Ehlers MESA Adaptive Moving Average [LazyBear]Another one to add to Ehlers collection.
The MESA Adaptive Moving Average (MAMA) adapts to price movement based on the rate of change of phase as measured by the Hilbert Transform Discriminator. This method features a fast attack average and a slow decay average so that composite average rapidly ratchets behind price changes and holds the average value until the next ratchet occurs. Consider FAMA (Following AMA) as the signal.
Here are some of the options:
Fill MAMA/FAMA region (ribbon mode):
Mark Crossovers:
The above options (along with the bar colors) allow this to be used as a standalone system.
BTW, John Ehlers calls MAMA, "Mother of all Adaptive Moving Averages", lemme know what you think :)
More info:
- MESA Adaptive Moving Average, Stocks and Commodities Magazine, August 2001
- MAMA: www.mesasoftware.com
List of my public indicators: bit.ly
List of my app-store indicators: blog.tradingview.com
Ehlers
Ehlers Simple Cycle Indicator [LazyBear]One of the early cycle indicators from John Ehlers.
Ehlers suggests using this with ITrend (see linked PDF below). Osc/signal crosses identify entry/exit points.
Options page has the usual set of configurable params.
More info:
- Simple Cycle Indicator: www.mesasoftware.com
List of my public indicators: bit.ly
List of my app-store indicators: blog.tradingview.com
Ehlers Instantaneous Trend [LazyBear]One more to add to the Ehlers collection.
Ehlers Instantaneous Trendline, by John Ehlers, identifies the market trend by doing removing cycle component. I think, this simplicity is what makes it attractive :) To understand Ehlers's thought process behind this, refer to the PDF linked below.
There are atleast 6 variations of this ITrend. This version is from his early presentations.
Is this better than a simple HMA? May be, May be not. I will leave it to you to decide :)
I have added options to show this as a ribbon, and to color bars based on ITrend. Check out the options page.
More info:
- ITrend: www.mesasoftware.com
List of my public indicators: bit.ly
List of my app-store indicators: blog.tradingview.com
Ehlers Center of Gravity Oscillator [LazyBear]As part of my "Ehler's Indicators week", here's one more.
CG Oscillator, by John Ehlers, provides a smoothed, essentially zero lag oscillator for identifying market turning points. The "CG" in the name of the oscillator refers to "Center Of Gravity" of the prices over the window of observation.
Entry/Exit are based on the osc/signal crossovers. Enabling the "Color bars" options helps in easily identifying crossovers.
More info:
- CG osc (pdf): www.mesasoftware.com
- TASC Article: traders.com
- Cybernetic Analysis for Stocks and Futures (Ehlers, 2004)
List of my public indicators: bit.ly
List of my app-store indicators: blog.tradingview.com
Ehlers Cyber Cycle Indicator [LazyBear]The Cyber Cycle Indicator, developed by John Ehlers, is used for isolating the cycle component of the market from its trend counterpart. Unlike other oscillators like RSI, Cyber Cycle Indicator's wave has a variable amplitude.
Use the osc/signal crossover for entry/exit points. You can enable highlighting the crossovers by using region fills (via options page). I have also added an option to color the bars based on this.
Actually I have lot of Ehlers indicators in my to-publish backlog, will try to prioritize them over the others in the pipeline. Lets have an Ehlers week for indicators :)
More info:
Cybernetic Analysis for Stocks and Futures
List of my public indicators: bit.ly
List of my app-store indicators: blog.tradingview.com
Ehlers Universal Oscillator [LazyBear]Universal Oscillator by Mr. Ehlers is an evolution of his SuperSmoother filter. The new indicator follows the swings in price without introducing extra delay.
It is controlled through one single input – the band edge – which basically is frequency. The smaller it is set, the less lag there is, but you may see lot of whipsaws. Built-in automatic gain control normalizes the output to vary between the range of -1 to +1.
Mr. Ehlers suggests a straightforward system:
- Buy when long-term Universal Oscillator crosses above zero
- Sell when long-term Universal Oscillator crosses below zero
I have added options to draw a signal line, histogram and bar coloring. Bar coloring, if enabled, is done using the histogram color, but you can change it easily to signal_cross by uncommenting a line (check the source).
More info:
Whiter is Brighter - Ehlers
List of my other indicators:
- GDoc: docs.google.com
- Chart:
Ehlers Smoothed Stochastic & RSI with Roofing FiltersRoofing filters, first discussed by Mr.John Ehlers, act as a passband, filtering out unwanted noise from market data and accentuating turning points.
I have included 2 indicators with filters enabled. Both support double smoothing via options page. All the parameters are configurable.
Info on Roofing Filter and Ehlers Super Smoother:
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The Ehlers' Roofing Filter is an expansion on Ehlers Super Smoother Filter, both being smoothing techniques based on analog filters. This filter aims at reducing noise in price data.
In Super Smoother Filter, regardless of the time frame used, all waves having cycles of less than 10 bars are considered noise (customizable via options page). The Roofing Filter uses this principle, however, it also creates a so-called "roof" by eliminating wave components having cycles greater than 48 bars which are perceived as "spectral dilation". Thus, the filter only passes those spectral components whose periods are between 10 and 48 bars. This technique noticeably reduces indicator lag and also helps assess turning points more accurately.
More info:
- Spectral dilation paper: www.mesasoftware.com
- John Ehlers presentation: www.youtube.com
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If you want to use RSI %B and Bandwidth, follow this guide to "Make mine" this chart and get access to the source:
drive.google.com
For the complete list of my indicators, check this post:
Fisher Transform Indicator by Ehlers - Strategy Market prices do not have a Gaussian probability density function
as many traders think. Their probability curve is not bell-shaped.
But trader can create a nearly Gaussian PDF for prices by normalizing
them or creating a normalized indicator such as the relative strength
index and applying the Fisher transform. Such a transformed output
creates the peak swings as relatively rare events.
Fisher transform formula is: y = 0.5 * ln ((1+x)/(1-x))
The sharp turning points of these peak swings clearly and unambiguously
identify price reversals in a timely manner.
Fisher Transform Indicator by Ehlers Market prices do not have a Gaussian probability density function
as many traders think. Their probability curve is not bell-shaped.
But trader can create a nearly Gaussian PDF for prices by normalizing
them or creating a normalized indicator such as the relative strength
index and applying the Fisher transform. Such a transformed output
creates the peak swings as relatively rare events.
Fisher transform formula is: y = 0.5 * ln ((1+x)/(1-x))
The sharp turning points of these peak swings clearly and unambiguously
identify price reversals in a timely manner.
D_ELI (Ehlers Leading Indicator) This Indicator plots a single
Daily DSP (Detrended Synthetic Price) and a Daily ELI (Ehlers Leading
Indicator) using intraday data.
Detrended Synthetic Price is a function that is in phase with the dominant
cycle of real price data. This one is computed by subtracting a 3 pole Butterworth
filter from a 2 Pole Butterworth filter. Ehlers Leading Indicator gives an advanced
indication of a cyclic turning point. It is computed by subtracting the simple
moving average of the detrended synthetic price from the detrended synthetic price.
Buy and Sell signals arise when the ELI indicator crosses over or under the detrended
synthetic price.
See "MESA and Trading Market Cycles" by John Ehlers pages 64 - 70.
