GO BACK
WEALTH-LAB: UNIVERSAL CYCLE INDEX
Here is the WealthScript translation of the MetaStock code for the universal
cycle index given by Stuart Belknap in "Cycles In Time And Money" in this
issue.
Being unfamiliar with the "arrow-posting" terminology in the author's
trading system rules, I tested reversals using touch stops and then again
with market orders, which reversed a trade's position after the closing
price exceeded the stop level. The ChartScript reflects the latter stop
method, since it proved to be more profitable for VeriSign (VRSN) over
the test period, but the code appears to have generated a few whipsaws
not observed for the same test in the article (Figure 2). Perhaps this
is due to different trading rules, data, or a combination of both.
FIGURE 2: WEALTH-LAB, UNIVERSAL CYCLE INDEX. Despite the
short-trade triggers, the always-in trading system performed well on VeriSign
[VRSN] during the test period shown. The stop levels are represented by
the small brown circles.
This Wealth-Lab code as well as the ChartScript trading system is
available to all Wealth-Lab Pro and Developer users via the Community|Download
ChartScripts action. Search the public ChartScript titles for the word
"universal," and then enter a symbol of your choice.
Wealth-Lab script code:
{$I 'VolumeColor'}
{$I 'Universal Cycle Index (UCI)'}
{ Note: UCI contains a reference to the DVSSeries }
const DVS_PER = 50; // Volatility Period
const CYC_PER = 25; // Uni. Cycle Period
var Bar, p, UCIPane, DVSPane, StartBar: integer;
var Stp: float;
var hDVS: integer = DVSSeries( #Close, DVS_PER );
var hUCI: integer = UCISeries( #Close, CYC_PER, DVS_PER );
{ Plotting }
UCIPane := CreatePane( 100, true, true );
PlotSeriesLabel( hUCI, UCIPane, #Red, #Thick, 'UCI' );
DrawHorzLine( 50, UCIPane, 0, #Dotted );
DrawHorzLine( -50, UCIPane, 0, #Dotted );
DVSPane := CreatePane( 50, true, true );
PlotSeriesLabel( hDVS, DVSPane, #Blue, #Thick, 'Sigma' );
EnableTradeNotes( false, true, true );
{ Trading System }
StartBar := Round( Max( 2 * DVS_PER, 1.5 * CYC_PER ) );
if StartBar >= BarCount then
ShowMessage( 'Use Data Loading control to include more bars' );
for Bar := StartBar to BarCount - 1 do
begin
if LastPositionActive then
begin
p := LastPosition;
if PositionLong( p ) then
begin
Stp := PositionEntryPrice( p ) * ( 1 - @hDVS[Bar]/100 );
if ( PriceClose( Bar ) < Stp )
or CrossUnderValue( Bar, hUCI, 50 ) then
begin
SellAtMarket( Bar + 1, p, '1, Reverse' );
ShortAtMarket( Bar + 1, 'S, Reverse' );
end;
end
else
begin
Stp := PositionEntryPrice( p ) * ( 1 + @hDVS[Bar]/100 );
if ( PriceClose( Bar ) > Stp )
or CrossOverValue( Bar, hUCI, -50 ) then
begin
CoverAtMarket( Bar + 1, p, '2, Reverse' );
BuyAtMarket( Bar + 1, 'L, Reverse' );
end;
end;
DrawCircle( 4, 0, Bar, Stp, 630, #Thin );
end
else if CrossOverValue( Bar, hUCI, -50 ) then
BuyAtMarket( Bar + 1, 'L' )
else if CrossUnderValue( Bar, hUCI, 50 ) then
ShortAtMarket( Bar + 1, 'S' );
end;
--Robert Sucher
www.wealth-lab.com
GO BACK
AMIBROKER: UNIVERSAL CYCLE INDEX
In "Cycles In Time And Money," Stuart Belknap presents his own variation
of a classic MACD indicator that he calls the universal cycle index (UCI).
Implementing this indicator in AmiBroker Formula Language (AFL) is straightforward.
Ready-to-use code is presented in Listing 1. Instead of writing separate
formulas for minor, secondary, and intermediate cycles, we have written
one parameterized formula that implements all variations and allows the
user to choose the period and kind (centered versus noncentered) of the
indicator directly from AmiBroker's graphical user interface. A sample
chart is in Figure 3.
FIGURE 3: AMIBROKER, UNIVERSAL CYCLE INDEX. This screenshot
shows a daily price chart of VeriSign (upper pane) with a minor cycle index
(25 bars) chart plotted in the lower pane.
LISTING 1
function SigomPcnt()
{
yom = 100 * ( C - Ref( MA( C, 25 ), 12 ) )/Ref( MA( C, 25 ), 12 );
avyom = MA( yom, 50 );
varyom = MA( yom ^ 2, 50 ) - avyom ^ 2;
som = Ref( sqrt( varyom ), -12 );
return MA( som, 25 );
}
function UCI( period )
{
period2 = floor( period / 2 ); // divide original period by 2
period4 = floor( period / 4 ); // half
sigom = SigomPcnt();
yme = 100 * ( EMA( C, period4 ) - EMA( C, period2 ))/EMA( C, period2 );
ymes = TSF( yme, 6 );
return 100 * ymes / sigom;
}
function CenteredUCI( period )
{
period2 = floor( period / 2 ); // divide original period by 2
period4 = floor( period / 4 ); // half
sigom = SigomPcnt();
ym = 100 * ( Ref( MA( C, period2 ), period4 ) -
Ref( MA( C, period ), period2 ) ) /
Ref( MA( C, period ), period2 );
return 100 * ym / sigom;
}
period = Param("period", 25, 25, 100, 2 );
IsCentered = ParamToggle("Centered?", "No|Yes");
grid = IIf( period >= 100, 150, IIf( period >= 50, 100, 50 ) );
SetChartOptions( 0, 0, 0 );
if( IsCentered )
{
Plot( x = CenteredUCI( period ), "Centered UCI(" + period + ")",
ParamColor("Color", colorRed) );
}
else
{
Plot( x = UCI( period ), "UCI(" + period + ")",
ParamColor("Color", colorRed) );
}
PlotGrid( grid );
PlotGrid( 0 );
PlotGrid( -grid );
--Tomasz Janeczko, AmiBroker.com
www.amibroker.com
GO BACK
eSIGNAL: UNIVERSAL CYCLE INDEX
For this month's article by Stuart Belknap, "Cycles In Time And Money,"
we've provided all of the indicators included in his sidebar except the
stochastic, RSI, and exponential averages. Those studies are built into
the software and can be applied from the Basic Studies menu. Some of the
UCI studies also require two additional EFS files, TSF.efs and UCI_volatility.efs.
