Cycles represent relatively smooth fluctuations with mean 0 and of varying period and amplitude, their estimation using technical indicators has always been a major task. In the additive model of price, the cycle is a component :
Price = Trend + Cycle + Noise
Based on this model we can deduce that :
Cycle = Price - Trend - Noise
The indicators specialized on the estimation of cycles are oscillators, some like bandpass filters aim to return a correct estimate of the cycles, while others might only show a deformation of them, this can be done in order to maximize the visualization of the cycles.
Today an oscillator who aim to maximize the visualization of the cycles is presented, the oscillator is based on the difference between the price and the previously proposed Grover Llorens activator indicator. A relative strength index is then applied to this difference in order to minimize the change of amplitude in the cycles.
The indicator include the length and mult settings used by the Grover Llorens activator. Length control the rate of convergence of the activator, lower values of length will output cycles of a faster period.
here length = 50
Mult is responsible for maximizing the visualization of the cycles, low values of mult will return a less cyclical output.
Here mult = 1
Finally you can smooth the indicator output if you want (smooth by default), you can uncheck the option if you want a noisy output.
The smoothing amount is also linked with the period of the rsi.
Here the smoothing amount = 100.
Conclusion
An oscillator based on the recently posted Grover Llorens activator has been proposed. The oscillator aim to maximize the visualization of cycles.
Maximizing the visualization of cycles don't comes with no cost, the indicator output can be uncorrelated with the actual cycles or can return cycles that are not present in the price. Other problems arises from the indicator settings, because cycles are of a time-varying periods it isn't optimal to use fixed length oscillators for their estimation.
Thanks for reading !
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Hi Alex, Thanks for sharing your Great Work!!!!!!!!! It is very nice!!!!!!
TonioVolcano
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Alex, I just found your library and I am flabbergasted with all the content and ideas. It is gonna take some time to go through all of it, but thanks in advance ;)
I really like oscillators to spot divergences with price. This oscillator along with your Linear Correlation Oscillator and the Robust Weighting Oscillator seem to be hitting the spot for that purpose. If you have any favorite oscillator for divergences, I will appreciate if you can share the name and I will deep dive into it... In the meantime, I will keep on checking your content. Cheers!
alexgrover
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Repainting issues have been fixed, note however that the original indicator isn't supposed to be recalculated every time it is loaded, only the last value of each variables in the indicator need to be stored in order for the indicator to work has intended. We can say that the indicator has been adapted to the way Tradingview deal with indicator recalculations.