Voss Predictive Filter (VPF)

The Voss Predictive Filter by John Ehlers is a new filter indicator that could help signal cyclical turning points in markets. As described by the author, the filter has a negative group delay and while an indicator based on it cannot actually see into the future, it may provide the trader with signals in advance of other indicators.

//PRC_Voss Predictive Filter (VPF) | indicator
//14.10.2019
//Nicolas @ www.prorealcode.com
//Sharing ProRealTime knowledge

// --- settings 
Period=20
Predict=3
Bandwidth=0.25
// --- end of settings 

if barindex>Period then
 Order = 3*Predict
 F1 = Cos(360 / Period)
 G1 = Cos(Bandwidth*360 / Period)
 S1 = 1 / G1 - Sqrt( 1 / (G1*G1) - 1)

 //Band Limit the input data with a wide band BandPass Filter
 Filt = .5*(1 - S1)*(Close - Close[2]) + F1*(1 + S1)*Filt[1] - S1*Filt[2]
 If barindex <= 5 Then
  Filt = 0
 endif
 //Compute Voss predictor
 SumC = 0
 For count = 0 to Order - 1 do
  SumC = SumC + ((count + 1) / Order)*Voss[Order - count]
 next

 Voss = ((3 + Order) / 2)*Filt - SumC
endif

return Filt coloured(255,0,0),Voss coloured(30,144,255)

//PRC_Voss Predictive Filter (VPF) | indicator

//14.10.2019

//Nicolas @ www.prorealcode.com

//Sharing ProRealTime knowledge

// --- settings

Period=20

Predict=3

Bandwidth=0.25

// --- end of settings

if barindex>Period then

Order = 3*Predict

F1 = Cos(360 / Period)

G1 = Cos(Bandwidth*360 / Period)

S1 = 1 / G1 - Sqrt( 1 / (G1*G1) - 1)

//Band Limit the input data with a wide band BandPass Filter

Filt = .5*(1 - S1)*(Close - Close[2]) + F1*(1 + S1)*Filt[1] - S1*Filt[2]

If barindex <= 5 Then

Filt = 0

endif

//Compute Voss predictor

SumC = 0

For count = 0 to Order - 1 do

SumC = SumC + ((count + 1) / Order)*Voss[Order - count]

Voss = ((3 + Order) / 2)*Filt - SumC

endif

return Filt coloured(255,0,0),Voss coloured(30,144,255)

Ehlers filter john ehlers

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No information on this site is investment advice or a solicitation to buy or sell any financial instrument. Past performance is not indicative of future results. Trading may expose you to risk of loss greater than your deposits and is only suitable for experienced investors who have sufficient financial means to bear such risk.

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