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DLL's for
Lomb Periodogram DLL ( Cycle analysis)
EXAMPLE:
Lomb Periodogram applied to a S&P500 10min intraday chart.
Phase correlation signal is then calculated and displayed (black)
The green histogram is the periodic signal likhood (LOW value means high
probability).
A buy signal exists when the phase reaches 270°, a sell signal apply for a
90°value.
Signals are taken when the cyclic probability is high (Low reading on the green
histogram)
Printed using TradeStation™ 4 by TradeStation Technologies
Click on the above thumbnail image to get the full
size picture.
TRADESTATION INPUTS:
{Lomb Periodogram
Maxbarsback >= 100
DLL returns:
1)Period, as calculated in xper variable
2)Probability of a periodic signal (stored in prob variable).
The LOWER prob value means that a periodic signal is present
}
inputs :bypass(4), {Performs the Lomb calculation every "bypass"
bar. Bypass=1 ==> calculates on all bars.}
price(c), {Price serie. Can
be an oscillator}
rec(25), {Lookback
period . Max 100}
osamp(10), {sampling value. Higher
means more precision and more time to calculate}
detr(40); {detrend period of
the moving average used for this purpose.
You may use other detrend techniques for raw price data.
Detrend is not necessary with oscillators (set detr=0)}
Inputs:
ph(16), {Optional
phase calculation of phase by correlation. Higher means more precise and slower}
moy(3);
{length of
the average used to smooth the period in the phase calculation}
Ordering: see the ORDER
section on this web
PRICE is 240€
SEE OUR SPECIAL PRICE OFFER FOR ALL OUR
TRADESTATION DLL's.
EC users must ad 19.6%VAT or provide their international VAT
number when ordering.
Please provide your name , address, TradeStation or Supercharts Realtime
Block Number.
TradeStation Code ©1996-1998 Philippe Lembo- HLG Gestion &
Pierre Orphelin-Sirtrade International .
Sirtrade International 110, avenue du President Wilson -F93100 Montreuil. FRANCE.
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Lomb
Periodogram
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The Lomb periodogram is another useful cycle analysis
tool, that is not widely used in trading applications, where MEM (Maximum Entropy
Method) and FFT (Fast Fourier Transform) are better known and popularized.
This code has the ability to extract the main frequency
component (period) with a remarkable precision, even on data that are not equally spaced
(sparse data).
An other advantage is that this code evaluates the likhood of the cycle component in the price data window
analyzed. This is obvious in the
examples that we provide here.
As for other cycle analysis tool that we propose on this
web site, it accepts anything you want as raw data series to be analyzed (price series,
indicators...).
Once the period has been extracted, it can be used as an
input to an indicator (variable length based), or a phase calculation like in the
example presented here below
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