All files need to be saved in the same folder in order to work properly.
Sample charts are shown in Figures 4 and 5. To discuss these studies
or download complete copies of the formulas, please visit the EFS Library
Discussion Board forum under the Bulletin Boards link at www.esignalcentral.com.
FIGURE 4: eSIGNAL, UNIVERSAL CYCLE INDEX. Here is a demonstration
of the UCI in eSignal.
FIGURE 5: eSIGNAL, UNIVERSAL CYCLE INDEX. Here is a demonstration
of UCI minor cycle index, the UCI secondary cycle index, and the UCI intermediate
cycle index.
/***************************************
Provided By : eSignal (c) Copyright 2005
Description: Time Series Forecast
Version 1.0 3/9/2005
Notes:
May 2005 Issue - "Cycles In Time And Money"
by Stuart Belknap, PhD
This formula is intended to be called via efs()
from external EFS2 formulas. Parameters are expected
from external EFS2 formulas, not Edit Studies.
Formula Parameters:
Defaults:
Array
NA
nPeriods
5
***************************************/
function preMain() {
setPriceStudy(true);
setStudyTitle("Time Series Forecast ");
setCursorLabelName("TSF", 0);
setDefaultBarFgColor(Color.magenta, 0);
setShowTitleParameters(false);
}
var aY = null;
function main(Array, nPeriods) {
var nState = getBarState();
var i = 0;
var A, B;
if (nPeriods == null) nPeriods = 5;
//debugPrintln(Array);
if (Array == null || !(typeof(Array) == "object"))
Array = getValue("Close", 0, -(nPeriods+1));
aY = Array;
// y = Ax + B;
// A = SUM( (x-xAVG)*(y-yAVG) ) / SUM( (x-xAVG)^2
)
// A = slope
// B = yAVG - (A*xAVG);
if (aY[nPeriods-1] != null) {
var vLRvalues = LinReg(nPeriods,
aY);
A = vLRvalues[0];
B = vLRvalues[1];
}
return B + (A * (nPeriods - 1 - nPeriods));
}
/***** Support Functions *****/
function LinReg(nLRlen, aArray) {
var xSum = 0;
var ySum = 0;
i = 0;
for (i = 0; i < nLRlen; ++i) {
xSum += i;
ySum += aArray[i];
}
var xAvg = xSum/nLRlen;
var yAvg = ySum/nLRlen;
var aSum1 = 0;
var aSum2 = 0;
i = 0;
for (i = 0; i < nLRlen; ++i) {
aSum1 += (i-xAvg) * (aArray[i]-yAvg);
aSum2 += (i-xAvg)*(i-xAvg);
}
var A = (aSum1 / aSum2); // Slope
var B = yAvg - (A*xAvg); // Y
- Intercept
return new Array(A, B);
}
/***************************************
Provided By : eSignal (c) Copyright 2005
Description: Centered Channel Lines
Version 1.0 3/11/2005
Notes:
May 2005 Issue - "Cycles In Time And Money"
by Stuart Belknap, PhD
This study uses EFS2 functionality available in eSignal version 7.9
or later.
Due to the nature of the centered moving averages, this formula may
not be
used for real time analysis as the author mentions in the article.
Formula Parameters:
Defaults:
***************************************/
function preMain() {
setPriceStudy(true);
setStudyTitle("UCI Centered Channel Lines ");
setShowTitleParameters(false);
setCursorLabelName("cUpr Channel", 0);
setCursorLabelName("cBase Channel", 1);
setCursorLabelName("cLwr Channel", 2);
setDefaultBarFgColor(Color.red, 0);
setDefaultBarFgColor(Color.red, 1);
setDefaultBarFgColor(Color.red, 2);
setDefaultBarThickness(2, 0);
setDefaultBarThickness(2, 1);
setDefaultBarThickness(2, 2);
}
var bVersion = null;
function main() {
if (bVersion == null) bVersion = verify();
if (bVersion == false) return;
var xArm = offsetSeries(sma(25), -12);
var xUpr = efsInternal("calc_Upr");
var xLwr = efsInternal("calc_Lwr");
return new Array(xUpr, xArm, xLwr);
}
/**** Internal Series Functions *****/
function calc_Upr() {
return (1+2*efs("UCI_volatility.efs", 0)/100)*offsetSeries(sma(25),
-12);
}
function calc_Lwr() {
return (1-2*efs("UCI_volatility.efs", 0)/100)*offsetSeries(sma(25),
-12);
}
/***** Support Functions *****/
function verify() {
var b = false;
if (getBuildNumber() < 700) {
drawTextRelative(5, 25,
"This study requires version 7.9 or later.",
Color.black, Color.red, Text.BOLD|Text.RELATIVETOLEFT|Text.RELATIVETOBOTTOM,
null, 14, "error");
drawTextRelative(5, 10,
"Click HERE to upgrade.@URL=https://www.esignal.com/download/default.asp",
Color.black, Color.red, Text.BOLD|Text.RELATIVETOLEFT|Text.RELATIVETOBOTTOM,
null, 14, "upgrade");
return;
} else {
b = true;
}
return b;
}
/***************************************
Provided By : eSignal (c) Copyright 2005
Description: Centered Intermediate Cycle Index
Version 1.0 3/10/2005
Notes:
May 2005 Issue - "Cycles In Time And Money"
by Stuart Belknap, PhD
This study uses EFS2 functionality available in eSignal version 7.9
or later.
