EmpiricalModeDecomposition.efs, BandpassFilter.efs, ExtractingTrend.efs
EFSLibrary - Discussion Board
File Name:
- EmpiricalModeDecomposition.efs
- BandpassFilter.efs
- ExtractingTrend.efs
Description:
EmpiricalModeDecomposition.efs
Empirical Mode Decomposition
BandpassFilter.efs
Bandpass Filter
ExtractingTrend.efs
Extracting The Trend
Formula Parameters:
EmpiricalModeDecomposition.efs
- Length : 20
- Delta : 0.5
- Fraction : 0.1
- Price : hl2
BandpassFilter.efs
- Length : 20
- Delta : 0.5
- Price : hl2
ExtractingTrend.efs
- Length : 20
- Delta : 0.5
- Price : hl2
Notes:
The related article is copyrighted material. If you are not a subscriber of Stocks & Commodities, please visit www.traders.com.
Download File:
EmpiricalModeDecomposition.efs
BandpassFilter.efs
ExtractingTrend.efs
EFS Code:
- EmpiricalModeDecomposition.efs
/*********************************
Provided By:
eSignal (Copyright c eSignal), a division of Interactive Data
Corporation. 2010. All rights reserved. This sample eSignal
Formula Script (EFS) is for educational purposes only and may be
modified and saved under a new file name. eSignal is not responsible
for the functionality once modified. eSignal reserves the right
to modify and overwrite this EFS file with each new release.
Description:
Empirical Mode Decomposition
Version: 1.00 01/08/2010
Formula Parameters: Default:
Length 20
Delta 0.5
Fraction 0.1
Price hl2
Notes:
The related article is copyrighted material. If you are not a subscriber
of Stocks & Commodities, please visit www.traders.com.
**********************************/
var fpArray = new Array();
var bInit = false;
var bVersion = null;
function preMain() {
setPriceStudy(false);
setShowCursorLabel(true);
setShowTitleParameters(false);
setStudyTitle("Empirical Mode Decomposition");
setCursorLabelName("Mean", 0);
setDefaultBarFgColor(Color.red, 0);
setPlotType(PLOTTYPE_LINE, 0);
setDefaultBarThickness(2, 0);
setCursorLabelName("Peak", 1);
setDefaultBarFgColor(Color.blue, 1);
setPlotType(PLOTTYPE_LINE, 1);
setDefaultBarThickness(2, 1);
setCursorLabelName("Valley", 2);
setDefaultBarFgColor(Color.blue, 2);
setPlotType(PLOTTYPE_LINE, 2);
setDefaultBarThickness(2, 2);
var x=0;
fpArray[x] = new FunctionParameter("Length", FunctionParameter.NUMBER);
with(fpArray[x++]){
setName("Length");
setLowerLimit(1);
setDefault(20);
}
fpArray[x] = new FunctionParameter("Delta", FunctionParameter.NUMBER);
with(fpArray[x++]){
setName("Delta");
setLowerLimit(0.00001);
setDefault(0.5);
}
fpArray[x] = new FunctionParameter("Fraction", FunctionParameter.NUMBER);
with(fpArray[x++]){
setName("Fraction");
setLowerLimit(0.00001);
setDefault(0.1);
}
fpArray[x] = new FunctionParameter("Price", FunctionParameter.STRING);
with(fpArray[x++]){
setName("Price Source");
addOption("open");
addOption("high");
addOption("low");
addOption("close");
addOption("hl2");
addOption("hlc3");
addOption("ohlc4");
setDefault("hl2");
}
}
var xEmpiricalModeDecomposition_Mean = null;
var xEmpiricalModeDecomposition_Peak = null;
var xEmpiricalModeDecomposition_Valley = null;
function main(Length, Delta, Fraction, Price) {
var nBarState = getBarState();
var nEmpiricalModeDecomposition_Mean = 0;
var nEmpiricalModeDecomposition_Peak = 0;
var nEmpiricalModeDecomposition_Valley = 0;
if (bVersion == null) bVersion = verify();
if (bVersion == false) return;
if (nBarState == BARSTATE_ALLBARS) {
if (Length == null) Length = 20;
if (Delta == null) Delta = 0.5;
if (Fraction == null) Fraction = 0.1;
if (Price == null) Price = "hl2";
}
if (bInit == false) {
