John Ehler's – Indicator: Correlation Cycle

Buonasera a tutti,

in seguito alla pubblicazione dell’ edizione 06/2020 di Stock & Commodities dove troviamo l’articolo con il codice di John Ehlers “Correlation As A Cycle Indicator”, mi sono divertito a tradurlo in codice PRT

Lo pubblico qui, in quanto vorrei che @nicolas lo controlli prima di inserirlo in libreria per gli altri utenti.

Fonte S&C http://traders.com/Documentation/FEEDbk_docs/2020/06/TradersTips.html

Autor John F. Ehlers

// http://traders.com/Documentation/FEEDbk_docs/2020/06/TradersTips.html

// Indicator: Correlation Cycle
// Correlation Angle Indicator
// (C) 2013-2020   John F. Ehlers
// TASC Jun 2020

// Inputs Setting
Period = 14 
InputPeriod = 0           // Uses price data if 0
ShowCycleIndicator = True // Booleano  Indicator Mode
ShowCycleIndex = False    // Booleano  Index Mode    
ShowPhasorAngle = False   // Booleano  Show Angle Phasor Mode
ShowMarketState = False   // Booleano  Show Market State Mode


//Correlate over one full cycle period
Length = Period
Price = customClose

//Creates a theoretical sinusoid having an period equal to the input period as the data input
if InputPeriod <> 0 then
Price = Sin( 360 * Barindex / InputPeriod)
endif
//Correlate price with cosine wave having a fixed period
Sx = 0
Sy = 0
Sxx = 0
Sxy = 0
Syy = 0
for Count = 1 to Length do
X = Price[count - 1]
Y = Cos( 360 * ( Count - 1 ) / Period )
Sx = Sx + X
Sy = Sy + Y
Sxx = Sxx + X * X
Sxy = Sxy + X * Y
Syy = Syy + Y*Y
next

if ( Length*Sxx - Sx*Sx > 0) and ( Length*Syy - Sy*Sy > 0 ) then
Real = ( Length*Sxy - Sx*Sy ) / SQRT( ( Length*Sxx - Sx*Sx ) * ( Length*Syy - Sy*Sy ) )
endif
//Correlate with a negative sine wave having a fixed period
Sx = 0
Sy = 0
Sxx = 0
Sxy = 0
Syy = 0
for Count = 1 to Length do
X = Price[count - 1]
Y = -Sin( 360 * ( count - 1 ) / Period )
Sx = Sx + X
Sy = Sy + Y
Sxx = Sxx + X * X
Sxy = Sxy + X * Y
Syy = Syy + Y * Y
next

if ( Length*Sxx - Sx*Sx > 0 ) and ( Length*Syy - Sy*Sy > 0 ) then
Imag = ( Length*Sxy - Sx*Sy ) / SqRt( ( Length*Sxx - Sx*Sx ) *( Length*Syy - Sy*Sy ) )
endif

//Compute the angle as an arctangent function and resolve ambiguity
if Imag <> 0 then
Angle = 90 + Atan( Real / Imag )
Endif
if Imag > 0 then
Angle = Angle - 180
Endif
//Do not allow the rate change of angle to go negative
if Angle[1] - Angle < 270 and Angle < Angle[1] then
Angle = Angle[1]
Endif

//Compute and plot market state
State = 0
if Abs( Angle - Angle[1] ) < 9 and Angle <= 0 then
State = -1
Endif
if Abs( Angle - Angle[1] ) < 9 and Angle >= 0 then
State = 1
Endif

If ShowCycleIndicator Then
Realshow = (((real+1)/2)*200)-100
Imagshow = (((Imag+1)/2)*200)-100
r=169
g=169
b=169
if Realshow>Imagshow then
r=34
g=139
b=34
elsif Realshow<Imagshow then
r=220
g=20
b=60
endif
ZeroLine = 0
Endif

If ShowCycleIndex Then
Realshow = (((real+1)/2)*100)
Imagshow = (((Imag+1)/2)*100)
r=169
g=169
b=169
if Realshow>Imagshow then
r=34
g=139
b=34
elsif Realshow<Imagshow then
r=220
g=20
b=60
endif
ZeroLine = 50
Endif

If ShowPhasorAngle Then
AngleShow = Angle
if AngleShow>0 then
r=34
g=139
b=34
elsif AngleShow<0 then
r=220
g=20
b=60
endif
ZeroLine = 0
Endif

If ShowMarketState Then
StateShow = State*100
if StateShow>0 then
r=34
g=139
b=34
elsif StateShow<0 then
r=220
g=20
b=60
Endif
ZeroLine = 0
Endif

Return Realshow coloured(r,g,b) as "Real", Imagshow coloured(153,153,153) as "Imag" ,AngleShow coloured(r,g,b) as "Phasor", StateShow coloured(r,g,b) Style(Histogram,1) as "Correlation Cycle Ind", ZeroLine coloured(153,153,153) as "Zero Line"

Saluti Actaru5