Hello:

I could not find a thread on this topic, so I decided to start a new one. I did not want to put it inthe digital filters one, as it (I think) deserves a topic on its own.

In his book "rocket science for traders" John Ehlers describes a systemn that may have some value.

I am not a MQL4 programmer, so I wanted to bring this up to the programming community here. perhaps this system described in Ehlers book can be coded in MQL4 and used effectively.

The system basically detects/senses the state (cycle) of the market in question, and if it detects the market is trending, it switches to trend mode trading, and if it detects the market is ranging, it switches to range mode.

Here is the code of the system in Ehlers' code's, can a programmer in this forum convert this to MQL4?

Thanks and regards to all.

EF

{***************************************

Written by: Ehlers - Rocket science for traders
typed by Henry Amand

Description: SineTrend system, page 120

****************************************}

Inputs: Price((H+L)/2);

Vars: Smooth (0),
Detrender (O) ,
I1 (0),
Q1 (O),
jI (O),
JQ (0),
I2 (0),
Q2 (0),
Re (0),
Im (0),
Period (0),
SmoothPeriod (O),
SmoothPrice (O),
DCPeriod (O),
RealPart (0),
Imagpart (O),
count (0),
DCPhase (O),
DCSine (O),
LeadSine (O),
Itrend (O),
Trendline (O),
Trend (0),
DaysinTrend (O);



If CurrentBar > 5 then begin


Smooth = (4*Price + 3*Price[1] + 2*Price[2] + Price[3]) / 10;
Detrender = (.0962 * Smooth + .5769 * Smooth[2] - .5769 *
Smooth[4] - .0962*Smooth[6]) * (.075 * Period[1] + .54);


{Compute InPhase and Quadrature components.}

Q1 = (.0962 * Detrender + .5769 * Detrender[2] - .5769
* Detrender[4] - .0962 * Detrender[6]) * (.075 * Period[1] + .54);
I1 = Detrender[3];


{Advance the phase of I1 and Q1 by 90 degrees}

jI = (.0962 * I1 + .5769 * I1[2] - .5769 * I1[4] -
.0962 * I1[6]) * (.075 * Period[1] + .54);
JQ = (.0962 * Q1 + .5769 * Q1[2] - .5769 * Q1[4] -
.0962 * Q1[6]) * (.075 * Period[1] + .54);


{Phasor addition for 3 bar averaging)}

I2 = I1 - JQ;
Q2 = Q1 + jI;


{Smooth the I and Q components before applying
the discriminator}

I2 = .2 * I2 + .8 * I2[1];
Q2 = .2 * Q2 + .8 * Q2[1];


{Homodyne Discriminator}

Re = I2 * I2[1] + Q2 * Q2[1];
Im = I2 * Q2[1] - Q2 * I2[1];
Re = .2 * Re + .8 * Re[1];
Im = .2 * Im + .8 * Im[1];

If Im <> 0 and Re <> 0 then Period = 360 / ArcTangent (Im/Re);
If Period > 1.5 * Period[1] then Period = 1.5 * Period[1];
If Period < .67 * Period[1] then Period = .67 * Period[1];
If Period < 6 then Period = 6;
If Period > 50 then Period = 50;
Period = .2 * Period + .8 * Period[1];
SmoothPeriod = .33 * Period + .67 * SmoothPeriod[1];


{Compute Dominant Cycle Phase}

SmoothPrice = (4 * price + 3 * Price[1] + 2 * Price[2] +
Price[3]) / 10;
DCPeriod = IntPortion(SmoothPeriod + .5);
RealPart = 0;
ImagPart = 0;


For count = 0 To DCPeriod - 1 begin

RealPart = RealPart + sine (360 * count / DCPeriod) *
(SmoothPrice[count]);
ImagPart = imagPart + CoSine (360 * count / DCPeriod) *
(SmoothPrice[count]);

End;

If AbsValue(ImagPart) > 0 then DCPhase =
Arctangent(RealPart / ImagPart);
If AbsValue(ImagPart) <= .001 then DCPhase =
DCPhase + 90 * Sign(RealPart);
DCPhase = DCPhase + 90;


{Compensate for one bar lag of the Weighted Moving Average}

DCPhase = DCPhase + 360 / SmoothPeriod;

If ImagPart < 0 then DCPhase = DCPhase + 180;
If DCPhase > 315 then DCPhase = DCPhase - 360;


{Compute the Sine and LeadSine Indicators}

DCSine = Sine(DCPhase);
LeadSine = Sine(DCPhase + 45);


{Compute Trendline as simple average over the measured
dominant cycle period}

ITrend = 0;

