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Ehlers' Cycle Analytics for Traders


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Ehlers' Cycle Analytics for Traders

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  #11 (permalink)
Los Angeles, CA
 
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@Zondor thanks for the optimized version of the bandpass. I have a lot to learn. Attached is my stab at the AutoCorrelation Periodogram. I was able to get it to plot (without the fancy colors) but am not too sure about its accuracy. My code is of course sloppy and not optimized. There is one block of code involving what looks to be a 2 dimensional array (array "r" in Ehlers code) that I could not get to work, so I broke it down into 2 separate 1 dimensional arrays. I am not sure the logic mimics what Ehlers had intended. Anyway, if anyone smarter than me could have a look I would much appreciate it. I have also included Ehlers EasyLanguage code for reference.


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  #12 (permalink)
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I was finally able to sort out the two dimension array issue which more closely follows Ehlers code and have attached an update. It produces significantly different values from the one posted earlier. So, one or both may be incorrect. Don't rely on either indicator until further verification. I have no way of comparing to Ehlers' work. There is only 1 screenshot in the book and it is for a stock which I don't have a data feed for. I also have not made any effort to optimize as I plan on only using this indicator on COBC=True (plus I don't really know how anyway, haha).

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  #13 (permalink)
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great thread, would be nice to have the code for the other indicators.

cheers,
mike

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  #14 (permalink)
Switzerland
 
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Here is the Even Better Sinewave or at least a try to code it for Ninjatrader

cheers,
Mike

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  #15 (permalink)
Portland Oregon, United States
 
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It's not necessary to calculate on every tick values that never change during the execution of a program, or that only change once per bar. (Unless your CPU is lazy and needs some extra work to do).

Nor is it necessary to do anything when an intrabar price tick has the same value as the one just before it, since the output will be the same as the previous one.

When an instance of the EBSinewave is being called by another indicator, set the ShowPlot parameter to false. It is not necessary to generate an output plot (Values[0]) if an instance of the EB Sinewave is being called by another indicator, since the output of the EB SInewave is exposed by a public data series that is not dependent on the plot.

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  #16 (permalink)
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I have been unable to find any information on the net regarding how to read Elhers Dominant Cycle. Below it appears that it is a leading indicator saying that the next dominant cycle will be up. This seems to good to be true, is it?


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  #17 (permalink)
New York
 
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It would be great to have the code for Adaptive Bandpass, Adaptive RSI and Autocorrelation Reversal. I can post EL code if somebody can give it a try.

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  #18 (permalink)
NYC
 
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Zondor View Post
I corrected two bugaboos that degrade performance with no benefit whatsoever:
  • Calculating on every tick values that only need to be calculated once per lifetime of indicator.
  • Calculating on every tick values that only need to calculated once per bar.

This drastically reduces the loading time and CPU load.

Corrected a bug where alpha2 variable was overwritten before it was used in calculations.

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  #19 (permalink)
Surrey, UK
 
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Posts: 280 since Jun 2010
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I bought his Mesa 8/9 tools for Tradestation quite a few years ago. It was useless buggy shit that didn't work properly. I tried to get support from him but it was for nothing as he didn't seem to have a clue as to what the problem was. Extremely disappointed.

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  #20 (permalink)
New York NY/United States
 
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I spoke with John Ehlers over the phone several times, here is what I learned:

1) He seems to be very open and honest
2) He said he is primarily a researcher and trades live only to prove his research
3) He does NOT trade as a source of income
4) He said his new correlation indicator may NOT be fast enough to give profitable trend trades. I didn't ask about cycle mode trades.


His live autotrade strategy with Worldcupadvisor had a 24% MAX DD I believe.

The hypothetical results look great as with most systems (I completely discount these)


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