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Ichimoku Kinko Hyo

Ichimoku Kinko Hyo is a Japanese charting technique developed before World War II. Its goal is to portray at a glance where the price is heading and when will be the right time to enter or exit the market. Translated, Ichimoku Kinko Hyo means ‘a glance at an equilibrium chart’. The user may change the period lengths. This indicator’s definition is further expressed in the condensed code given in the calculation below.

How To Trade Using Ichimoku Kinko Hyo

If the Tenkan-Sen (TS) line crosses above the Kijun-Sen (KS) line, a buy signal will be generated. Conversely, if the TS line crosses below the KS line, a sell signal will be given.

Calculation

//period1 = user defined, default is 9 //period2 = user defined, default is 26 //period3 = user defined, default is 52

highest = highest(index, period, HIGH);
lowest = lowest(index, period, LOW);
TS = (highest+lowest)/2);
//Kijun-Sen
highest = highest(index, period2, HIGH);
lowest = lowest(index, period2, LOW);
KS = (highest+lowest)/2;
// Chikou Span
CS = getClose(index+period2)); //shift backward by period2
//Senkou Span B
highest = highest(index, period3, HIGH);
lowest = lowest(index, period3, LOW);
SSB[index+period2]=(highest+lowest)/2); //shift Forward by period2
//Senkou Span A
SSA[index+period2] = (TS+KS)/2; //shift forward by period2
//Signals
buy = crossedAbove(TS, KS);
sell = crossedBelow(TS, KS);

Information Ratio

The Information Ratio (IR) is also known as the Appraisal Ratio. It is designed to evaluate how well an investor is compensated for the risk taken. The higher the Information Ratio the better the instrument’s performance. The main ingredients are the current price and a prior price which are adjusted with the user-defined benchmark return. The average and standard deviation (SD) are calculated; and the IR is the average, minus the benchmark return, divided by the SD. The user must select linear bars but may change the input (close), period length and benchmark value. This indicator’s definition is further expressed in the condensed code given in the calculation below.

See also Information Ratio

How To Trade Using the Information Ratio

The Information Ratio may be used to evaluate an instrument’s performance. No trading signals are calculated.

Calculation

//input = price, user defined, default is close //period = p1, user defined, default is 30 //benchmark return = bmk, user defined, default is 5 percent //sma = simple moving average, sdDev = standard deviation //index = current bar number

BarSize bar = getBarSize();
if (bar.getType() == BarSizeType.LINEAR) barMin = bar.getInterval();
else return;
minPerYr = 60*24*30*12;
priorP = price[index-p1];
bmk = bmk /100;  //convert percent to decimal
barsPerYr = minPerYr/barMin;
bench = Math.pow((1 + (bmk)), p1/barsPerYr) - 1; //minium acceptable return/period compounded 
ret = (price/priorP)-1;
av  = sma(index, p1, RET);
std = sdDev(index, p1, RET)[0];
Plot: info = (av - bench) / std;

Inverse Fisher Transform

The Inverse Fisher Transform (IFISH) was authored by John Ehlers. The IFISH applies some math functions and constants to a weighted moving average (wma) of the relative strength index (rsi) of the closing price to calculate its oscillator position. The user may change the input (close) and period lengths. This indicator’s definition is further expressed in the condensed code given in the calculation below.

See also article by John Ehlers

How To Trade Using The Inverse Fisher Transform

Adjust the top and bottom guides to control the quantity and quality of the trading signals. IFISH values above .5 are considered to be overbought and therefore offer an opportunity to sell. IFISH values below -.5 are considered oversold and present an opportunity to buy. If the IFISH peaks above the top guide a sell signal will be generated. Conversely, if the IFISH troughs below the bottom guide a buy signal will be given. The 0 line divides the bulls above from the bears below.

Calculation

//input = price, user defined, default is closing price //method = moving average (ma), user defined, default is WMA //period1 = p1, user defined, default is 5 //period2 = p2, user defined, default is 9 //exp = function, returns Euler’s number (e) raised to power of its argument //av = average, index = current bar number

rsi = rsi(p1, input)[0];
value1 = .1 * (rsi - 50);
av = ma(method, index, p2, VALUE1);
Plot: ifish = (Math.exp(2*av) - 1) / (Math.exp(2*av) + 1);
 //Signals
prevI = ifish[index-1];
highSell = ifish for last sell signal, reset to max_negative at each  buy signal;
lowBuy = ifish for last buy signal, reset to max_positive at each sell signal;
sell = ifish moreThan topGuide  AND prevI moreThan ifish AND (ifish moreThan highSell);
buy =  ifish lessThan bottGuide AND prevI lessThan ifish AND (ifish lessThan lowBuy);

Inverse Fisher Cyber Cycle

The Inverse Fisher Cyber Cycle (ICYCLE) was authored by John Ehlers. The ICYCLE incorporates the current price, three previous prices, a user-defined alpha factor, Euler’s number and feedback to arrive at its value. The user may change the input (midpoint) and alpha. This indicator’s definition is further expressed in the condensed code given in the calculation below.

