Hurst Cycle Software

_SECTION_BEGIN("EhlersDominantPeriod");
SetBarsRequired(200, 0);

// Ehlers Dominant Cycle Period
// from Ehlers, John F. Cybernetic Analysis for Stocks and Futures. Wiley. 2004.
// Chapter 9, p. 107. Code on p. 111.

function CyclePeriod(array, alpha)
// Figure 9.4 on p. 111
{
smooth = (array + 2*Ref(array, -1) + 2*Ref(array, -2) + Ref(array, -3))/6;

// for(i = 0; i < 7; i++) cycle[i]=array[i]; // Initialize early values and as array

for(i = 0; i < 6; i++)
{
InstPeriod[i] = 0; // Initialize early values and as array
DeltaPhase[i] = 0;
cycle[i]=0;
Period[i]=0;
}

for(i = 6; i < BarCount; i++)
{
cycle[i] = (1 - .5*alpha)*(1 - .5*alpha)*(smooth[i] - 2*smooth[i-1] + smooth[i-2]) +
2*(1 - alpha)*cycle[i-1] - (1 - alpha)*(1 - alpha)*cycle[i-2];
Q1[i] = (.0962*cycle[i] + .5769*cycle[i-2] -.5769*cycle[i-4] - .0962*cycle[i-6])*(.5 + .08*InstPeriod[i-1]);
I1[i] = cycle[i-3];

if(Q1[i] != 0 AND Q1[i-1] != 0)
DeltaPhase[i] = (I1[i]/Q1[i] - I1[i-1]/Q1[i-1])/(1 + I1[i]*I1[i-1]/(Q1[i]*Q1[i-1]));
if(DeltaPhase[i] < 0.1) DeltaPhase[i] = 0.1;
if(DeltaPhase[i] > 1.1) DeltaPhase[i] = 1.1;

//----- Speed up the median calculation by placing it inline

mlen = 5;
for(k = mlen - 1; k >= 0; k--) {temparray[k] = DeltaPhase[i + k - (mlen - 1)];}

temp=0;
for(k = mlen - 1; k > 0; k--)
{for (j = mlen - 1; j > 0; j--)
{if (temparray[j-1] > temparray[j])
{
temp = temparray[j-1];
temparray[j-1] = temparray[j];
temparray[j] = temp;
}
}
}
MedianDelta[i] = temparray[mlen - 1 - (mlen / 2)];

//----- End median calculation

if(MedianDelta[i] == 0) DC[i] = 15;
else DC[i] = 6.28318/MedianDelta[i] + .5;

InstPeriod[i] = .33*DC[i] + .67*InstPeriod[i-1];
Period[i] = .15*InstPeriod[i] + .85*Period[i-1];
}
return Period;
}

Med = (H+L)/2;

// CyclePeriod
CP = CyclePeriod(Med, .07);
Plot(CP, "CyclePeriod", colorRed, styleLine);
_SECTION_END();