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John F. Ehlers’ article, “Making a Better Oscillator”, introduced his Cybernetic Oscillator and a Simple Rate of Change trading strategy. Here are the formulas to add that indicator and System Test to MetaStock.
The Cybernetic Oscillator: Code:{by John Ehlers}
HPLen:= 30;
LPLen:= 20;{High Pass filter of Close}
a1:= exp(-1.414*3.14159 / HPLen);
b1:= 2*a1*Cos(1.414*180 / HPLen);
c1:= -a1*a1;
x1:= (1 + b1 - c1) / 4;
HP1:= x1*(C - Ref(2*C,-1) + Ref(C, -2)) + b1*Prev + c1*Ref(Prev, -1); {Super Smoother of High Pass}
a2:= exp(-1.414*3.14159 / LPLen);
b2:= 2*a2*Cos(1.414*180 / LPLen);
c2:= -a2*a2;
x2:= (1 + b2 - c2) / 4;
LP1:= x2*(Sum(HP1,2)/2) + b2*Prev + c2*Ref(Prev, -1); {Root Mean Square of Super Smoother}
RMS:= SQRT(Sum(LP1 * LP1, 100) / 100); {divide by zero trap}
denom:= if(RMS = 0, -1, RMS);
If(denom = -1, 0, LP1/denom)
Simple Rate of Change Strategy Buy Order: Code:LPLen:= 20;
fastHPLen:= 55;
slowHPLen:= 156;{Super Smoother of Close}
a1:= exp(-1.414*3.14159 / LPLen);
b1:= 2*a1*Cos(1.414*180 / LPLen);
c1:= -a1*a1;
x1:= (1 + b1 - c1) / 4;
LP1:= x1*(Sum(C,2)/2) + b1*Prev + c1*Ref(Prev, -1); {fast High Pass filter of Super Smoother}
a2:= exp(-1.414*3.14159 / fastHPLen);
b2:= 2*a2*Cos(1.414*180 / fastHPLen);
c2:= -a2*a2;
x2:= (1 + b2 - c2) / 4;
HP1:= x2*(LP1 - Ref(2*LP1,-1) + Ref(LP1, -2)) + b2*Prev + c2*Ref(Prev, -1);
ROC1:= HP1 - Ref(HP1, -2); {slow High Pass filter of Super Smoother}
a3:= exp(-1.414*3.14159 / slowHPLen);
b3:= 2*a3*Cos(1.414*180 / slowHPLen);
c3:= -a3*a3;
x3:= (1 + b3 - c3) / 4;
HP2:= x3*(LP1 - Ref(2*LP1,-1) + Ref(LP1, -2)) + b3*Prev + c3*Ref(Prev, -1);
ROC2:= HP2 - Ref(HP2, -2); ROC1>0 AND ROC2>0
Sell Order: Code:LPLen:= 20;
fastHPLen:= 55;
slowHPLen:= 156;{Super Smoother of Close}
a1:= exp(-1.414*3.14159 / LPLen);
b1:= 2*a1*Cos(1.414*180 / LPLen);
c1:= -a1*a1;
x1:= (1 + b1 - c1) / 4;
LP1:= x1*(Sum(C,2)/2) + b1*Prev + c1*Ref(Prev, -1); {fast High Pass filter of Super Smoother}
a2:= exp(-1.414*3.14159 / fastHPLen);
b2:= 2*a2*Cos(1.414*180 / fastHPLen);
c2:= -a2*a2;
x2:= (1 + b2 - c2) / 4;
HP1:= x2*(LP1 - Ref(2*LP1,-1) + Ref(LP1, -2)) + b2*Prev + c2*Ref(Prev, -1);
ROC1:= HP1 - Ref(HP1, -2); {slow High Pass filter of Super Smoother}
a3:= exp(-1.414*3.14159 / slowHPLen);
b3:= 2*a3*Cos(1.414*180 / slowHPLen);
c3:= -a3*a3;
x3:= (1 + b3 - c3) / 4;
HP2:= x3*(LP1 - Ref(2*LP1,-1) + Ref(LP1, -2)) + b3*Prev + c3*Ref(Prev, -1);
ROC2:= HP2 - Ref(HP2, -2); ROC1<0 AND ROC2<0
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