Due to the nature of the centered moving averages, this formula may
not be
used for real time analysis as the author mentions in the article.
Formula Parameters:
Defaults:
***************************************/
function preMain() {
setStudyTitle("UCI Centered Intermediate Cycle Index
");
setShowTitleParameters(false);
setCursorLabelName("cICI", 0);
setDefaultBarFgColor(Color.darkgreen, 0);
setDefaultBarThickness(1, 0);
addBand(150, PS_DASH, 1, Color.darkgreen, "150+");
addBand(0, PS_DASH, 1, Color.darkgreen, "0");
addBand(-150, PS_DASH, 1, Color.darkgreen, "150-");
}
var bVersion = null;
var nYi = null;
function main() {
if (getCurrentBarIndex() == 0) return;
if (bVersion == null) bVersion = verify();
if (bVersion == false) return;
var xSigom = efs("UCI_volatility.efs", 0);
var xYi = efsInternal("calc_xYi");
if (xSigom.getValue(0) == null || xYi.getValue(0)
== null) return;
nYi = xYi.getValue(0);
if (nYi == null) return;
var nYin = 100 * nYi/xSigom.getValue(0);
return nYin;
}
/**** Internal Series Functions *****/
function calc_xYi() {
var sma1 = sma(50, 25); // returns single
values
var sma2 = sma(100, 50);
if (sma1 == null || sma2 == null) return;
return 100 * ((sma1 - sma2) / sma2);
}
/***** Support Functions *****/
function verify() {
var b = false;
if (getBuildNumber() < 700) {
drawTextRelative(5, 25,
"This study requires version 7.9 or later.",
Color.black, Color.red, Text.BOLD|Text.RELATIVETOLEFT|Text.RELATIVETOBOTTOM,
null, 14, "error");
drawTextRelative(5, 10,
"Click HERE to upgrade.@URL=https://www.esignal.com/download/default.asp",
Color.black, Color.red, Text.BOLD|Text.RELATIVETOLEFT|Text.RELATIVETOBOTTOM,
null, 14, "upgrade");
return;
} else {
b = true;
}
return b;
}
/***************************************
Provided By : eSignal (c) Copyright 2005
Description: Centered Minor Cycle Index
Version 1.0 3/10/2005
Notes:
May 2005 Issue - "Cycles In Time And Money"
by Stuart Belknap, PhD
This study uses EFS2 functionality available in eSignal version 7.9
or later.
Due to the nature of the centered moving averages, thisformula may
not be
used for real time analysis as the author mentions in the article.
Formula Parameters:
Defaults:
***************************************/
function preMain() {
setStudyTitle("UCI Centered Minor Cycle Index ");
setShowTitleParameters(false);
setCursorLabelName("cMCI", 0);
setDefaultBarFgColor(Color.maroon, 0);
setDefaultBarThickness(1, 0);
addBand(50, PS_DASH, 1, Color.maroon, "50+");
addBand(0, PS_DASH, 1, Color.maroon, "0");
addBand(-50, PS_DASH, 1, Color.maroon, "50-");
}
var bVersion = null;
var nYm = null;
function main() {
if (getCurrentBarIndex() == 0) return;
if (bVersion == null) bVersion = verify();
if (bVersion == false) return;
var xSigom = efs("UCI_volatility.efs", 0);
var xYm = efsInternal("calc_xYm");
if (xSigom.getValue(0) == null || xYm.getValue(0)
== null) return;
nYm = xYm.getValue(0);
if (nYm == null) return;
var nYmn = 100 * nYm/xSigom.getValue(0);
return nYmn;
}
/**** Internal Series Functions *****/
function calc_xYm() {
var sma1 = sma(12, 6); // returns single values
var sma2 = sma(25, 12);
if (sma1 == null || sma2 == null) return;
return 100 * ((sma1 - sma2) / sma2);
}
/***** Support Functions *****/
function verify() {
var b = false;
if (getBuildNumber() < 700) {
drawTextRelative(5, 25,
"This study requires version 7.9 or later.",
Color.black, Color.red, Text.BOLD|Text.RELATIVETOLEFT|Text.RELATIVETOBOTTOM,
null, 14, "error");
drawTextRelative(5, 10,
"Click HERE to upgrade.@URL=https://www.esignal.com/download/default.asp",
Color.black, Color.red, Text.BOLD|Text.RELATIVETOLEFT|Text.RELATIVETOBOTTOM,
null, 14, "upgrade");
return;
} else {
b = true;
}
return b;
}
/***************************************
Provided By : eSignal (c) Copyright 2005
Description: Centered Secondary Cycle Index
Version 1.0 3/10/2005
Notes:
May 2005 Issue - "Cycles In Time And Money"
by Stuart Belknap, PhD
This study uses EFS2 functionality available in eSignal version 7.9
or later.
