[blackcat] L2 Ehlers Recursive Median Oscillator

20 Ara 2020

Level: 2

Background

John F. Ehlers introuced Recursive Median Oscillator in Mar, 2018.

Function

In “Recursive Median Filters” in Mar, 2018, John Ehlers presented an approach for filtering out extreme price and volume data that could throw off typical averaging calculations. Dr. Ehlers’ line in digital signal processing extends to removing extreme spikes in financial data, but utilizing the median average value in the recursive filter calculations. By removing these extremities, the actual extremities that occur in the underlying data may be better determined. Ehlers goes on to present a novel oscillator using this technique, comparing its response to the well-known RSI. He notes that by being able to smooth the data with the least amount of lag, the recursive median oscillator may give the trader a better view of the bigger picture.

The recursive median filter (RMF) ignores the spiking-types of the price noise. RMF uses an exponential moving average of the five-period median of the source data to produce a smoothing of the signal while avoiding spikes. The recursive median oscillator (RMO) is an oscillator built along the same principles. The RMO has less lag and a faster response to the larger moves in the price data.


Key Signal

RMO --> Ehlers Recursive Median Oscillator fast line
RMO[2] --> Ehlers Recursive Median Oscillator slow line


Pros and Cons

100% John F. Ehlers definition translation, even variable names are the same. This help readers who would like to use pine to read his book.

Remarks

The 89th script for Blackcat1402 John F. Ehlers Week publication.


Readme

In real life, I am a prolific inventor. I have successfully applied for more than 60 international and regional patents in the past 12 years. But in the past two years or so, I have tried to transfer my creativity to the development of trading strategies. Tradingview is the ideal platform for me. I am selecting and contributing some of the hundreds of scripts to publish in Tradingview community. Welcome everyone to interact with me to discuss these interesting pine scripts.

The scripts posted are categorized into 5 levels according to my efforts or manhours put into these works.

Level 1 : interesting script snippets or distinctive improvement from classic indicators or strategy. Level 1 scripts can usually appear in more complex indicators as a function module or element.

Level 2 : composite indicator/strategy. By selecting or combining several independent or dependent functions or sub indicators in proper way, the composite script exhibits a resonance phenomenon which can filter out noise or fake trading signal to enhance trading confidence level.

Level 3 : comprehensive indicator/strategy. They are simple trading systems based on my strategies. They are commonly containing several or all of entry signal, close signal, stop loss, take profit, re-entry, risk management, and position sizing techniques. Even some interesting fundamental and mass psychological aspects are incorporated.

Level 4 : script snippets or functions that do not disclose source code. Interesting element that can reveal market laws and work as raw material for indicators and strategies. If you find Level 1~2 scripts are helpful, Level 4 is a private version that took me far more efforts to develop.

Level 5 : indicator/strategy that do not disclose source code. private version of Level 3 script with my accumulated script processing skills or a large number of custom functions. I had a private function library built in past two years. Level 5 scripts use many of them to achieve private trading strategy.