Simple Cycle

2019년 5월 31일

Introduction

A simple and really clean cycle oscillator, in fact its quite precise even if the script use recursion which can sometime produce totally uncorrelated results.

On The Code

The calculations start with a who is a smoothing/averaging constant. Then comes src who is the input and is defined as the sum of the closing price with the output, then the output is high-pass filtered in b, after that the output is just the weighted average of the input change with b.

All those recursions and detrending steps make the indicator able to highlights cycles.