rumpypumpydumpy

Ehler's Autocorrelation Periodogram - RSI/MFI

Warning! Frequently hits the execution time limit for scripts.
Especially on initially adding to your chart. Often requires toggling show/hide indicator to get it to complete script execution within the time limit. YMMV!

From TASC Sept 2016 this is Ehler's Autocorrelation periodogram. A means of determining the dominant cycle ("ideal" indicator length / dynamic length).

As an example it's applied here to RSI or MFI . Lower indicator segment displays the autocorrelation spectrum and the computed dominant cycle. Upper segment is RSI / MFI .
Catatan Rilis: Corrected error in calculation
Catatan Rilis: Another fix and initial r values
Catatan Rilis: Corrected HP filter
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Komentar

Hey buddy, fanastic job on this one
+1 Jawab
Great script!
Please check lines 68 and 69
In line 68 instead of cosine function there are must be sine function
In line 69 instead expression "array.get(cospart, period) + array.get(corr, n) +" there are must be "pow(array.get(cospart, period),2)"
Jawab
rumpypumpydumpy harkalada31
@harkalada31, Thank you for pointing that out
Jawab
harkalada31 rumpypumpydumpy
You're welcome. Also please check line 74 after "0.2 * pow(array.get(sqsum, period),2) +" there are must be 0.8*array.get(r2, period) according J.Ehlers article.
Jawab
rumpypumpydumpy harkalada31
@harkalada31, Thanks again :) I must have been high or something. It brings up the issue of initial R1 being empty. I think this should be correct now.
Jawab
harkalada31 rumpypumpydumpy
@rumpypumpydumpy, you're welcome! I found another problem. Please check line 24, you forgot to divide the expression on cos(c/48). I compared your script with my own and after that correction we have identical results (i applied sine wave as a test signal).
Jawab
this script is super, thanks for sharing!
Jawab
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