xEmpiricalModeDecomposition_Mean = efsInternal("Calc_EmpiricalModeDecomposition", Length, Delta, Fraction, Price);
xEmpiricalModeDecomposition_Peak = getSeries(xEmpiricalModeDecomposition_Mean, 1);
xEmpiricalModeDecomposition_Valley = getSeries(xEmpiricalModeDecomposition_Mean, 2);
bInit = true;
}
nEmpiricalModeDecomposition_Mean = xEmpiricalModeDecomposition_Mean.getValue(0);
nEmpiricalModeDecomposition_Peak = xEmpiricalModeDecomposition_Peak.getValue(0);
nEmpiricalModeDecomposition_Valley = xEmpiricalModeDecomposition_Valley.getValue(0);
if (nEmpiricalModeDecomposition_Mean == null ||
nEmpiricalModeDecomposition_Peak == null ||
nEmpiricalModeDecomposition_Valley == null) return;
return new Array(nEmpiricalModeDecomposition_Mean, nEmpiricalModeDecomposition_Peak, nEmpiricalModeDecomposition_Valley);
}
var bSecondInit = false;
var xMean = null;
var xAvrPeak = null;
var xAvrValley = null;
function Calc_EmpiricalModeDecomposition(Length, Delta, Fraction, Price) {
var nMean = 0;
var nAvrPeak = 0;
var nAvrValley = 0;
if (bSecondInit == false) {
xMean = efsInternal("Calc_Mean_Peak_Valley", Length, Delta, Price);
xAvrPeak = sma(50, getSeries(xMean, 1));
xAvrValley = sma(50, getSeries(xMean, 2));
bSecondInit = true;
}
nMean = xMean.getValue(0);
nAvrPeak = xAvrPeak.getValue(0);
nAvrValley = xAvrValley.getValue(0);
if (nMean == null || nAvrPeak == null || nAvrValley == null) return;
nAvrPeak = Fraction * nAvrPeak;
nAvrValley = Fraction * nAvrValley;
return new Array(nMean, nAvrPeak, nAvrValley);
}
var bMPVInit = false;
var nPeak = 0;
var nValley = 0;
function Calc_Mean_Peak_Valley(Length, Delta, Price) {
var nMean = 0;
var BP = 0;
var BP1 = 0;
var BP2 = 0;
if (bMPVInit == false) {
xBandpassFilter = efsInternal("Calc_BandpassFilter", Length, Delta, Price);
xMean = sma(2 * Length, xBandpassFilter);
bMPVInit = true;
}
nMean = xMean.getValue(0);
BP = xBandpassFilter.getValue(0);
BP1 = xBandpassFilter.getValue(-1);
BP2 = xBandpassFilter.getValue(-2);
if (BP1 > BP && BP1 > BP2) {
nPeak = BP1;
}
if (BP1 < BP && BP1 < BP2) {
nValley = BP1;
}
return new Array(nMean, nPeak, nValley);
}
var bThirdInit = false;
var xPrice = null;
function Calc_BandpassFilter(Length, Delta, Price) {
var gamma = 0;
var alpha = 0;
var beta = 0;
var BP = 0;
var BP1 = ref(-1);
var BP2 = ref(-2);
if (bThirdInit == false) {
xPrice = eval(Price)();
bThirdInit = true;
}
if (xPrice.getValue(-2) == null) return;
beta = Math.cos(Math.PI * (360 / Length) / 180);
gamma = 1 / Math.cos(Math.PI * (720 * Delta / Length) / 180);
alpha = gamma - Math.sqrt(gamma * gamma - 1);
BP = 0.5 * (1 - alpha) * (xPrice.getValue(0) - xPrice.getValue(-2)) + beta * (1 + alpha) * BP1 - alpha * BP2;
return BP;
}
function verify() {
var b = false;
if (getBuildNumber() < 779) {
drawTextAbsolute(5, 35, "This study requires version 8.0 or later.",
Color.white, Color.blue, Text.RELATIVETOBOTTOM|Text.RELATIVETOLEFT|Text.BOLD|Text.LEFT,
null, 13, "error");
drawTextAbsolute(5, 20, "Click HERE to upgrade.@URL=http://www.esignal.com/download/default.asp",
Color.white, Color.blue, Text.RELATIVETOBOTTOM|Text.RELATIVETOLEFT|Text.BOLD|Text.LEFT,
null, 13, "upgrade");
return b;
} else {
b = true;
}
return b;
}
- BandpassFilter.efs
/*********************************
Provided By:
eSignal (Copyright c eSignal), a division of Interactive Data
Corporation. 2010. All rights reserved. This sample eSignal
Formula Script (EFS) is for educational purposes only and may be
modified and saved under a new file name. eSignal is not responsible
for the functionality once modified. eSignal reserves the right
to modify and overwrite this EFS file with each new release.
