안녕하세요 예스스탁입니다. #Strategy: Ehlers DFT inputs: Window( 50 ), #{ maximum Window = 50 } OverBought( 70 ), OverSold( 30 ), Frac( 0.5 ) ; variables: HP( 0 ), CleanedData( 0 ), Per( 0 ), CosPer( 0 ), CycPer( 0 ), Alpha1( 0 ), Period( 0 ), n( 0 ), MaxPwr( 0 ), Num( 0 ), Denom( 0 ), ThreeMinus( 0 ), DominantCycle( 0 ), Change( 0 ), AbsChange( 0 ), Count( 0 ), DFT_RSI( 0 ) ; #{ arrays are sized for a maximum period of 50 bars } arrays: CosinePart[50]( 0 ), SinePart[50]( 0 ), Pwr[50]( 0 ), DB[50]( 0 ), SF[50]( 0 ), NetChgAvg[50]( 0 ), TotchgAvg[50]( 0 ), RSIArray[50]( 0 ) ; #{ detrend data by high-pass filtering with a 40 period cut-off } var : Price(0); Price = MedianPrice; if CurrentBar <= 5 then begin HP = Price ; CleanedData = Price ; end else if CurrentBar > 5 then begin Per = 360 / 40 ; CosPer = Cosine( Per ) ; if CosPer <> 0 then Alpha1 = ( 1 - Sine( Per ) ) / CosPer ; HP = 0.5 * ( 1 + Alpha1 ) * ( Price - Price[ 1 ] ) + Alpha1 * HP[1] ; CleanedData = ( HP + 2 * HP[1] + 3 * HP[2] + 3 * HP[3] + 2 * HP[4] + HP[5] ) / 12 ; end ; #{ calculate DFT } for Period = 8 to 50 begin CosinePart[Period] = 0 ; SinePart[Period] = 0 ; for n = 0 to Window - 1 begin CycPer = ( 360 * n ) / Period ; CosinePart[Period] = CosinePart[Period] + CleanedData[n] * Cosine( CycPer ) ; SinePart[Period] = SinePart[Period] + CleanedData[n] * Sine( CycPer ) ; end ; Pwr[Period] = Square( CosinePart[Period] ) + Square( SinePart[Period] ) ; end ; #{ find maximum power level for normalization } MaxPwr = Pwr[8] ; for Period = 8 to 50 begin if Pwr[Period] > MaxPwr then MaxPwr = Pwr[Period] ; end ; #{ normalize power levels and convert to decibels } for Period = 8 to 50 begin if MaxPwr > 0 and Pwr[Period] > 0 then DB[Period] = -10 * log( 0.01 / ( 1 - 0.99 * Pwr[Period] / MaxPwr ) ) / log( 10 ) ; if DB[Period] > 20 then DB[Period] = 20 ; end ; #{ find dominant cycle using CG algorithm } Num = 0 ; Denom = 0 ; for Period = 8 to 50 begin if DB[Period] < 3 then begin ThreeMinus = 3 - DB[Period] ; Num = Num + Period * ThreeMinus ; Denom = Denom + ThreeMinus ; end ; end ; if Denom <> 0 then DominantCycle = Num / Denom ; Change = Price - Price[1] ; AbsChange = AbsValue( Change ) ; for Count = 1 to Window begin if CurrentBar == 1 then begin SF[Count] = 1 / Count ; NetChgAvg[Count] = ( Price - Price[Count] ) / Count ; TotChgAvg[Count] = Average( AbsChange, Count ) ; end else begin NetChgAvg[Count] = NetChgAvg[Count][1] + SF[Count] * ( Change - NetChgAvg[Count][1] ) ; TotChgAvg[Count] = TotChgAvg[Count][1] + SF[Count] * ( AbsChange - TotChgAvg[Count][1] ) ; if TotChgAvg[Count] <> 0 then RSIArray[Count] = ( 50 * ( NetChgAvg[Count] / TotChgAvg[Count] +1 ) ); else RSIArray[Count] = 50 ; end ; end ; DFT_RSI = RSIArray[ iff( Frac * DominantCycle < 50, Frac * DominantCycle, 50 ) ] ; /* # { CB > 1 check used to avoid spurious cross confirmation at CB = 1 } if Currentbar > 1 then begin if DFT_RSI crosses over OverSold then Buy ( "RSI-LE" ) next bar at market ; if DFT_RSI crosses under OverBought then Sell Short ( "RSI-SE" ) next bar at market ; end ; */ plot1(DFT_RSI); plot2(OverSold); plot3(OverBought); 즐거운 하루되세요 > stockric 