Super bandpass filter - John Ehlers
July 17, 2016, 7:41 PM
Indicators
4 Comments
Here is the newest indicator by John Ehlers described in the new traders’tips of July 2016, like his other indicators this one is also a nearly-zero lag filter which is another attempt to filter out noises from high and low frequencies of market data.
John Ehlers describe the trading rules of this new indicator as this:
- Buy on the filter crossing above its -RMS line
- Short on the filter crossing below its RMS line
- Exit long when the filter either crosses below its RMS or crosses below -RMS (which signifies a false entry signal)
- Cover short when the filter either crosses above its -RMS or crosses above RMS (which signifies a false entry signal)
// parameters
flen = 40 //fast length
slen = 60 //slow length
if barindex>slen then
a1= 5/flen
a2= 5/slen
PB = (a1 - a2) * close + (a2*(1 - a1) - a1 * (1 - a2))* close[1] + ((1 - a1) + (1 - a2))*(PB[1])- (1 - a1)* (1 - a2)*(PB[2])
RMSa = summation[50](PB*PB)
RMSplus = sqrt(RMSa/50)
RMSminus = -RMSplus
endif
RETURN PB as "Pass band filter", RMSplus as "RMS+", RMSminus as "RMS-"
Download
Filename:
PRC_Superbandpass_filter.itf
Downloads:
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