Due to the nature of the centered moving averages, this formula may
not be
used for real time analysis as the author mentions in the article.
Formula Parameters:
Defaults:
***************************************/
function preMain() {
setStudyTitle("UCI Centered Secondary Cycle Index
");
setShowTitleParameters(false);
setCursorLabelName("cSCI", 0);
setDefaultBarFgColor(Color.navy, 0);
setDefaultBarThickness(1, 0);
addBand(100, PS_DASH, 1, Color.navy, "100+");
addBand(0, PS_DASH, 1, Color.navy, "0");
addBand(-100, PS_DASH, 1, Color.navy, "100-");
}
var bVersion = null;
var nYs = null;
function main() {
if (getCurrentBarIndex() == 0) return;
if (bVersion == null) bVersion = verify();
if (bVersion == false) return;
var xSigom = efs("UCI_volatility.efs", 0);
var xYs = efsInternal("calc_xYs");
if (xSigom.getValue(0) == null || xYs.getValue(0)
== null) return;
nYs = xYs.getValue(0);
if (nYs == null) return;
var nYsn = 100 * nYs/xSigom.getValue(0);
return nYsn;
}
/**** Internal Series Functions *****/
function calc_xYs() {
var sma1 = sma(25, 12); // returns single
values
var sma2 = sma(50, 25);
if (sma1 == null || sma2 == null) return;
return 100 * ((sma1 - sma2) / sma2);
}
/***** Support Functions *****/
function verify() {
var b = false;
if (getBuildNumber() < 700) {
drawTextRelative(5, 25,
"This study requires version 7.9 or later.",
Color.black, Color.red, Text.BOLD|Text.RELATIVETOLEFT|Text.RELATIVETOBOTTOM,
null, 14, "error");
drawTextRelative(5, 10,
"Click HERE to upgrade.@URL=https://www.esignal.com/download/default.asp",
Color.black, Color.red, Text.BOLD|Text.RELATIVETOLEFT|Text.RELATIVETOBOTTOM,
null, 14, "upgrade");
return;
} else {
b = true;
}
return b;
}
/***************************************
Provided By : eSignal (c) Copyright 2005
Description: Real-Time Channel Lines
Version 1.0 3/11/2005
Notes:
May 2005 Issue - "Cycles In Time And Money"
by Stuart Belknap, PhD
This study uses EFS2 functionality available in eSignal version 7.9
or later.
Formula Parameters:
Defaults:
***************************************/
function preMain() {
setPriceStudy(true);
setStudyTitle("UCI Channel Lines ");
setShowTitleParameters(false);
setCursorLabelName("Upr Channel", 0);
setCursorLabelName("Base Channel", 1);
setCursorLabelName("Lwr Channel", 2);
setDefaultBarFgColor(Color.blue, 0);
setDefaultBarFgColor(Color.blue, 1);
setDefaultBarFgColor(Color.blue, 2);
setDefaultBarThickness(2, 0);
setDefaultBarThickness(2, 1);
setDefaultBarThickness(2, 2);
}
var bVersion = null;
function main() {
if (bVersion == null) bVersion = verify();
if (bVersion == false) return;
var xArm = sma(25);
var xUpr = efsInternal("calc_Upr");
var xLwr = efsInternal("calc_Lwr");
return new Array(xUpr, xArm, xLwr);
}
/**** Internal Series Functions *****/
function calc_Upr() {
return (1+2*efs("UCI_volatility.efs", 0)/100)*sma(25);
}
function calc_Lwr() {
return (1-2*efs("UCI_volatility.efs", 0)/100)*sma(25);
}
/***** Support Functions *****/
function verify() {
var b = false;
if (getBuildNumber() < 700) {
drawTextRelative(5, 25,
"This study requires version 7.9 or later.",
Color.black, Color.red, Text.BOLD|Text.RELATIVETOLEFT|Text.RELATIVETOBOTTOM,
null, 14, "error");
drawTextRelative(5, 10,
"Click HERE to upgrade.@URL=https://www.esignal.com/download/default.asp",
Color.black, Color.red, Text.BOLD|Text.RELATIVETOLEFT|Text.RELATIVETOBOTTOM,
null, 14, "upgrade");
return;
} else {
b = true;
}
return b;
}
/***************************************
Provided By : eSignal (c) Copyright 2005
Description: Intermediate Cycle Index
Version 1.0 3/10/2005
Notes:
May 2005 Issue - "Cycles In Time And Money"
by Stuart Belknap, PhD
This study uses EFS2 functionality available in eSignal version 7.9
or later.
