
    if (Bars <= drawBegin) return (0);
    int countedBars = IndicatorCounted();
    if (countedBars < 0) return (-1);
    if (countedBars > 0) countedBars--;
    int s, limit = MathMin(Bars - countedBars - 1, Bars - drawBegin);
    for (s = limit; s >= 0; s--) {    
        Smooth[s] = (P(s) + 2.0 * P(s + 1) + 2.0 * P(s + 2) + P(s + 3)) / 6.0;
        Cycle[s] = (1.0 - 0.5 * Alpha) * (1.0 - 0.5 * Alpha) * (Smooth[s] - 2 * Smooth[s + 1] + Smooth[s + 2]) 
            + 2.0 * (1.0 - Alpha) * Cycle[s + 1]
            - (1.0 - Alpha) * (1.0 - Alpha) * Cycle[s + 2];
        if (s > Bars - 8) {
            Cycle[s] = (P(s) - 2.0 * P(s + 1) + P(s + 2)) / 4.0;           
        }
        Q1[s] = (0.0962 * Cycle[s] + 0.5769 * Cycle[s + 2] - 0.5769 * Cycle[s + 4] - 0.0962 * Cycle[s + 6])
            * (0.5 + 0.08 * InstPeriod[s + 1]);
        I1[s] = Cycle[s + 3];
        if (Q1[s] != 0.0 && Q1[s + 1] != 0.0) {
            DeltaPhase[s] = (I1[s] / Q1[s] - I1[s + 1] / Q1[s + 1]) 
                / (1.0 + I1[s] * I1[s + 1] / (Q1[s] * Q1[s + 1]));
        }
        DeltaPhase[s] = MathMax(0.1, DeltaPhase[s]);
        DeltaPhase[s] = MathMin(1.1, DeltaPhase[s]);
        double MedianDelta, DC;
        double M[];
        ArrayResize(M, median);
        ArrayCopy(M, DeltaPhase, 0, s, median);
        ArraySort(M);
        if (median % 2 == 0) {
            MedianDelta = (M[median / 2] + M[(median / 2) + 1]) / 2.0;
        } else {
            MedianDelta = M[median / 2];
        }
        if (MedianDelta == 0.0) {
            DC = 15.0;
        } else {
            DC = 6.28318 / MedianDelta + 0.5;
        }
        InstPeriod[s] = 0.33 * DC + 0.67 * InstPeriod[s + 1];
        CPeriod[s] = 0.15 * InstPeriod[s] + 0.85 * CPeriod[s + 1];
    }
    return (0);
}

double P(int index) {
    if (index >= Bars) {
        return ((High[Bars - 1] + Low[Bars - 1]) / 2.0);
    }
    return ((High[index] + Low[index]) / 2.0);
}

void initBuffer(double& array[], string label = "", int type = DRAW_NONE, int arrow = 0, int style = EMPTY, int width = EMPTY, color clr = CLR_NONE) {
    SetIndexBuffer(buffers, array);
    SetIndexLabel(buffers, label);    
    SetIndexEmptyValue(buffers, 0);
    SetIndexDrawBegin(buffers, drawBegin);
    SetIndexShift(buffers, 0);
    SetIndexStyle(buffers, type, style, width);
    SetIndexArrow(buffers, arrow);    
    buffers++;
}

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//+------------------------------------------------------------------+

//| CyclePeriod.mq4 |

//| |

//| Cycle Period |

//| |

//| Algorithm taken from book |

//| "Cybernetics Analysis for Stock and Futures" |

//| by John F. Ehlers |

//| |

//| contact@mqlsoft.com |

//| http://www.mqlsoft.com/ |

//+------------------------------------------------------------------+

#property copyright "Coded by Witold Wozniak (www.mqlsoft.com)"

#property link "http://www.mqlsoft.com"

#property version "2.0"

#property description "The algorithm was taken from the book "

#property description "\"Cybernetics Analysis for Stock and Futures\" "

#property description "by John F. Ehlers"

