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Custom Indicators
Name: Modeling the Market = Building Trading Strategies
Description:

In his article “Modeling the Market = Building Trading Strategies”, John F. Ehlers illustrates the value of modeling the market while developing comprehensive trading strategies. By using the Tradecision Indicator Builder, one can create the Cyclic Component, Instantaneous Trendline, and Market Model indicators and use them to build trading strategies that combine the techniques with other indicator-based and money-management rules.

Note: You can use the Tradecision Optimization wizard to find the best parameters for your trading system.   

The following is the code for the above indicators.
 
Cyclic Component

Input
     Price: "Price", (H + l) / 2;
     Length: "Length", 20;
end_input

var
   Alpha := (1 – Sin (360 / Length)) / Cos (360 / Length);
   HP := 0;
   SmoothHP := 0;
end_var

if (HistorySize > 1) then
   HP := 0.5 * (1 + alpha) * (Price - Price\1\) + Alpha * HP\1\;
else
   HP := 0;

if (HistorySize + 1) < 4 then
   SmoothHP := Price - Price\1\;
else
   SmoothHP := (HP + 2 * HP\1\ + 2 * HP\2\ + HP\3\) / 6;
     
if HistorySize = 0 then
   SmoothHP := 0;

return SmoothHP;

Instantaneous Trendline

Input
     Price: "Price", (H + l) / 2;
     Length: "Length", 20;
end_input

var
   SMA := SMA(Price, Length);
   Slope := Price - Price\Length - 1\;
   SmoothSlope := (Slope + 2 * Slope\1\ + 2 * Slope\2\ + Slope\3\) / 6;
   ITrend := SMA + 0.5 * SmoothSlope;
end_var

return ITrend;

Market Model

Input
     Price: "Price",(H +l) /2 ;
     Length: "Length", 20;
end_input

var
   Sma := SMA(Price, Length);
   Slope := Price - Price\Length - 1\;
   SmoothSlope := (Slope + 2 * Slope\1\ + 2 * Slope\2\ + Slope\3\) / 6;
   ITrend := SMA + 0.5 * SmoothSlope;
   Alpha := (1 - Sin(360 / Length)) / Cos(360 / Length);
   HP := 0;
   SmoothHP := 0;
end_var

 

if (HistorySize > 1) then
   HP := 0.5 * (1 + alpha) * (Price - Price\1\) + Alpha * HP\1\;
else
   HP := 0;

if (HistorySize + 1) < 4 then
   SmoothHP := Price - Price\1\;
else
   SmoothHP := (HP + 2 * HP\1\ + 2 * HP\2\ + HP\3\) / 6;
     
if HistorySize = 0 then
   SmoothHP := 0;

return ITrend + SmoothHP;



Function Name:


Cyclic Component ()

Instantaneous Trendline ()

Market Model ()

 



Download to import into Tradecision.

How to use this indicator in Tradecision:
  1. Click Download.
  2. Save this indicator in a safe location on your hard drive.
  3. Open Tradecision and in the Tools menu click Indicator Builder.
  4. In the Indicator Builder dialog, click Import, locate the saved file and then click OK.
The indicator will be added to the Custom Indicators list.
 
Modeling the Market = Building Trading Strategies
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