HPotter

Empirical Mode Decomposition

The related article is copyrighted material from Stocks & Commodities Mar 2010
You can use in the xPrice any series: Open, High, Low, Close, HL2, HLC3, OHLC4 and ect...
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//  Copyright by HPotter v1.0 15/10/2014
// The related article is copyrighted material from Stocks & Commodities Mar 2010
// You can use in the xPrice any series: Open, High, Low, Close, HL2, HLC3, OHLC4 and ect...
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study(title="Empirical Mode Decomposition")
Length = input(20, minval=1)
Delta = input(0.5)
Fraction = input(0.1)
xPrice = hl2
beta = cos(3.1415 * (360 / Length) / 180)
gamma = 1 / cos(3.1415 * (720 * Delta / Length) / 180)
alpha = gamma - sqrt(gamma * gamma - 1)
xBandpassFilter = 0.5 * (1 - alpha) * (xPrice - xPrice[2]) + beta * (1 + alpha) * nz(xBandpassFilter[1]) - alpha * nz(xBandpassFilter[2])
xMean = sma(xBandpassFilter, 2 * Length)
xPeak =  iff (xBandpassFilter[1] > xBandpassFilter and xBandpassFilter[1] > xBandpassFilter[2], xBandpassFilter[1], nz(xPeak[1])) 
xValley =  iff (xBandpassFilter[1] < xBandpassFilter and xBandpassFilter[1] < xBandpassFilter[2], xBandpassFilter[1], nz(xValley[1])) 
xAvrPeak = sma(xPeak, 50)
xAvrValley = sma(xValley, 50)
nAvrPeak = Fraction * xAvrPeak
nAvrValley = Fraction * xAvrValley
plot(xMean, color=red, title="Mean")
plot(nAvrPeak, color=blue, title="Peak")
plot(nAvrValley, color=blue, title="Valley")
TheOmega
2 years ago
Very interesting indicator. Thanks for coding it. It is great for identifying trends and momentum.
Reply
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