CyberCycle Adaptive Cy

Here are two instantly profitable strategies which how

The TS code for the CyberCycle strategy as defined by Ehlers. The interesting thing is that this strategy can generate good returns when executed in reverse mode (do exactly the opposite as Mr. Ehlers suggested :)) on volatile instruments (best candidate is GBPJPY) and a time frame around 240 min in order ot avoid too frequent trading. Alternatively you can run it on range bars of ca. 50 pips. It shouldn't be difficult to port the strategy to Zorro and play with it.

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Inputs: Price((H+L)/2) ,alpha(.07), Lag(9), Reverse(false);
Vars: Smooth(0),
Cycle(0),
alpha2(0),
Signal(0);
Smooth = (Price + 2*Price[1] + 2*Price[2] + Price[3])/6;
Cycle = (1 - .5*alpha)*(1 - .5*alpha)*(Smooth - 2*Smooth[1] + Smooth[2]) + 2*(1 - alpha)*Cycle[1] - (1 - alpha)*(1 - alpha)*Cycle[2];

If currentbar < 7 then Cycle = (Price - 2*Price[1] + Price[2]) / 4;
alpha2 = 1 / (Lag + 1);
Signal = alpha2*Cycle + (1 - alpha2)*Signal[1];

If Reverse then begin
If Signal Crosses Over Signal[1] then Buy Next Bar on Open;
If Signal Crosses Under Signal[1] then Sell Short Next Bar on Open;
end Else begin
If Signal Crosses Under Signal[1] then Buy Next Bar on Open;
If Signal Crosses Over Signal[1] then Sell Short Next Bar on Open;
end;

If MarketPosition = 1 and PositionProfit < 0 and BarsSinceEntry > 8 then Sell This Bar;
If MarketPosition = -1 and PositionProfit < 0 and BarsSinceEntry > 8 then Buy To Cover This Bar;

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And here is a strategy which uses the Adaptive Cyber Cycle (Cyber Cycle's alpha1 parameter is based on the full Dominant Cycle). To make this strategy profitable you should run it in reverse mode (again: do exactly the opposite what Mr. Ehlers suggests :)) and combine it with a trailing stop exit method which is not included in the code because in TS I simply combine the strategy with the standard PercentTrailing strategy. A good result can be achieved on GBPJPY, time frame 240 min and a percent trailing exit which triggers when the profit exceeds 30 pips and risks 10% from the profit.

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Inputs: Price((H+L)/2) ,alpha(.07), Lag(9), Reverse(false);

Vars: Smooth(0),Cycle(0),Q1(0),I1(0),DeltaPhase(0),MedianDelta(0),DC(0),InstPeriod(0),Period(0),Length(0),Num(0),Denom(0),alpha1(0),Signal(0);

Smooth = (Price + 2*Price[1] + 2*Price[2] + Price[3])/6;
Cycle = (1 -.5*alpha)*(1 - .5*alpha)*(Smooth - 2*Smooth[1] + Smooth[2]) + 2*(1 - alpha)*Cycle[1] - (1 - alpha)*(1 - alpha)*Cycle[2];
If currentbar < 7 then Cycle = (Price - 2*Price[1] + Price[2]) / 4;

Q1 = (.0962*Cycle + .5769*Cycle[2] - .5769*Cycle[4] - .0962*Cycle[6])*(.5 + .08*InstPeriod[1]);
I1 = Cycle[3];
If Q1 <> 0 and Q1[1] <> 0 then DeltaPhase = (I1/Q1 - I1[1]/Q1[1]) / (1 + I1*I1[1]/(Q1*Q1[1]));
If DeltaPhase < 0.1 then DeltaPhase = 0.1;
If DeltaPhase > 1.1 then DeltaPhase = 1.1;
MedianDelta = Median(DeltaPhase, 5);
If MedianDelta = 0 then DC = 15 else DC = 6.28318 / MedianDelta + .5;
InstPeriod = .33*DC + .67*InstPeriod[1];
Period = .15*InstPeriod + .85*Period[1];
alpha1 = 2 / (Period + 1);
Signal = (1 - .5*alpha1)*(1 - .5*alpha1)*(Smooth - 2*Smooth[1] + Smooth[2]) + 2*(1 - alpha1)*Signal[1] - (1 - alpha1)*(1 - alpha1)*Signal[2];
If currentbar < 7 then Signal = (Price - 2*Price[1] + Price[2]) / 4;