See also article by John Ehlers

How To Trade Using The Inverse Fisher Cyber Cycle

Adjust the top and bottom guides to control the quantity and quality of the trading signals. If the ICYCLE peaks above the top guide a sell signal will be generated. Conversely, if the ICYCLE troughs below the bottom guide a buy signal will be given. The 0 line divides the bulls above from the bears below.

Calculation

//input = price, user defined, default is midpoint //alpha = user defined, default is .07 //exp = function, returns Euler’s number (e) raised to power of its argument //prev = previous, index = current bar number

prevP1 = price[index-1];
prevP2 = price[index-2];
prevP3 = price[index-3];
smth = (price + 2*prevP1 + 2*prevP2 + prevP3) / 6;
default = (price - 2*prevP1 + prevP2) / 4;
prevS1 = smth[index-1];
prevS2 = snth[index-2];
prevC1 = ifNull(default, cycle[index-1]);
prevC2 = ifNull(default, cycle[index-2]);;
Plot1: cycle = (1 - .5*alpha)*(1 - .5*alpha) * (smth - 2*prevS1 + prevS2)+2*(1 - alpha)*prevC1 - (1- alpha)*(1-alpha)*prevC2;
Plot2: icycle = 100 * (Math.exp(2*cycle) -1) / (Math.exp(2*cycle) + 1);
 //Signals
prevI = icycle[index-1];
highSell = icycle for last sell signal, reset to max_negative at each  buy signal;
lowBuy = icycle for last buy signal, reset to max_positive at each sell signal;
sell = (icycle moreThan topGuide) AND (prevI moreThan icycle) AND (icycle moreThan highSell);
buy =  (icycle lessThan bottGuide) AND (prevI lessThan icycle) AND (icycle lessThan lowBuy);

Instantaneous Cycle Period Measurement

The Instantaneous Cycle Period Measurement was authored by John Ehlers; it is built upon his Hilbert Transform Indicator. The user may change the input (midpoint) and Hilbert period length. This indicator’s definition is further expressed in the condensed code given in the calculation below.

Click here for more information on Ehler’s indicators.

Click here for more information on the Hilbert Transform Indicator

How To Trade Using the Instantaneous Cycle Period Measurement

The Instantaneous Cycle Period measurement may be used in conjunction with other indicators. No trading signals are calculated in this study.

Calculation

//input = price, user defined, default is midpoint price //Hilbert period = user defined, default is 7 //quad = quadrature = imaginary part of complex number //inPhase = real part of complex number //index = current bar number

iMult = .635;
qMult = .338;

priorPrice = price[index-period];
//v1 = detrend price
v1 = price - priorPrice;

v2 = v1[index-2];      
v4 = v1[index-4];      

inPhase3 = inPhase[index-3];      
quad2 = quad[index-2];      

//Hilbert transform complex number components, inPhase (real part), quad (imaginary part)
inPhase = 1.25 * (v4 - (iMult*v2) + (iMult*inPhase3));
quad = v2 - (qMult*v1) + (qMult*quad2);

prevInPhase = inPhase[index-1];
prevQuad = quad[index-1];
if (Math.abs(inPhase + prevInPhase) moreThan 0) 
  phase = Math.atan(Math.abs((quad+prevQuad)/(inPhase+prevInPhase))); 
endif
if (inPhase lessThan 0 AND quad moreThan 0) phase = 180 - phase;
if (inPhase lessThan 0 AND quad lessThan 0) phase = 180 + phase;
if (inPhase moreThan 0 AND quad lessThan 0) phase = 360 - phase;
      
prevPhase = phase[index-1];
deltaPhase = prevPhase - phase;
      
if (prevPhase lessThan 90 AND phase moreThan 270) deltaPhase = 360 + prevPhase - phase;
if (deltaPhase lessThan 1) deltaPhase = 1;
if (deltaPhase moreThan 60) deltaPhase = 60;
      
instPeriod = 0;
for (int count = 0; count lessThan 51; count++)
    priorDP = deltaPhase[index-count];
    v4 = v4 + priorDP;
    if (v4 moreThan 360 AND instPeriod == 0) instPeriod = count;
endFor
   
if (instPeriod == 0) 
    instPeriod = instPeriod[index-1];
endIf
prevPeriod = period[index-1];
period = (.25 * instPeriod) + (.75 * prevPeriod);
Plot: period;

Instrument Graph

Instrument Graph displays a chosen instrument in a separate graph.

