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Ehlers Cycle Period Indicator
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Created: by kabakj Attachments:1

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Ehlers Cycle Period Indicator

  #1 (permalink)
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Ehlers Cycle Period Indicator

Does anyone know of a Ninja implementation of John Ehlers' Cycle Period Indicator?

I've searched this forum and the internet for it without success. However the code is freely available in EasyLanguage (link below), and looks pretty straightforward. I note an earlier thread here in 2010 to do this, but the project doesn't seem to have been completed. There are a couple of comments in this and also the Ninja Support Forum that this useful indicator is missed. Whether you use Ehlers' indicators or not, I've found the cycle period to be a useful starting point to set the period of many oscillator-type indicators.

A similarly useful and simple indicator to code, also available in EasyLanguage, is the Ehlers S/N Indicator, that tells you when NOT to trade - speaks for itself!

Any suggestions would be much appreciated - I'm a defecting MetaStock user and attempting to set up with NinjaTrader. Thanks much.

See first entry on this page for PDF download:
http://scholar.google.com/scholar?hl=en&lr=&q=related:AA4nwjBTvAcJ:scholar.googl...Ag&sqi=2&ved=0CDYQzwIwAA


Last edited by kabakj; January 15th, 2013 at 04:26 PM. Reason: Better link to doc.
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John's work...

all over the place on futures.io (formerly BMT) and net.

What are you looking for?

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Dear Wldman


As noted, Cycle Period and S/N Ratio. Thanks.

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Another Ehlers article

CCI – Making it better | Tucker Report

It's very straightforward to port over from EasyLanguage to Ninjascript.

However, most of the Ehlers implementations floating around out there are very, shall we say, naively coded. They include the typical beginner mistakes of failing to define reusable instances of external classes and calculating on every tick variables that only need to be calculated either once ONLY, or once per bar.

Which doesn't sound like something you would be interested in. Until you realize that the wasted CPU cycles contribute to Ninjatrader freezing up in fast markets.

"If we don't loosen up some money, this sucker is going down." -GW Bush, 2008
“Lack of proof that something is true does not prove that it is not true - when you want to believe.” -Humpty Dumpty, 2014
“The greatest shortcoming of the human race is our inability to understand the exponential function.”
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Last edited by Zondor; January 15th, 2013 at 05:21 PM.
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Zondor, Not conversant with either EasyLanguage or NinjaScript I can't do this myself.

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Example of Optimization of an Ehlers Indicator

The Ehlers MESA Moving average is a Ninjatrader System Indicator, @MAMA.

This code shows how it can be modified to run better, especially on CalculateOnBarClose false.

Because redundant intrabar ticks that would not affect the value of the output are filtered out, the number of OnBarUpdate cycles executed on COBC false is reduced by as much as 90%. Many of the variables only need to be calculated once per bar, instead of on every tick as in the original, so each of those cycles is cheaper to run.

These techniques can easily be applied to virtually all of the Ehlers indicators.

Since this is a system indicator and the modifications were obvious, I don't see a problem with making it freely available.

Special thanks to Bill Dyer and Wilbur Whately.

"If we don't loosen up some money, this sucker is going down." -GW Bush, 2008
“Lack of proof that something is true does not prove that it is not true - when you want to believe.” -Humpty Dumpty, 2014
“The greatest shortcoming of the human race is our inability to understand the exponential function.”
Prof. Albert Bartlett
Attached Files
Register to download File Type: cs MA MESA.cs (13.7 KB, 212 views)
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