If Reverse then begin
If Signal Crosses Over Signal[1] then Buy Next Bar on Open;
If Signal Crosses Under Signal[1] then Sell Short Next Bar on Open;
end Else begin
If Signal Crosses Under Signal[1] then Buy Next Bar on Open;
If Signal Crosses Over Signal[1] then Sell Short Next Bar on Open;
end;

If MarketPosition = 1 and PositionProfit < 0 and BarsSinceEntry > 8 then Sell This Bar;
If MarketPosition = -1 and PositionProfit < 0 and BarsSinceEntry > 8 then Buy To Cover This Bar;
////////////////////////////////////////////////////////////////////////////////

Tvas thanks for sharing your strategies! Much appreciated.
I don't know TS language. Can someone help me to translate that code in Zorro? Thanks in advance.

Hi Team:

Forgive the crude attempt, but I am trying to code the CyberCycle Internal Cycle.. It is giving an error message :
" Error 111: Crash in Function at Bar 0"
but I can't find the issue right now.


vars CyberCycleInternalCycle (var* Input, alpha)
{
vars ReversedSeries = rev(series(Input[0]));

vars RevCycle,iCycleCycle,Smooth = series();

int i=0;

for(i=0; i<(NumBars-1); i++)
{

if (i<3)
RevCycle[i]=Smooth[i]=ReversedSeries[i];

if (i<7 && i>2)
{
RevCycle[i]=(
ReversedSeries[i]
-2* ReversedSeries[i-1]
+ ReversedSeries[i-2]) /4;

Smooth[i] = (
ReversedSeries[i]
+ 2* ReversedSeries[i-1]
+ 2*ReversedSeries[i-2]
+ ReversedSeries[i-3]);

Smooth[i]=Smooth[i]/6;
}
else
RevCycle[i]=
(1 - .5*alpha)*(1 - .5*alpha)*(Smooth[i]
- 2*Smooth[i-1]
+ Smooth[i-2])
+ 2*(1 - alpha)*RevCycle[i-1]
- (1 - alpha)*(1 - alpha)*RevCycle[i-2];

}

iCycleCycle = rev(series(RevCycle[0]));

return iCycleCycle;

}

It is crashing with empty pointers. You have 4 pointers but only 2 have series assigned.

Hi Spirit:

I have tried to write a Variable Moving Average. This one too is not working.

What am I missing when it comes to series creation inside a function?

// NOT WORKING
///////////////////////////////////////////////////

///// Variable Moving Average /////

///////////////////////////////////////////////////

vars VariableMovingAverage (var* Input, int MAPeriod, int CMOPeriod)
{

int factor = (2/((MAPeriod)+1));

vars VI = series(abs((CMO(Input, CMOPeriod))/100) );

int m = max(MAPeriod, CMOPeriod);

vars v = series(0);

int i;

for (i=(NumBars-1); i>0; i--)
{
if (i>(NumBars-1-m))
v[i]= Input[i];
else
v[i] = (factor*VI[i]*Input[i]) + ((1-factor* VI[i])* v[i+1]);
} //end of loop

return v;
} //end of function

thanks Andrew.. I will try with those changes.

I think this piece of advice might be more helpful:

Sometimes you have to build a script piece by piece to make sure it works correctly, rather than throwing everything together at once and wondering for days why it doesn’t work. Do diagnostics for every step.

Hi Andrew:

Thanks for your suggestion to make it work within the run() loop instead of giving it a separate function. Yes, it was much easier that way.


Much Appreciated.