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Webinar: John Ehlers on Indicators for Effective Trading Strategies
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Webinar: John Ehlers on Indicators for Effective Trading Strategies

  #31 (permalink)
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Big Mike View Post
Also @slickiam posted a Sierra version here as well:

https://futures.io/sierra-chart/27708-roofing-filter-study.html

Mike

Hi Guys and Girls
Still missingthe working Easy Language Code for Multicharts of this great webinar form John and Mike.
Any Body out there to code it for this great Trading Software of the still existing MC-Community @futures.io (formerly BMT)?
Thank you a lot for providing the "SuperSmother" and "Two Pool Highpass Filter"
Happy trading


Last edited by RoboTrade; June 19th, 2013 at 09:38 AM.
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  #32 (permalink)
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RoboTrade View Post
Hi Guys and Girls
Still missingthe working Easy Language Code for Multicharts of this great webinar form John and Mike.
Any Body out there to code it for this great Trading Software of the still existing MC-Community @futures.io (formerly BMT)?
Thank you a lot for providing the "SuperSmother" and "Two Pool Highpass Filter"
Happy trading

OK, here we are:

Attached Files
Register to download File Type: pla RoofingFilter.pla (3.2 KB, 31 views)
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  #33 (permalink)
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RoboTrade View Post
OK, here we are:

There is a small inconsistency in the code provided by J.Ehlers and yours; @RoboTrade in the line 18 you have declared a fix value once but later the same value is used as a "BarPeriod" which in fact is a previously declared input.

Your:
 
Code
alpha1 = (Cosine(.707*360 / 48) + Sine (.707*360 / BarPeriod) - 1) / Cosine(.707*360 / BarPeriod);
It should be:

 
Code
alpha1 = (Cosine(.707*360 / BarPeriod) + Sine (.707*360 / BarPeriod) - 1) / Cosine(.707*360 / BarPeriod);

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  #34 (permalink)
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teyano View Post
There is a small inconsistency in the code provided by J.Ehlers and yours; @RoboTrade in the line 18 you have declared a fix value once but later the same value is used as a "BarPeriod" which in fact is a previously declared input.

Your:
 
Code
alpha1 = (Cosine(.707*360 / 48) + Sine (.707*360 / BarPeriod) - 1) / Cosine(.707*360 / BarPeriod);
It should be:

 
Code
alpha1 = (Cosine(.707*360 / BarPeriod) + Sine (.707*360 / BarPeriod) - 1) / Cosine(.707*360 / BarPeriod);

I have noticed the same little bug in the Ehlers paper that can be found here:

www.mesasoftware.com/Seminars/SpectralDilation.pdf‎

The litte bug appears on page 16. Actually 48 is the default value for the bar period. It should be an input variable, so that it can be changed according to requirements.

I think that the formula shown during the webinar was correct.

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  #35 (permalink)
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teyano View Post
There is a small inconsistency in the code provided by J.Ehlers and yours; @RoboTrade in the line 18 you have declared a fix value once but later the same value is used as a "BarPeriod" which in fact is a previously declared input.

Your:
 
Code
alpha1 = (Cosine(.707*360 / 48) + Sine (.707*360 / BarPeriod) - 1) / Cosine(.707*360 / BarPeriod);
It should be:
alpha1 = (Cosine(.707*360 / BarPeriod) + Sine (.707*360 / BarPeriod) - 1) / Cosine(.707*360 / BarPeriod);

Ups, you are right! Below a new attempt:

 
Code
{
Roofing filter
? 2013 John F. Ehlers

19.062013 Derived to play around with some inputs by RoboTrade
}

Input: Proceed(Close),BandEdge (10), BarPeriod (48);

Vars:
alpha1(0),
HP(0),
a1(0),
b1(0),
c1(0),
c2(0),
c3(0),
Filt(0),
Filt2(0);

//Highpass filter cyclic components whose periods are shorter than 48 bars
alpha1 = (Cosine(.707*360 / BarPeriod) + Sine (.707*360 / BarPeriod) - 1) / Cosine(.707*360 / BarPeriod);
HP = (1 - alpha1 / 2)*(1 - alpha1 / 2)*(Proceed - 2*Proceed[1] + Proceed[2]) + 2*(1 -
alpha1)*HP[1] - (1 - alpha1)*(1 - alpha1)*HP[2];

//Smooth with a Super Smoother Filter
a1 = expvalue(-1.414*3.14159 /BandEdge);
b1 = 2*a1*Cosine(1.414*180 / BandEdge);
c2 = b1;
c3 = -a1*a1;
c1 = 1 - c2 - c3;
Filt = c1*(HP + HP[1]) / 2 + c2*Filt[1] + c3*Filt[2];
Plot1(Filt);
Plot2(0);
Multicharts version see attachment.

Attached Files
Register to download File Type: pla RoofingFilter_V2.pla (3.5 KB, 35 views)

Last edited by RoboTrade; June 20th, 2013 at 03:11 AM.
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  #36 (permalink)
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@Fat Tails,

The formula shown during the webinar ( 23:32 ) show these values as a fixed ones. Presumably to simplify the core idea behind it.

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teyano View Post
@Fat Tails,

The formula shown during the webinar ( 23:32 ) show these values as a fixed ones. Presumably to simplify the core idea behind it.

Thank you for checking it. In that case a lookback period should be introduced with a default setting of 48 that can be changed by the user if needed.

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  #38 (permalink)
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Thanks everyone for contributing to a complex area

I was wondering if anyone could help me with the following:

1. I have read and researched pretty fully Mr Ehlers books and indicators and have to be impressed by the math. But one single issue plagues me. That is, there are way too many indicators with different names - I have collected more than 30. I operate MT4 and trade forex, and would really like to know which one or two I should use as the "best"

2. My second plea for help is - accepting 1. above, Mr Ehlers seemed to use the MESA Cycle and the MESA Momentum indicators together in the video posted here. Without any consideration of the plethora of other indicators one might assime that these two are a good bet to represent the "best". If that is the case does anyone have MT4 versions of thse indicators that they might consider sharing ?

Many thanks

Nigel

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Thanks for those comments re Mr Ehler's new site. Back to my earlier quest though, faced with so many Ehlers Indicators, have any of you wiser and more experienced traders been able to perform any assessments and thence down-selected an indicator of preference for "least lag", "greatest accuracy" indication of a reversal swing point ? I trade 15Min (with entry on 1min) for EURUSD, AUDUSD, USDJPY, FTSE100 and DAX30. Any suggestions for a best of breed indicator among the many in Mr Ehler's inventory would be very much appreciated.

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nigel View Post
Thanks for those comments re Mr Ehler's new site. Back to my earlier quest though, faced with so many Ehlers Indicators, have any of you wiser and more experienced traders been able to perform any assessments and thence down-selected an indicator of preference for "least lag", "greatest accuracy" indication of a reversal swing point ? I trade 15Min (with entry on 1min) for EURUSD, AUDUSD, USDJPY, FTSE100 and DAX30. Any suggestions for a best of breed indicator among the many in Mr Ehler's inventory would be very much appreciated.

If you watch the webinar he answered that more or less.

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