For count = 0 to DCPeriod - 1 begin
ITrend = ITrend + Price[count];
End;

If DCPeriod > 0 then ITrend = ITrend / DCPeriod;
Trendline = (4 * ITrend + 3 * ITrend[1] + 2 * ITrend[2]
+ ITrend[3]) / 10;
If CurrentBar < 12 then Trendline = Price;


{Assume Trend Mode}

Trend = 1;


{Measure days in trend from last crossing of the
Sinewave Indicator lines}

If Sine(DCPhase) Crosses Over Sine(DCPhase + 45) or
Sine(DCPhase) Crosses Under Sine(DCPHase + 45) Then begin
DaysInTrend = 0;
Trend = 0;
End;

DaysInTrend = DaysInTrend + 1;
If DaysInTrend < .5 * SmoothPeriod then Trend = 0;


{Cycle Mode If delta phase is +/- 50% of dominant cycle
change of phase}

If SmoothPeriod <> 0 and (DCPhase - DCPhase[1] > .67 * 360 /
SmoothPeriod and DCPhase - DCPhase[1] < 1.5 * 360 /
SmoothPeriod) then Trend = 0;


{Declare a Trend Mode if the SmoothPrice is more than 1.5%
from the Trendline}

If AbsValue ((SmoothPrice - Trendline) / Trendline) >=
.015 then Trend = 1;

If Trend = 1 then begin

If Trend [1] = 0 then begin

If MarketPosition = -1 and SmoothPrice >= Trendline then buy;
If MarketPosition = 1 and SmoothPrice < Trendline then sell;

End;

If SmoothPrice Crosses Over Trendline then buy;
If SmoothPrice Crosses Under Trendline then sell;
End;

If Trend = 0 then begin

If LeadSine Crosses Over DCSine then buy;
If LeadSine Crosses Under DCSine then sell;

End;
End;

what program is this written for?

I believe it is called easylanguage code, but can't recall right now the name of the platform that it is for.

It is written for TradeStation. I too tried to rewrite it to MQL4 some time ago but never got it to work. This is why I don't read Ehlers very much anymore because I'm not even able to test his ideas. I'd be glad if we could figure it out because it's sure worth it.

Maybe even smarter and more useful thing to do would be to rewrite his indicator for measuring market -- it's called Cycle Period and is described in Cybernetics Analysis for Stocks and Futures.

__________________
Malcik

Ehler likes complexity.

If you want to see how his methods really work, go to Futures Truth and check the performance of his Mesa systems. They monitor futures systems and report the results.

Hi..I too like THIS kind of complexity..

Top 10 S&P Systems

Rank System Name Annual % Return
1. Keystone 126.2%
2. R-mesa 3 116.9%
3. R-Breaker 72.3%
4. %C Daybreaker 69.3%
5. STC S&P Daytrade 68.0%
6. RC Success 56.9%
7. RC Edge 54.9%
8. Cyclone 54.6%
9. Tzar 49.1%
10. Mechwarrior 47.

R-Mesa 3 John Ehlers/Mike Barna

Top 10 Systems Since Their Release Date

Rank System Name Annual % Return
1. Anticipation 254.0%
2. Samurai 35 221.8%
3. Qtech Bellies 191.5%
4. ATS-3200 174.7%
5. Natural Gas Offense 164.5%
6. Natural Gas Trader - MA 151.9%
7. Natural Gas Trader - GA 128.0%
8. Natural Gas Trader - LA 124.5%
9. Anticipation II 118.6%
10. R-Mesa 3 116.9%



Regards

__________________
Equo ne credite,Teucri.

Then buy his books and implement his methods.

This is the closest indicator I've seen to at least resembling Sinewave.
TDI...obviously not the same but the concept is similar.

Personally over time I've found I don't care much for this stuff....

Attached Files

TDI-2.mq4 (3.5 KB, 294 views)

I already did,both,and I shared some of my views on them,extensively, in this Forum..By the way,that is what we were supposedly trying to do in this thread,implement one of his methods in mt4.....did you notice ?

So ..what was the meaning of your posts ?


Where a child will see three letters, the student will see one word.... the master will understand its meaning....

__________________
Equo ne credite,Teucri.

What is the meaning of my posts?

Here is the meaning of my first post.

1. Complexity= The quality or condition of being complex.

Complex= Involved or intricate- complicated.


2. This means that Ehler's mesa system is monitored and reported on at a web site called Futures Truth.

I meant you can go there and see its results.

It appears you did that. What did you not understand about this post?


My other post:


You replied that you had already done this. What did you not understand about it?

Its likely that I noticed since my post was about Ehler. Don't you think?