Stochastic Cyber Cycle |

//www.aflcode.com function Fisher(array) // Figure 1.7 on p. 7 { F = array; F = .25 * log((1+ array)/(1 - array)) + .5 * Ref(F, -1); return F; }; function CyberCycle( array, alpha ) { smooth = ( array + 2 * Ref( array, -1 ) + 2 * Ref( array, -2 ) + Ref( array, -3 ) ) / 6; // init value Cycle = ( array[ 2 ] - 2 * array[ 1 ] + array[ 0 ] )/4; for( i = 6; i < BarCount; i++ ) { Cycle[ i ] = ( ( 1 - 0.5 * alpha) ^ 2 ) * ( smooth[ i ] - 2 * smooth[ i - 1 ] + smooth[ i - 2] ) + 2 * ( 1 - alpha ) * Cycle[ i - 1 ] - ( ( 1 - alpha) ^ 2 ) * Cycle[ i - 2 ]; } MaxCycle = HHV(Cycle, 14); MinCycle = LLV(Cycle, 14); for (i = 0; i < BarCount; i++) { if (MaxCycle[i] != MinCycle[i]) { Value1[i] = (Cycle[i]-MinCycle[i])/(MaxCycle[i] - MinCycle[i]); Value2[i] = (4*Value1[i] + 3*Value1[i-1] + 2*Value1[i-2] + Value1[i-3])/10; Value2[i] = 2*(Value2[i] -.5); }; } return Value2; } // get log price logprice = ln(Close); OA1 = (logprice - Ref(logprice, -1))/sqrt(1); // get change in bar and multiply it by the change in square root of time between yesterday and today n = 0; totalprice[0]= 0; for (i = BarCount-1; i>=1; i--){ n = n + 1; deltaPrice[i] = OA1[i]*(sqrt(n) - sqrt(n-1)); totalprice[i] = totalprice[i] + OA1[i]*(sqrt(n)); }; // get NMR natCoef = Sum(deltaPrice, 40)/Sum(totalprice, 40); Cycle = CyberCycle( (H+L)/2, .07); Plot( Cycle, "Stoc CyberCycle", colorRed, styleThick ); Plot( Ref(Cycle, -1), "Trigger", colorPink, styleDashed); PlotGrid(-0.80, colorLightGrey); PlotGrid(0.80, colorLightGrey);

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