Description:
Bandpass Filter
Version: 1.00 01/08/2010
Formula Parameters: Default:
Length 20
Delta 0.5
Price hl2
Notes:
The related article is copyrighted material. If you are not a subscriber
of Stocks & Commodities, please visit www.traders.com.
**********************************/
var fpArray = new Array();
var bInit = false;
var bVersion = null;
function preMain() {
setPriceStudy(false);
setShowCursorLabel(true);
setShowTitleParameters(false);
setStudyTitle("Bandpass Filter");
setCursorLabelName("Bandpass Filter", 0);
setDefaultBarFgColor(Color.red, 0);
setPlotType(PLOTTYPE_LINE, 0);
setDefaultBarThickness(2, 0);
var x=0;
fpArray[x] = new FunctionParameter("Length", FunctionParameter.NUMBER);
with(fpArray[x++]){
setName("Length");
setLowerLimit(1);
setDefault(20);
}
fpArray[x] = new FunctionParameter("Delta", FunctionParameter.NUMBER);
with(fpArray[x++]){
setName("Delta");
setLowerLimit(0.00001);
setDefault(0.5);
}
fpArray[x] = new FunctionParameter("Price", FunctionParameter.STRING);
with(fpArray[x++]){
setName("Price Source");
addOption("open");
addOption("high");
addOption("low");
addOption("close");
addOption("hl2");
addOption("hlc3");
addOption("ohlc4");
setDefault("hl2");
}
}
var xBandpassFilter = null;
function main(Length, Delta, Price) {
var nBarState = getBarState();
var nBandpassFilter = 0;
if (bVersion == null) bVersion = verify();
if (bVersion == false) return;
if (nBarState == BARSTATE_ALLBARS) {
if (Length == null) Length = 20;
if (Delta == null) Delta = 0.5;
if (Price == null) Price = "hl2";
}
if (!bInit) {
addBand(0, PS_SOLID, 1, Color.blue, "Zero");
xBandpassFilter = efsInternal("Calc_BandpassFilter", Length, Delta, Price);
bInit = true;
}
nBandpassFilter = xBandpassFilter.getValue(0);
if (nBandpassFilter == null) return;
return nBandpassFilter;
}
var bSecondInit = false;
var xPrice = null;
function Calc_BandpassFilter(Length, Delta, Price) {
var gamma = 0;
var alpha = 0;
var beta = 0;
var BP = 0;
var BP1 = ref(-1);
var BP2 = ref(-2);
if (bSecondInit == false) {
xPrice = eval(Price)();
bSecondInit = true;
}
if (xPrice.getValue(-2) == null) return;
beta = Math.cos(Math.PI * (360 / Length) / 180);
gamma = 1 / Math.cos(Math.PI * (720 * Delta / Length) / 180);
alpha = gamma - Math.sqrt(gamma * gamma - 1);
BP = 0.5 * (1 - alpha) * (xPrice.getValue(0) - xPrice.getValue(-2)) + beta * (1 + alpha) * BP1 - alpha * BP2;
return BP;
}
function verify() {
var b = false;
if (getBuildNumber() < 779) {
drawTextAbsolute(5, 35, "This study requires version 8.0 or later.",
Color.white, Color.blue, Text.RELATIVETOBOTTOM|Text.RELATIVETOLEFT|Text.BOLD|Text.LEFT,
null, 13, "error");
drawTextAbsolute(5, 20, "Click HERE to upgrade.@URL=http://www.esignal.com/download/default.asp",
Color.white, Color.blue, Text.RELATIVETOBOTTOM|Text.RELATIVETOLEFT|Text.BOLD|Text.LEFT,
null, 13, "upgrade");
return b;
} else {
b = true;
}
return b;
}
- ExtractingTrend.efs
/*********************************
Provided By:
eSignal (Copyright c eSignal), a division of Interactive Data
Corporation. 2010. All rights reserved. This sample eSignal
Formula Script (EFS) is for educational purposes only and may be
modified and saved under a new file name. eSignal is not responsible
for the functionality once modified. eSignal reserves the right
to modify and overwrite this EFS file with each new release.