Formula Parameters:
Defaults:
***************************************/
function preMain() {
setStudyTitle("UCI Intermediate Cycle Index ");
setShowTitleParameters(false);
setCursorLabelName("ICI", 0);
setDefaultBarFgColor(Color.green, 0);
setDefaultBarThickness(2, 0);
addBand(150, PS_DASH, 1, Color.darkgreen, "150+");
addBand(0, PS_DASH, 1, Color.darkgreen, "0");
addBand(-150, PS_DASH, 1, Color.darkgreen, "150-");
}
var bVersion = null;
var nYie = null;
var aYie = new Array(6);
function main() {
if (bVersion == null) bVersion = verify();
if (bVersion == false) return;
var nState = getBarState();
if (nState == BARSTATE_NEWBAR && nYie !=
null) {
aYie.pop();
aYie.unshift(nYie);
}
var xSigom = efs("UCI_volatility.efs", 0);
var xYie = efsInternal("calc_xYie");
if (xSigom.getValue(0) == null || xYie.getValue(0)
== null) return;
nYie = xYie.getValue(0);
if (nYie == null) return;
aYie[0] = nYie;
var nYies = null;
if (aYie[5] != null) {
nYies = callFunction("TSF.efs",
"main", aYie, 6);
} else {
return;
}
if (nYies == null) return;
var nYiesn = 100 * nYies/xSigom.getValue(0);
return nYiesn;
}
/**** Internal Series Functions *****/
function calc_xYie() {
return 100 * ((ema(25) - ema(50)) / ema(50));
}
/***** Support Functions *****/
function verify() {
var b = false;
if (getBuildNumber() < 700) {
drawTextRelative(5, 25,
"This study requires version 7.9 or later.",
Color.black, Color.red, Text.BOLD|Text.RELATIVETOLEFT|Text.RELATIVETOBOTTOM,
null, 14, "error");
drawTextRelative(5, 10,
"Click HERE to upgrade.@URL=https://www.esignal.com/download/default.asp",
Color.black, Color.red, Text.BOLD|Text.RELATIVETOLEFT|Text.RELATIVETOBOTTOM,
null, 14, "upgrade");
return;
} else {
b = true;
}
return b;
}
/***************************************
Provided By : eSignal (c) Copyright 2005
Description: Minor Cycle Index
Version 1.0 3/9/2005
Notes:
May 2005 Issue - "Cycles In Time And Money"
by Stuart Belknap, PhD
This study uses EFS2 functionality available in eSignal version 7.9
or later.
Formula Parameters:
Defaults:
***************************************/
function preMain() {
setStudyTitle("UCI Minor Cycle Index ");
setShowTitleParameters(false);
setCursorLabelName("MCI", 0);
setDefaultBarFgColor(Color.red, 0);
setDefaultBarThickness(2, 0);
addBand(50, PS_DASH, 1, Color.maroon, "50+");
addBand(0, PS_DASH, 1, Color.maroon, "0");
addBand(-50, PS_DASH, 1, Color.maroon, "50-");
}
var bVersion = null;
var nYme = null;
var aYme = new Array(6);
function main() {
if (bVersion == null) bVersion = verify();
if (bVersion == false) return;
var nState = getBarState();
if (nState == BARSTATE_NEWBAR && nYme !=
null) {
aYme.pop();
aYme.unshift(nYme);
}
var xSigom = efs("UCI_volatility.efs", 0);
var xYme = efsInternal("calc_xYme");
if (xSigom.getValue(0) == null || xYme.getValue(0)
== null) return;
nYme = xYme.getValue(0);
if (nYme == null) return;
aYme[0] = nYme;
var nYmes = null;
if (aYme[5] != null) {
nYmes = callFunction("TSF.efs",
"main", aYme, 6);
} else {
return;
}
if (nYmes == null) return;
var nYmesn = 100 * nYmes/xSigom.getValue(0);
return nYmesn;
}
/**** Internal Series Functions *****/
function calc_xYme() {
return 100 * ((ema(6) - ema(12)) / ema(12));
}
/***** Support Functions *****/
function verify() {
var b = false;
if (getBuildNumber() < 700) {
drawTextRelative(5, 25,
"This study requires version 7.9 or later.",
Color.black, Color.red, Text.BOLD|Text.RELATIVETOLEFT|Text.RELATIVETOBOTTOM,
null, 14, "error");
drawTextRelative(5, 10,
"Click HERE to upgrade.@URL=https://www.esignal.com/download/default.asp",
Color.black, Color.red, Text.BOLD|Text.RELATIVETOLEFT|Text.RELATIVETOBOTTOM,
null, 14, "upgrade");
return;
} else {
b = true;
}
return b;
}
/***************************************
Provided By : eSignal (c) Copyright 2005
Description: Secondary Cycle Index
Version 1.0 3/10/2005
Notes:
May 2005 Issue - "Cycles In Time And Money"
by Stuart Belknap, PhD
This study uses EFS2 functionality available in eSignal version 7.9
or later.
Formula Parameters:
Defaults:
***************************************/
function preMain() {
setStudyTitle("UCI Secondary Cycle Index ");
setShowTitleParameters(false);
setCursorLabelName("SCI", 0);
setDefaultBarFgColor(Color.blue, 0);
setDefaultBarThickness(2, 0);
addBand(100, PS_DASH, 1, Color.navy, "100+");
addBand(0, PS_DASH, 1, Color.navy, "0");
addBand(-100, PS_DASH, 1, Color.navy, "100-");
}
var bVersion = null;
var nYse = null;
var aYse = new Array(6);
function main() {
if (bVersion == null) bVersion = verify();
if (bVersion == false) return;
var nState = getBarState();
if (nState == BARSTATE_NEWBAR && nYse !=
null) {
aYse.pop();
aYse.unshift(nYse);
}
var xSigom = efs("UCI_volatility.efs", 0);
var xYse = efsInternal("calc_xYse");
if (xSigom.getValue(0) == null || xYse.getValue(0)
== null) return;
nYse = xYse.getValue(0);
if (nYse == null) return;
aYse[0] = nYse;
var nYses = null;
if (aYse[5] != null) {
nYses = callFunction("TSF.efs",
"main", aYse, 6);
} else {
return;
}
if (nYses == null) return;
var nYsesn = 100 * nYses/xSigom.getValue(0);
return nYsesn;
}
/**** Internal Series Functions *****/
function calc_xYse() {
return 100 * ((ema(12) - ema(25)) / ema(25));
}
/***** Support Functions *****/
function verify() {
var b = false;
if (getBuildNumber() < 700) {
drawTextRelative(5, 25,
"This study requires version 7.9 or later.",
Color.black, Color.red, Text.BOLD|Text.RELATIVETOLEFT|Text.RELATIVETOBOTTOM,
null, 14, "error");
drawTextRelative(5, 10,
"Click HERE to upgrade.@URL=https://www.esignal.com/download/default.asp",
Color.black, Color.red, Text.BOLD|Text.RELATIVETOLEFT|Text.RELATIVETOBOTTOM,
null, 14, "upgrade");
return;
} else {
b = true;
}
return b;
}
/***************************************
Provided By : eSignal (c) Copyright 2005
Description: Universal Cycle Index Volatility (Sigom %)
Version 1.0 3/8/2005
Notes:
May 2005 Issue - "Cycles In Time And Money"
by Stuart Belknap, PhD
This study uses EFS2 functionality available in eSignal version 7.9
or later.
