2010 Mar: Empirical Mode Decomposition

/*********************************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  01/08/2010Formula 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;}

/*********************************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  01/08/2010Formula 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;}

/*********************************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  01/08/2010Formula 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;}