Description:
Extracting The Trend
Version: 1.00 01/08/2010
Formula Parameters: Default:
Length 20
Delta 0.5
Price hl2
Notes:
The related article is copyrighted material. If you are not a subscriber
of Stocks & Commodities, please visit www.traders.com.
**********************************/
var fpArray = new Array();
var bInit = false;
var bVersion = null;
function preMain() {
setPriceStudy(false);
setShowCursorLabel(true);
setShowTitleParameters(false);
setStudyTitle("Extracting The Trend");
setCursorLabelName("ExTrend", 0);
setDefaultBarFgColor(Color.red, 0);
setPlotType(PLOTTYPE_LINE, 0);
setDefaultBarThickness(2, 0);
var x=0;
fpArray[x] = new FunctionParameter("Length", FunctionParameter.NUMBER);
with(fpArray[x++]){
setName("Length");
setLowerLimit(1);
setDefault(20);
}
fpArray[x] = new FunctionParameter("Delta", FunctionParameter.NUMBER);
with(fpArray[x++]){
setName("Delta");
setLowerLimit(0.00001);
setDefault(0.5);
}
fpArray[x] = new FunctionParameter("Price", FunctionParameter.STRING);
with(fpArray[x++]){
setName("Price Source");
addOption("open");
addOption("high");
addOption("low");
addOption("close");
addOption("hl2");
addOption("hlc3");
addOption("ohlc4");
setDefault("hl2");
}
}
var xBandpassFilter = null;
var xTrend = null;
function main(Length, Delta, Price) {
var nBarState = getBarState();
var nTrend = 0;
if (bVersion == null) bVersion = verify();
if (bVersion == false) return;
if (nBarState == BARSTATE_ALLBARS) {
if (Length == null) Length = 20;
if (Delta == null) Delta = 0.5;
if (Price == null) Price = "hl2";
}
if (!bInit) {
addBand(0, PS_SOLID, 1, Color.blue, "Zero");
xBandpassFilter = efsInternal("Calc_BandpassFilter", Length, Delta, Price);
xTrend = sma(2 * Length, xBandpassFilter);
bInit = true;
}
nTrend = xTrend.getValue(0);
if (nTrend == null) return;
return nTrend;
}
var bSecondInit = false;
var xPrice = null;
function Calc_BandpassFilter(Length, Delta, Price) {
var gamma = 0;
var alpha = 0;
var beta = 0;
var BP = 0;
var BP1 = ref(-1);
var BP2 = ref(-2);
if (bSecondInit == false) {
xPrice = eval(Price)();
bSecondInit = true;
}
if (xPrice.getValue(-2) == null) return;
beta = Math.cos(Math.PI * (360 / Length) / 180);
gamma = 1 / Math.cos(Math.PI * (720 * Delta / Length) / 180);
alpha = gamma - Math.sqrt(gamma * gamma - 1);
BP = 0.5 * (1 - alpha) * (xPrice.getValue(0) - xPrice.getValue(-2)) + beta * (1 + alpha) * BP1 - alpha * BP2;
return BP;
}
function verify() {
var b = false;
if (getBuildNumber() < 779) {
drawTextAbsolute(5, 35, "This study requires version 8.0 or later.",
Color.white, Color.blue, Text.RELATIVETOBOTTOM|Text.RELATIVETOLEFT|Text.BOLD|Text.LEFT,
null, 13, "error");
drawTextAbsolute(5, 20, "Click HERE to upgrade.@URL=http://www.esignal.com/download/default.asp",
Color.white, Color.blue, Text.RELATIVETOBOTTOM|Text.RELATIVETOLEFT|Text.BOLD|Text.LEFT,
null, 13, "upgrade");
return b;
} else {
b = true;
}
return b;
}