Formula Parameters:
Defaults:
***************************************/
function preMain() {
setStudyTitle("UCI Volatility (Sigom \%) ");
setShowTitleParameters(false);
setCursorLabelName("sigom \%", 0);
setDefaultBarFgColor(Color.green, 0);
setDefaultBarThickness(2, 0);
}
var bVersion = null;
function main() {
if (bVersion == null) bVersion = verify();
if (bVersion == false) return;
var xSigom = sma(25, efsInternal("calc_xSom"));
return offsetSeries(xSigom, 12);
}
/**** Internal Series Functions *****/
function calc_xSom() {
var xYom2 = sma(50, efsInternal("calc_xYom2"));
var xAvyom = sma(50, efsInternal("calc_xYom"));
if (xYom2.getValue(0) == null || xAvyom.getValue(0)
== null) return;
var nVaryon = xYom2.getValue(0) - Math.pow(xAvyom.getValue(0),
2);
var nSom = Math.sqrt(nVaryon);
return nSom;
}
function calc_xYom() {
var xsma12 = offsetSeries(sma(25, close()),-12);
// returns an offset Series
return (100*(close()-xsma12)/xsma12);
}
function calc_xYom2() {
var nYom2 = efsInternal("calc_xYom");
return Math.pow(nYom2.getValue(0), 2);
}
/***** Support Functions *****/
function verify() {
var b = false;
if (getBuildNumber() < 700) {
drawTextRelative(5, 25,
"This study requires version 7.9 or later.",
Color.black, Color.red, Text.BOLD|Text.RELATIVETOLEFT|Text.RELATIVETOBOTTOM,
null, 14, "error");
drawTextRelative(5, 10,
"Click HERE to upgrade.@URL=https://www.esignal.com/download/default.asp",
Color.black, Color.red, Text.BOLD|Text.RELATIVETOLEFT|Text.RELATIVETOBOTTOM,
null, 14, "upgrade");
return;
} else {
b = true;
}
return b;
}
--Jason Keck
eSignal, a division of Interactive Data Corp.
800 815-8256, www.esignalcentral.com
GO BACK
NEUROSHELL TRADER: UNIVERSAL CYCLE INDEX
Stuart Belknap's universal cycle index (UCI) can be easily implemented
in NeuroShell Trader by combining a few of NeuroShell Trader's 800-plus
indicators. To implement the UCI indicators, select "New Indicator ..." from
the Insert menu and use the Indicator Wizard to create the following indicators:
Volatility (Sigom %)
YOM: Multiply( 100, Subtract( Divide( Close, Lag(MovAvg(Close,12),25) ), 1))
AVYOM: Divide ( Add2 ( YOM, 50 ), 50 )
VARYOM: Subtract( Divide( Add2( Multiply2(YOM,YOM), 50 ), 50 ), Multiply2(AVYOM,AVYOM))
SOM: Lag( Sqrt( VARYOM ), 12 )
SIGOM: MovAvg( SOM, 25 )
Cycle Index***
YE: Multiply2( 100, Subtract( Divide( MovAvg(Close,x), MovAvg(Close,y) ), 1 ) )
YES: LinTimeRegPredVal( YE, x, 1 )
YESN: Multiply( 100, Divide( YES, SIGOM ) )
Centered Cycle Index***
YC: Multiply2(100,Subtract(Divide(Lead(MovAvg(Close,y),x),Lead(MovAvg(Close,z),y)),1))
YCN: Multiply( 100, Divide( YC, SIGOM ) )
***For Minor Cycle Index use parameters x=6, y=12, z=25;
for Secondary Cycle Index use parameters x=12, y=25, z=50; and
for Intermediate Cycle Index use parameters x=25, y=50, z=100.
Real-Time Channel Lines
ARM: MovAvg(Close,25)
UPPERLINE: Multiply2 ( Add2( 1, Multiply2( 2, Divide(SIGOM,100) ) ), ARM )
LOWERLINE: Multiply2 ( Subtract( 1, Multiply2( 2, Divide(SIGOM,100) ) ), ARM )
Centered Channel Lines
CARM: Lead( MovAvg(Close,25), 12 )
CUPPERLINE: Multiply2 ( Add2( 1, Multiply2( 2, Divide(SIGOM,100) ) ), ARM )
CLOWERLINE: Multiply2 ( Subtract( 1, Multiply2( 2, Divide(SIGOM,100) ) ), ARM )
To create a UCI trading system, select "New Trading Strategy ..."
from the Insert menu and enter the following entry and
exit conditions in the appropriate locations of the Trading Strategy Wizard:
Generate a buy long MARKET order if ALL of the following are true:
CrossAbove ( YESN, LOWERLINE )
Generate a sell long MARKET order if 1 of the following are true:
CrossBelow ( YESN, UPPERLINE )
A<B( Close, Subtract( EntryPrice(Trading Strategy), SIGOM ) )
Generate a sell short MARKET order if ALL of the following are true:
CrossBelow ( YESN, UPPERLINE )
Generate a cover short MARKET order if 1 of the following are true:
CrossAbove ( YESN, LOWERLINE )
A>B( Close, Add2( EntryPrice(Trading Strategy), SIGOM ) )
FIGURE 6: NEUROSHELL, UNIVERSAL CYCLE INDEX. Here is a sample
NeuroShell chart showing Stuart Belknap's universal cycle index.
