Journal of Technical Analysis - Market Technicians Association

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Inputs: Length(20), Rev(1.5); Vars: HH(0), LL(0), Count(0), gamma(0), alpha(0), beta(0), delta(.1), BP(0), Lead(0); If CurrentBar > Length Then Begin HH = Close; LL = Close; For Count = 0 to Length - 1 Begin If Close[Count] > HH Then HH = Close[Count]; If Close[Count] < LL Then LL = Close[Count]; End; If HH LL Then Value1 = (Close - LL) / (HH - LL) - .5; beta = Cosine(360 / Length); gamma = 1 / Cosine(720*delta / Length); alpha = gamma - SquareRoot(gamma*gamma - 1); BP = .5*(1 - alpha)*(Value1 - Value1[2]) + beta*(1 + alpha)*BP[1] - alpha*BP[2]; Lead = (Length / 6.28318)*(BP - BP[1]); If MarketPosition = 0 and Lead Crosses Under BP Then Sell Short Next Bar on Open; //Disaster reversal If MarketPosition = 1 and Low < (1 - Rev/100)*EntryPrice Then Sell Short Next Bar on Open; If MarketPosition = -1 and High > (1 + Rev/100)*EntryPrice Then Buy Next Bar on Open; End; Appendix E EasyLanguage Code for Channel Cycle Trading Strategy Inputs: Length(7), UpThresh(78), DnThresh(36), Rev(1.3); Vars: CU(0), CD(0), I(0), MyRSI(0), Psn(0); If CurrentBar > Length Then Begin CU = 0; CD = 0; For I = 0 to Length - 1 Begin If Close[I] - Close[I + 1] > 0 Then CU = CU + Close[I] - Close[I + 1]; If Close[I] - Close[I + 1] < 0 Then CD = CD + Close[I + 1] - Close[I]; End; If CU + CD 0 Then MyRSI = 50*((CU - CD) / (CU + CD) + 1); Psn = (MyRSI + 2*MyRSI[1] + MyRSI[2]) / 4; If MarketPosition >= 0 and Psn Crosses Over UpThresh Then Sell Short Next Bar on Open; If MarketPosition (1 + Rev/100)*EntryPrice Then Buy Next Bar on Open; End; Appendix F Bibliography Arthur A. Merrill, “ Filtered Waves,” The Analysis Press, Chappaqua, NY 1977 MCS Pro, Inside Edge Systems, Bill Brower, 200 Broad Street, Stamford, CT 06901 www.eminiz.com, Corona Charts Jonathan Y. Stein, “Digital Signal Processing,” John Wiley & Sons, New York, 2000 Perry J. Kaufman, “New Trading Systems and Methods,” John Wiley & Sons, New York, 2005 Inputs: HPPeriod(10), UpThresh(.2), DnThresh(-.7), Rev(1.2); Vars: alpha(0), HP(0), HH(0), LL(0), Count(0), Psn(0), Fish(0), I(0); alpha = (1 - Sine (360 / HPPeriod)) / Cosine(360 / HPPeriod); HP = .5*(1 + alpha)*(Close - Close[1]) + alpha*HP[1]; IF CurrentBar = 1 THEN HP = 0; If CurrentBar > HPPeriod Then Begin HH = HP; LL = HP; For Count = 0 to HPPeriod - 1 Begin If HP[Count] > HH Then HH = HP[Count]; If HP[Count] < LL Then LL = HP[Count]; End; If HH LL Then Value1 = 2*((HP - LL) / (HH + LL) - .5); Psn = (Value1 + 2*Value1[1] + Value1[2]) / 4; If Psn > .999 Then Psn = .999; If Psn < -.999 Then Psn = -.999; Fish = .5*Log((1 + Psn) / (1 - Psn)); If MarketPosition >= 0 and Fish Crosses Over UpThresh Then Sell Short Next Bar on Open; If MarketPosition (1 + Rev/100)*EntryPrice Then Buy Next Bar on Open; End; EasyLanguage Code for Generic RSI Trading Strategy Appendix G EasyLanguage Code for HighPass Filter Plus Fisher Transform Trading Strategy Jo u r n a l of Technical Analysis • 2008 • Issue 65 33
34 About the Author John Ehlers is the author of the MESA cycles-measuring program and the books “MESA and Trading Market Cycles,” “Rocket Science for Traders,” and “Cybernetic Analysis for Stocks & Futures.” He has been a private trader since 1976, starting with fundamental analysis. With his engineering training he quickly gravitated to technical analysis of the market. He originally questioned what was magic about a 14 day RSI, or any other period. He concluded there was no unique answer and that one should adapt to current market conditions by using the measured cycle. John has written extensively about technical trading and has spoken internationally on the subject. He has adapted the Hilbert and Fisher Transforms for traders so that advanced digital signal processing techniques can be used to create new indicators. John is currently the chief scientist for www.eminiz.com and www.isignals.com . Jo u r n a l of Technical Analysis • 2008 • Issue 65
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Page 3 and 4: 2 Julie Dahlquist, Ph.D., CMT Unive
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Page 9 and 10: 8 Chart 1 Chart 2 displays an arrow
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Page 13 and 14: 12 Technical Analysis Redefined Com
Page 15 and 16: 14 Appendix 3 All Signals Listed Jo
Page 17 and 18: 16 Appendix 5 Jo u r n a l of Techn
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Page 29 and 30: 28 Because the turning points have
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Page 51 and 52: 50 Using Style Momentum to Generate
Page 53 and 54: 52 Performance of 12,1 Style Index
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Page 57 and 58: 56 Benner’s Prophecies of Future
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Page 61 and 62: 60 2009 Charles H. Dow Award The co

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