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Ehlers' Cycle Analytics for Traders


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Ehlers' Cycle Analytics for Traders

  #1 (permalink)
 Taggart 
Los Angeles, CA
 
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I thought I'd start this thread to discuss John Ehlers' new book, "Cycle Analytics for Traders". I just received my copy today and am already a fair way through (though it will likely take me several read throughs to comprehend). Shortly I will attempt to convert some of the EasyLanguage indicators accompanying the book into Ninjascript. Unfortunately I have only recently begun learning Ninjascript and C# and will likely need some help which leads me to some questions for Big Mike or any of the mods:

1. Can I post EasyLanguage files from the book in an effort to convert to Ninjascript or is that against the forum rules?
2. Are there any rules against discussing/sharing information from this or any book?

Once I get further along with things I will post my thoughts etc, but if any one else has read the book and would like to share their thoughts etc please feel free to do so here (assuming it is ok to do so).

Cheers,
Taggart

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 cory 
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Taggart View Post
...

1. Can I post EasyLanguage files from the book in an effort to convert to Ninjascript or is that against the forum rules?
....

search for attachment with his name yields this


yes you can post EL but in four year on here I didn't any translation from EL --> Ninja,maybe there was a few but nothing I can recall.

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 Zondor 
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I have already done quite a few of these conversions. It's generally pretty easy not only to convert them, but to optimize the code for efficient operation.

"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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 cory 
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Taggart View Post
...
Cheers,
Taggart

tip: click on name, select attachment upload by to see what is available.

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  #6 (permalink)
 Taggart 
Los Angeles, CA
 
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cory View Post
search for attachment with his name yields this .

@cory, thanks for the link but I'm talking about his newest indicators that were introduced in his book that was released in November 2013, Cycle Analytics for Traders. I have only seen the RoofingFilter indicator which John Ehlers provided during his webinar over the summer but haven't seen any other attachments on nexusfi.com (formerly BMT) or anywhere else. Included with the book is the easy language code for the following:

1. DeCycler
2. DeCycler Oscillator
3. Bandpass
4. ZeroCrossings
5. Hurst
6. RoofingFilter1Pole
7. RoofingFilter2Pole
8. RoofingFilter
9. MyStochastic
10. MyRSI
11. SyntheticPrices
12. Autocorrelation
13. Autocorrelation Periodogram
14. Autocorrelation Reversals
15. DFT
16. CombSpectrum
17. Adaptive RSI
18. Adaptive Stochastic
19. Adaptive CCI
20. Adaptive Bandpass
21. Even Better Sinewave
22. Convolution
23. Hilbert Classic
24. Hilbert Transform
25. Hilbert Analytic
26. Dual Differentiator
27. Phase Accumulator
28. Homodyne
29. SwamiChart RSI
30. SwamiChartsStochastic


Zondor View Post
I have already done quite a few of these conversions. It's generally pretty easy not only to convert them, but to optimize the code for efficient operation.

@Zondor, have you converted any of the above or were you making a general statement about converting .ELD to .CS? I am most interested in only a few of them mainly the Autocorrelation Periodogram, Adaptive Bandpass, Even Better Sinewave, DeCycler, and the Hilbert Transform.

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 cory 
virginia
 
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Taggart View Post
@cory, thanks for the link but I'm talking about his newest indicators that were introduced in his book that was released in November 2013, Cycle Analytics for Traders. I have only seen the RoofingFilter indicator which John Ehlers provided during his webinar over the summer but haven't seen any other attachments on nexusfi.com (formerly BMT) or anywhere else. Included with the book is the easy language code for the following:

1. DeCycler
2. DeCycler Oscillator
3. Bandpass
4. ZeroCrossings
5. Hurst
6. RoofingFilter1Pole
7. RoofingFilter2Pole
8. RoofingFilter
9. MyStochastic
10. MyRSI
11. SyntheticPrices
12. Autocorrelation
13. Autocorrelation Periodogram
14. Autocorrelation Reversals
15. DFT
16. CombSpectrum
17. Adaptive RSI
18. Adaptive Stochastic
19. Adaptive CCI
20. Adaptive Bandpass
21. Even Better Sinewave
22. Convolution
23. Hilbert Classic
24. Hilbert Transform
25. Hilbert Analytic
26. Dual Differentiator
27. Phase Accumulator
28. Homodyne
29. SwamiChart RSI
30. SwamiChartsStochastic



@Zondor, have you converted any of the above or were you making a general statement about converting .ELD to .CS? I am most interested in only a few of them mainly the Autocorrelation Periodogram, Adaptive Bandpass, Even Better Sinewave, DeCycler, and the Hilbert Transform.

search for theme here https://nexusfi.com/search/attachments/

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  #8 (permalink)
 
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 Zondor 
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The Hilbert Transform has been done already. I found a version floating around somewhere and modified it, changing the name to Hilbert Transform 2. Somebody should check the code. I just fixed a bug, and there could be others. The plot looks plausible.

HilbertTransform2.cs

I don't have the EzL code for any of the other new indicators from the recent book except for the Roofing Filter, which should be available on nexusfi.com (formerly BMT).

Hilbert Transform 2 is plotted in the bottom panel of the chart shown below. Note that the EMA in the price panel is for a time series (300T) other than that of the chart (100T). People call this a multi time frame mtf EMA (more accurately it is an ANY time frame, atf EMA). The time frames of the atf indicators can be based on minutes, seconds, or volume bars, not just on tick bars. I don't see any reason that this can't be done for Ehlers indicators.

Note that the two oscillator plots in Panel 2 are also based on a number of different time frames, none of which are those of the price series.




On this next chart, the time series is plotted using one of RJay's excellent, proprietary bar types, but the EMA is still based on the 300 Tick time series. The bottom panel has an Hilbert Sine Wave plot. This version of the Sine Wave is "powered by" the Hilbert Transform indicator and looks like it might actually be useful, unlike other versions I have seen.


"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
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  #9 (permalink)
 Taggart 
Los Angeles, CA
 
Experience: Advanced
Platform: NinjaTrader
Broker: AMP
Trading: ES
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This is my first attempt at programming a Ninjascript indicator, so be forewarned that there are likely some issues with it. Additionally, the code is sloppy and I welcome any suggestions on improvement. That being said, Ehlers introduces a tweak to his bandpass filter by incorporating Automatic Gain Control and Spectral Dilation Removal techniques. The indicator on its own isn't very useful, but when used with appropriate cycle length measuring tools can provide early reversal signals. Shortly I will attempt to port over the Autocorrelation Periodogram, which Ehlers believes offers the best way to measure cycle length. It is much more complicated, so I thought I would start off with the bandpass indicator to get my feet wet.



The attached .txt file is a copy of the EasyLanguage code for this indicator.

P.S. There are other, older versions of the Bandpass indicator floating around. I'm not sure of proper naming conventions so I went basic with it.

Attached Files
Elite Membership required to download: 5_1BandPass.txt
Elite Membership required to download: MyBandpass.zip
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 Zondor 
Portland Oregon, United States
 
Experience: Beginner
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I corrected two bugaboos that degrade performance with no benefit whatsoever:
  • Calculating on every tick values that only need to be calculated once per lifetime of indicator.
  • Calculating on every tick values that only need to calculated once per bar.

This drastically reduces the loading time and CPU load.

"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
Elite Membership required to download: JFEhlers Bandpass Filter.cs
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Last Updated on March 10, 2021


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