If you have NeuroShell Trader Professional, you can also choose
whether or not the system parameters should be optimized. After backtesting
the trading strategy, use the "Detailed Analysis ..." button to view the
backtest and trade-by-trade statistics for the UCI system.
--Marge Sherald, Ward Systems Group, Inc.
301 662-7950, sales@wardsystems.com
www.neuroshell.com
GO BACK
NEOTICKER: UNIVERSAL CYCLE INDEX
All cycle indicators presented in "Cycles In Time And Money" by Stuart
Belknap can be implemented in NeoTicker using formula language. The Backtest
EZ power indicator can quickly build the baseline systems discussed in
the article that are required to generate signals.
In an effort to provide the most realistic system-backtesting environment,
NeoTicker indicators do not allow forward-looking references, because in
real life, events in the future will never be known until they happen.
There are a number of forward-looking references within the original
MetaStock code. In order to implement these indicators in NeoTicker, any
forward-looking code is translated into the style of referencing the current
period.
There are six cycle indicators and two channel lines. They are all based
on volatility (Sigom %), so the first step is to code this indicator. In
Listing 1, two simple moving averages are required to forward-reference
12 periods. In NeoTicker, instead of using forward-looking moving averages,
the current component "Close" in the original code is changed to a 12-period
lookback. This change makes these two components within the formula match
bar distances between them with the original logic. Final calculation results
are equivalent to those based on the MetaStock code.
The remaining indicators -- the minor cycle index (period 25 bars) (Listing
2); centered minor cycle index (Listing 3); secondary cycle index (period
50 bars) (Listing 4); centered secondary cycle index (Listing 5); intermediate
cycle index (period 100 bars) (Listing 6); centered intermediate cycle
index (Listing 7); real-time channel lines (Listing 8); and centered channel
lines (Listing 9) -- are modified with a same-period shifting algorithm
whenever there is a forward-looking reference.
NeoTicker's power indicator Backtest EZ is the easiest way to build
different baseline systems using different cycle period indicators.
The sample chart in Figure 7 shows a baseline system with both long
and short sides. To recreate this system, first add the long signals generation
formula (Listing 10) to the Long Entry field and the short signals generation
formula (Listing 11) to the Short Entry field. The long signals formula
returns a "1" when the minor cycle index crosses above the -50 or 50 line,
and these signals will prompt long-side trades to be taken in Backtest
EZ.
FIGURE 7: NEOTICKER, UNIVERSAL CYCLE INDEX. Here is a sample
chart showing the minor cycle index.
Listing 1
$bcounter := $bcounter+1;
yom := 100*(c(12)-average(c, 25))/average(c, 25);
avyom := summation(yom, 50)/50;
varyom := summation(yom*yom, 50)/50-avyom*avyom;
som := sqrt(varyom(12));
plot1 := average (som, 25);
success1 := if ($bcounter > 25, 1, 0);
Listing 2
yme := 100*(qc_xaverage(c, 6)-qc_xaverage(c, 12))/
qc_xaverage(c, 12);
ymes := tsf(yme, 6, 0);
plot1 := 100*ymes/sigom(data1);
plot2 := 50;
plot3 := -50;
Listing 3
ym := (average (6, c, 12)-average (c, 25))/average (c, 25);
plot1 := 100*ym/sigom (12, data1);
Listing 4
yse := 100*(qc_xaverage (c, 12)-qc_xaverage (c, 25))/
qc_xaverage (c, 25);
yses := tsf(yse, 6, 0);
plot1 := 100*yses/sigom(data1);
plot2 := 100;
plot3 := -100;
Listing 5
ys := 100*(average (13, c, 25)-average (c, 50))/
average(c, 50);
plot1 := 100*ys/sigom (25, data1);
Listing 6
yie := 100*(qc_xaverage(c, 25)- qc_xaverage (c, 50))/
qc_xaverage (c, 50);
yies := tsf (yie, 6, 0);
plot1 := 100*yies/sigom(data1);
plot2 := 150;
plot3 := -150;
Listing 7
yi := 100*(average (25, c, 50)- average ( c, 100))/
average (c, 100);
plot1 := 100*yi/sigom (50, data1);
Listing 8
plot1 := average (c, 25);
plot2 := (1+2.0*sigom(data1)/100)*plot1;
plot3 := (1-2.0*sigom(data1)/100)*plot1;
Listing 9
plot1 := average (c, 25);
plot2 := (1+2*sigom(12, data1)/100)*plot1;
plot3 := (1-2*sigom(12, data1)/100)*plot1;
Listing 10
xaboveconst (minorcycleidx (data1), 50) > 0 or
xaboveconst (minorcycleidx (data1), -50) > 0
Listing 11
xbelowconst (minorcycleidx (data1), 50) > 0 or
xbelowconst (minorcycleidx (data1), -50) > 0
A downloadable version of the NeoTicker group file containing a
sample baseline system and source code files for the indicator will be
available from the NeoTicker Yahoo! User Group website.