Instrument Ratio

Instrument Ratio computes the ratio between two instruments and displays it as a graph. The ratio is used to gauge the relative performance between two instruments, whether one instrument is outperforming or underperforming to the other, therefore, supporting trading decisions.

The calculation for this ratio is as follows: Instrument Ratio = Price of Instrument A / Price of Instrument B. If the ratio increases (uptrend), instrument A outperforms instrument B. If the ratio decreases (downtrend), instrument B outperforms instrument A.

The multiplier of an instrument ratio is a variable that can be customized to influence the trading strategy and risk exposure. Users can adjust the multipliers to generate different values for specific needs or preferences. Multiplier is useful when users want to take into account the differences in the unit sizes or measurements of two instruments.

How to trade using Instrument Ratio

The Instrument Ratio can be used in conjunction with other indicators.

If the ratio line is going upward, it indicates a buying opportunity for instrument A and a selling opportunity for instrument B. Conversely, if the ratio line is decreasing, traders might consider selling instrument A and buying instrument B.

Intraday Momentum Index (IMI)

Intraday Momentum Index (IMI) was developed by Tushar Chande and discussed in his book "The New Technical Trader", in 1994. The index combines elements of the Relative Strength Index (RSI) in conjunction with the candlestick analysis. Similar to the RSI, the IMI is an oscillator that tracks price momentums and helps identify overbought/oversold conditions. But as indicated in its name, IMI incorporates the intraday price movements (opening and closing prices in a day), rather than relying solely on the closing prices. Therefore, this indicator is particularly suitable for short-term or day traders.

The formula for IMI is as follows:

Where: In "n" chosen day (usually 14 days),

Gains = Closing price - Opening price, on Up Days = Close > Open;

Losses = Opening price - Closing price, on Down Days = Close < Open.

If the IMI is greater than 70, the market is considered overbought. If the IMI is less than 30, the market is experiencing oversold conditions.

How to trade using the Intraday Momentum Index (IMI)

Adjust the top and bottom guides to control the quantity and quality of the trading signals. IMI values above 70 are considered to be overbought and therefore offer an opportunity to sell. IMI values below 30 are considered oversold and present an opportunity to buy.

MotiveWave™ also provides the IMI graph with crossover lines. If the IMI line crosses above the Signal line, it indicates a bullish signal and might be a signal for buying. Conversely, if the IMI crosses below the Signal line, it represents a bearish signal and might be an opportunity for selling. The 50 line divides the bulls above from the bears below.

Traders can combine the crossovers and overbought/oversold conditions to generate more concise trading decisions. Particularly, a crossover that is in the overbought zone (above 70) illustrates a strong sign to sell. Meanwhile, if the crossover is in the oversold zone (below 30), it might be a reliable signal for traders to buy.

The IMI can be used in conjunction with other trading indicators, such as moving averages, trendlines or volume methods.

JRC Fractal Dimension

JRC Fractal Dimension was authored by Mark Jurik of Jurik Research. The JRCFD uses highest, lowest, maximums, minimums, logarithms, feedback and finally, a Simple Moving Average to fulfill its fractal dimension. The user may change the input (close), size, count, smooth period length and method (SMA). This indicator’s definition is further expressed in the condensed code given in the calculation below.

How To Trade Using JRC Fractal Dimension

JRC Fractal Dimension may be used in conjunction with other indicators. No trading signals are given.

Calculation

//input = price, user defined, default is close //size = user defined, default is 20 //count = user defined, default is 5 //smoothP = user defined, default is 5 //method = moving average (ma) = user defined, default is SMA //prev = previous, index = current bar number //log = natural logarithm

wind1 = (count - 1) * size;
wind2 = count * size;
nlog = Math.log(count);
highest = highest(index, size, high);
lowest = lowest(index, size, low);
priorC = price[index-size];
smallRange = Math.max(priorC, highest) - Math.min(priorC, lowest);
highest = highest(index, wind2, high);
lowest = lowest(index, wind2, low);
priorC = price[index-wind2];
bigRange = Math.max(priorC, highest) - Math.min(priorC, lowest);
prevSS = ifNull(smallRange, smallSum[index-1]);   //returns smallRange on first try
priorSR = smallRange[index-wind1];
smallSum = prevSS + smallRange - priorSR;
if(smallSum lessThan 0) return;
temp = Math.log(bigRange/(smallSum/wind1));
fd = 2 - (temp / nlog);
Plot: jrcfd = ma(method, index, smoothP, fd);