#property strict

#property indicator_separate_window

#property indicator_buffers 1

#property indicator_color1 clrRed

#property indicator_minimum 0

double DeltaPhase[];

double CPeriod[];

double Smooth[];

double Cycle[];

double Q1[];

double I1[];

double InstPeriod[];

input double Alpha = 0.07;

int buffers = 0;

int drawBegin = 8;

int median = 5;

int init() {

IndicatorBuffers(7);

initBuffer(CPeriod, "Cycle Period", DRAW_LINE);

initBuffer(Smooth);

initBuffer(Cycle);

initBuffer(Q1);

initBuffer(I1);

initBuffer(DeltaPhase);

initBuffer(InstPeriod);

IndicatorShortName("Cycle Period [" + DoubleToStr(Alpha, 2) + "]");

return (0);

}

int start() {

if (Bars <= drawBegin) return (0);

int countedBars = IndicatorCounted();

if (countedBars < 0) return (-1);

if (countedBars > 0) countedBars--;

int s, limit = MathMin(Bars - countedBars - 1, Bars - drawBegin);

for (s = limit; s >= 0; s--) {

Smooth[s] = (P(s) + 2.0 * P(s + 1) + 2.0 * P(s + 2) + P(s + 3)) / 6.0;

Cycle[s] = (1.0 - 0.5 * Alpha) * (1.0 - 0.5 * Alpha) * (Smooth[s] - 2 * Smooth[s + 1] + Smooth[s + 2])

+ 2.0 * (1.0 - Alpha) * Cycle[s + 1]

- (1.0 - Alpha) * (1.0 - Alpha) * Cycle[s + 2];

if (s > Bars - 8) {

Cycle[s] = (P(s) - 2.0 * P(s + 1) + P(s + 2)) / 4.0;

}

Q1[s] = (0.0962 * Cycle[s] + 0.5769 * Cycle[s + 2] - 0.5769 * Cycle[s + 4] - 0.0962 * Cycle[s + 6])

* (0.5 + 0.08 * InstPeriod[s + 1]);

I1[s] = Cycle[s + 3];

if (Q1[s] != 0.0 && Q1[s + 1] != 0.0) {

DeltaPhase[s] = (I1[s] / Q1[s] - I1[s + 1] / Q1[s + 1])

/ (1.0 + I1[s] * I1[s + 1] / (Q1[s] * Q1[s + 1]));

}

DeltaPhase[s] = MathMax(0.1, DeltaPhase[s]);

DeltaPhase[s] = MathMin(1.1, DeltaPhase[s]);

double MedianDelta, DC;

double M[];

ArrayResize(M, median);

ArrayCopy(M, DeltaPhase, 0, s, median);

ArraySort(M);

if (median % 2 == 0) {

MedianDelta = (M[median / 2] + M[(median / 2) + 1]) / 2.0;

} else {

MedianDelta = M[median / 2];

}

if (MedianDelta == 0.0) {

DC = 15.0;

} else {

DC = 6.28318 / MedianDelta + 0.5;

}

InstPeriod[s] = 0.33 * DC + 0.67 * InstPeriod[s + 1];

CPeriod[s] = 0.15 * InstPeriod[s] + 0.85 * CPeriod[s + 1];

}

return (0);

}

double P(int index) {

if (index >= Bars) {

return ((High[Bars - 1] + Low[Bars - 1]) / 2.0);

}

return ((High[index] + Low[index]) / 2.0);

}

void initBuffer(double& array[], string label = "", int type = DRAW_NONE, int arrow = 0, int style = EMPTY, int width = EMPTY, color clr = CLR_NONE) {

SetIndexBuffer(buffers, array);

SetIndexLabel(buffers, label);

SetIndexEmptyValue(buffers, 0);

SetIndexDrawBegin(buffers, drawBegin);

SetIndexShift(buffers, 0);

SetIndexStyle(buffers, type, style, width);

SetIndexArrow(buffers, arrow);

buffers++;

}

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