님이 쓴 글입니다. > 제목 : 질문드립니다. > Strategy: Ehlers DFT inputs: Price( MedianPrice ), Window( 50 ), { maximum Window = 50 } OverBought( 70 ), OverSold( 30 ), Frac( 0.5 ) ; variables: HP( 0 ), CleanedData( 0 ), Per( 0 ), CosPer( 0 ), CycPer( 0 ), Alpha1( 0 ), Period( 0 ), n( 0 ), MaxPwr( 0 ), Num( 0 ), Denom( 0 ), ThreeMinus( 0 ), DominantCycle( 0 ), Change( 0 ), AbsChange( 0 ), Count( 0 ), DFT_RSI( 0 ) ; { arrays are sized for a maximum period of 50 bars } arrays: CosinePart[50]( 0 ), SinePart[50]( 0 ), Pwr[50]( 0 ), DB[50]( 0 ), SF[50]( 0 ), NetChgAvg[50]( 0 ), TotchgAvg[50]( 0 ), RSIArray[50]( 0 ) ; { detrend data by high-pass filtering with a 40 period cut-off } if CurrentBar <= 5 then begin HP = Price ; CleanedData = Price ; end else if CurrentBar > 5 then begin Per = 360 / 40 ; CosPer = Cosine( Per ) ; if CosPer <> 0 then Alpha1 = ( 1 - Sine( Per ) ) / CosPer ; HP = 0.5 * ( 1 + Alpha1 ) * ( Price - Price[ 1 ] ) + Alpha1 * HP[1] ; CleanedData = ( HP + 2 * HP[1] + 3 * HP[2] + 3 * HP[3] + 2 * HP[4] + HP[5] ) / 12 ; end ; { calculate DFT } for Period = 8 to 50 begin CosinePart[Period] = 0 ; SinePart[Period] = 0 ; for n = 0 to Window - 1 begin CycPer = ( 360 * n ) / Period ; CosinePart[Period] = CosinePart[Period] + CleanedData[n] * Cosine( CycPer ) ; SinePart[Period] = SinePart[Period] + CleanedData[n] * Sine( CycPer ) ; end ; Pwr[Period] = Square( CosinePart[Period] ) + Square( SinePart[Period] ) ; end ; { find maximum power level for normalization } MaxPwr = Pwr[8] ; for Period = 8 to 50 begin if Pwr[Period] > MaxPwr then MaxPwr = Pwr[Period] ; end ; { normalize power levels and convert to decibels } for Period = 8 to 50 begin if MaxPwr > 0 and Pwr[Period] > 0 then DB[Period] = -10 * log( 0.01 / ( 1 - 0.99 * Pwr[Period] / MaxPwr ) ) / log( 10 ) ; if DB[Period] > 20 then DB[Period] = 20 ; end ; { find dominant cycle using CG algorithm } Num = 0 ; Denom = 0 ; for Period = 8 to 50 begin if DB[Period] < 3 then begin ThreeMinus = 3 - DB[Period] ; Num = Num + Period * ThreeMinus ; Denom = Denom + ThreeMinus ; end ; end ; if Denom <> 0 then DominantCycle = Num / Denom ; Change = Price - Price[1] ; AbsChange = AbsValue( Change ) ; for Count = 1 to Window begin if CurrentBar = 1 then begin SF[Count] = 1 / Count ; NetChgAvg[Count] = ( Price - Price[Count] ) / Count ; TotChgAvg[Count] = Average( AbsChange, Count ) ; end else begin NetChgAvg[Count] = NetChgAvg[Count][1] + SF[Count] * ( Change - NetChgAvg[Count][1] ) ; TotChgAvg[Count] = TotChgAvg[Count][1] + SF[Count] * ( AbsChange - TotChgAvg[Count][1] ) ; if TotChgAvg[Count] <> 0 then RSIArray[Count] = ( 50 * ( NetChgAvg[Count] / TotChgAvg[Count] + 1 ) ) else RSIArray[Count] = 50 ; end ; end ; DFT_RSI = RSIArray[ iff( Frac * DominantCycle < 50, Frac * DominantCycle, 50 ) ] ; { CB > 1 check used to avoid spurious cross confirmation at CB = 1 } if Currentbar > 1 then begin if DFT_RSI crosses over OverSold then Buy ( "RSI-LE" ) next bar at market ; if DFT_RSI crosses under OverBought then Sell Short ( "RSI-SE" ) next bar at market ; end ; TS 코드를 가져온 것인데요. 예스트레이더와 굉장히 흡사한 랭귀지를 구사하고있네요. buy sell식을 빼고 구현하고싶습니다. 변환이 가능한지 궁금합니다.