--Kenneth Yuen, TickQuest Inc.
www.tickquest.com
GO BACK
AIQ: UNIVERSAL CYCLE INDEX
This AIQ code implements the universal cycle index described in "Cycles
In Time And Money" by Stuart Belknap. Figure 8 shows the indicator applied
to a trending period, and Figure 9 shows it applied to a consolidating
market.
FIGURE 8: AIQ SYSTEMS, UNIVERSAL CYCLE INDEX. Here's an example
of the UCI applied to VeriSign on the period from March to July 2003, which
was a trending market until June.
FIGURE 9: AIQ SYSTEMS, UNIVERSAL CYCLE INDEX. Here's an example
of the UCI applied to VeriSign on the period from June to October 2003,
which was a consolidating market.
!UNIVERSAL CYCLE INDEX
!Author: Stuart Belknap, Cycles in Time and Money
!Coded by: Richard Denning 3/14/05
C is [close].
EMA6 is expavg(C,6).
EMA12 is expavg(C,12).
EMA25 is expavg(C,25).
EMA50 is expavg(C,50).
MA12 is simpleavg(C,12).
MA25 is simpleavg(C,25).
MA50 is simpleavg(C,50).
MA100 is simpleavg(C,100).
!VOLATILITY (SIGOM)
yom is 100*(valresult(C,12) - MA25) / MA25.
avyom is sum(yom,50) / 50.
varyom is sum(yom * yom,50) / 50 - avyom * avyom.
som is valresult(sqrt(varyom),12).
sigom is simpleavg(som,25).
!MINOR CYCLE INDEX (25 BARS)
yme is 100 * (EMA6 - EMA12) / EMA12.
ymes is yme + 6 * slope2(yme,6). !TSF(yme,6).
ymesn is 100 * ymes / sigom.
!Plot "ymesn" as three line indicator with lines at -50 & 50.
!CENTERED MINOR CYCLE INDEX
ym is 100 * (valresult(MA12,6) - valresult(MA25,12))
/ valresult(MA25,12).
ymn is 100 * ym / sigom.
!SECONDARY CYCLE INDEX (50 BARS)
yse is 100 * (EMA12 - EMA25) / EMA25.
yses is yse + 6 * slope2(yse,6). !TSF(yse,6).
ysesn is 100 * yses / sigom.
!Plot "ysesn" as three line indicator with lines at -100 & 100.
!CENTERED SECONDARY CYCLE INDEX
ys is 100 * (valresult(MA25,12-12) - valresult(MA50,25-12))
/ valresult(MA50,25-12).
ysn is 100 * ys / sigom.
!INTERMEDIALTE CYCLE INDEX (100 BARS)
yie is 100 * (EMA25 - EMA50) / EMA50.
yies is yie + 6 * slope2(yie,6). !TSF(yie,6).
yiesn is 100 * yies / sigom.
!Plot "yiesn" as three line indicator with lines at -150 & 150.
!CENTERED INTERMEDIATE CYCLE INDEX
yi is 100 * (valresult(MA50,25-25) - valresult(MA100,50-25))
/ valresult(MA100,50-25).
yin is 100 * yi / sigom.
!REAL TIME CHANNEL LINES
upRT is (1 + 2 * sigom / 100) * MA25.
dnRT is (1 - 2 * sigom / 100) * MA25.
!CENTERED CHANNEL LINES
upCCL is (1 + 2 * sigom / 100) * valresult(MA25,12).
dnCCL is (1 - 2 * sigom / 100) * valresult(MA25,12).
--Richard Denning
www.aiq.com
GO BACK
ASPEN GRAPHICS: UNIVERSAL CYCLE INDEX
In Stuart Belknap's article, "Cycles In Time And Money," utilizing scalable
cycle indicators derived from oscillators is explored using a variety of
methods. All of the formula examples illustrated in the article are easily
translated into the Aspen 4.0 Formula Writer.
We have translated all of Belknap's formula variables and one of his
indicators. For further information and assistance regarding the other
studies outlined in Belknap's article, please contact Aspen Research Group
Technical Support at 970 945-2921.
The following variables are translated from Belknap's article into the
Aspen 4.0 Formula Writer.
Yom_=100*($1-savg($1,25)[-12])/savg($1,25)[-12]
AvYom_=sum(Yom_($1),50)/50
VarYom_=sum(Yom_($1)*Yom_($1),50)/50-AvYom_($1)*AvYom_($1)
Som_=Sqrt(VarYom_)[-12]
Sigom_=savg(Som_($1),25)
The following formula applies a six-period smoothing to the %K line of
the fast stochastic:
UCI_K(series,K_Period=12,UCI_Period=6)=savg(fstoch
($1,K_Period),UCI_Period)
This formula applies a six-period smoothing to the %D line of the
fast stochastic:
UCI_D(series,K_Period=12,D_Smooth=3,UCI_Period=6)=savg
(sstoch($1,K_Period,D_Smooth),UCI_Period)
Apply both of these studies in the same split window on a chart
to give you the smoothing on both the %K and the %D lines.
These stochastic oscillators use a six-period simple moving average
applied to a 12-period fast stochastic to achieve a normalized and scalable
indicator. We have included a period parameter and a smoothing parameter
that can be manually modified after the study has been applied to the chart.
A sample chart is shown in Figure 10.
FIGURE 10: ASPEN GRAPHICS, UNIVERSAL CYCLE INDEX. Here's
a sample Aspen Graphics chart displaying the UCI.
--Aspen Research Group
support@aspenres.com
www.aspenres.com
GO BACK
All rights reserved. © Copyright 2005, Technical Analysis,
Inc.
Return to May 2005 Contents
TRADESTATION: UNIVERSAL CYCLE INDEX
