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Webinar: John Ehlers on Indicators for Effective Trading Strategies
Started:May 31st, 2013 (06:52 PM) by Big Mike Views / Replies:27,964 / 61
Last Reply:April 15th, 2015 (02:45 PM) Attachments:14

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Webinar: John Ehlers on Indicators for Effective Trading Strategies

Old January 22nd, 2015, 05:43 PM   #61 (permalink)
Patience my young padawan
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Roofing Filter or SuperSmoother as input data?

After watching Ehlers presentation one question came to mind:

1) Why would you extract the high frequencies to filter them afterwards?

2) Wouldn't it be easier to just apply the SuperSmoother directly to price and use it as input for Stochastics (or any other indicator) ?

I don't know if anyone has already tested and made a comparison between these two options. It is the underlying concept that I don't understand yet. Maybe someone with Signal Processing background has a good insight.


Last edited by ElChacal; January 23rd, 2015 at 04:02 PM.
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Old April 15th, 2015, 02:45 PM   #62 (permalink)
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disco391 View Post
Code for various platforms are in the Traders Tip section.
Specifically the Amibroker code for SuperSmoother function can be found here:

Amibroker 5.95 introduced the IIR (Impulse Response Filter), which should provide better performance than looping.
I am a rookie here so I can't provide a link to its readme -- too bad.

Please find the two functions ported.



PI = 3.1415926;
SQ2 = sqrt( 2 );

function SuperSmoother( array, periods )

c1 = SQ2 * PI / periods;
c2 = exp ( -c1 );
a1 = 2 * c2 * cos( c1 );
a2 = -c2^2;
b0 = (1 - a1 - a2)/2;
b1 = b0;

return IIR( Nz( array ), b0, a1, b1, a2 );

function HighpassFilter( array, periods )
alpha1 = ( cos( SQ2 * PI / periods ) + sin ( SQ2 * PI / periods ) - 1 ) / cos( SQ2 * PI / periods );

C1 = ( 1 - alpha1 / 2 ) ^ 2;
b0 = C1;
b1 = C1 * -2;
b2 = C1;
a1 = 2 * ( 1 - alpha1 );
a2 = - ( ( 1 - alpha1 ) ^ 2 );

return IIR( Nz( array ), b0, a1, b1, a2, b2 );

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