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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

  #41 (permalink)
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Dear Big Mike,

Thanks for taking time to respond - I have watched the vid a few times. For the benefit of those of us like me, who are not as gifted as yourselves could anyone spell it out for me please! I did get the value of the Meas Cycle and Mesa Momentum indicators but having made contact with the technical support guys at stockspotter.com, they are proprietary only.

Thanks Nigel

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  #42 (permalink)
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Here are links to gapless versions of the SuperSmoother Filter and the Roofing Filter.

https://futures.io/ninjatrader-programming/4882-gapless-indicators-3.html#post355365
https://futures.io/ninjatrader-programming/4882-gapless-indicators-3.html#post355376

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  #43 (permalink)
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roofing filter and band pass filter


So is anybody able to explain difference between roofing filter and band pass filter which John Ehler was using some time ago ??? I tried a few strategies based on original band pass filter from John with no success...

Did anybody made any strategy which would use roofing filter and than make Walk Forward test ??

Krzysztof

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  #44 (permalink)
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SuperSmoother question

Hi,

I am having trouble with some super smoother code for Amibroker - it seems to adjust the amplitude of the orgininal arrray to be smoothed, which I don't believe should be the case? Here is my indicator code...unless I have made a msitake somewhere along the line, here is the afl:

function SuperSmooth(arr,period)
{

Filt = a1 = b1 = c1 = c2 = c3 =0;
a1 = exp(-1.414*3.14159 / period);
b1 = 2*a1*cos(1.1414*3.14159/period);
c2=b1;
c3 = -a1*a1;
c1 = 1 -c2 - c3;
Filt = (c1*(arr + Ref(arr,-1))/2) + c2*Ref(Filt,-1) + c3*Ref(Filt,-2);
return Filt;
}
smoothedClose = SuperSmooth(C,10);
Plot( smoothedClose, "smoothedClose", colorRed, styleLine );

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  #45 (permalink)
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PurelyRandom View Post
Hi,

I am having trouble with some super smoother code for Amibroker - it seems to adjust the amplitude of the orgininal arrray to be smoothed, which I don't believe should be the case? Here is my indicator code...unless I have made a msitake somewhere along the line, here is the afl:

function SuperSmooth(arr,period)
{

Filt = a1 = b1 = c1 = c2 = c3 =0;
a1 = exp(-1.414*3.14159 / period);
b1 = 2*a1*cos(1.1414*3.14159/period);
c2=b1;
c3 = -a1*a1;
c1 = 1 -c2 - c3;
Filt = (c1*(arr + Ref(arr,-1))/2) + c2*Ref(Filt,-1) + c3*Ref(Filt,-2);
return Filt;
}
smoothedClose = SuperSmooth(C,10);
Plot( smoothedClose, "smoothedClose", colorRed, styleLine );

The formula
 
Code
Filt = (c1*(arr + Ref(arr,-1))/2)  + c2*Ref(Filt,-1) + c3*Ref(Filt,-2);

looks strange to me. Where did you take that from?

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  #46 (permalink)
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I converted the EasyLanguage code myself from the presentation:

Easylanguage :

Filt = c1*(Close + Close[1])/2 + c2*Filt[1] + c3*Filt[2};

AFL:

Filt = (c1*(arr + Ref(arr,-1))/2) + c2*Ref(Filt,-1) + c3*Ref(Filt,-2);

Should be equivalent.

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  #47 (permalink)
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PurelyRandom View Post
I converted the EasyLanguage code myself from the presentation:

Easylanguage :

Filt = c1*(Close + Close[1])/2 + c2*Filt[1] + c3*Filt[2};

AFL:

Filt = (c1*(arr + Ref(arr,-1))/2) + c2*Ref(Filt,-1) + c3*Ref(Filt,-2);

Should be equivalent.

@PurelyRandom: I see. In my implementation of the 2-pole SuperSmoother filter I had used the formula published by John Ehlers in his book "Cybernetic Analysis for Stocks and Futures". It is slightly different from the formula used for the presentation. Maybe he has changed it since to stablize the current value while it is still unstable.

I cannot find any mistake in your formula.

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  #48 (permalink)
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Hi,

I'm using Fat Tails' roofing filter to identify the cycle components in price data. The way I understand it, the roofing filter parameter sets a maximum cycle length which then plots the cumulative effect of all cycles less than the parameter input. Rather than "roofing", I was wondering whether the code could be customized to bracket specific cycle lengths? For example, if I want to isolate the cumulative effect of all cycles 35-37, how could the code be modified to set a "floor" of 35 and a roof of 37? Is this possible?

Many thanks,
Joe

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  #49 (permalink)
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bluecrow View Post
Hi,

I'm using Fat Tails' roofing filter to identify the cycle components in price data. The way I understand it, the roofing filter parameter sets a maximum cycle length which then plots the cumulative effect of all cycles less than the parameter input. Rather than "roofing", I was wondering whether the code could be customized to bracket specific cycle lengths? For example, if I want to isolate the cumulative effect of all cycles 35-37, how could the code be modified to set a "floor" of 35 and a roof of 37? Is this possible?

Many thanks,
Joe

I would simply set the Roofing Filter parameters to 37/37 instead of 48/19 (default setting).

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  #50 (permalink)
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Thanks Fat Tails, appreciated it! Thanks for including the screenshot. I see there's a trade-off between setting the smoothing filter higher which increases the lag and leaving the default parameters as is. Are there any practical solutions that would reduce the lag inherent in the supersmooth filter?

Many thanks,
Joe

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