Ehlers Detrended Leading Indicator

• 05/04/2019 at 11:06 AM #97658
  AlgoAlex

  The Detrended Ehlers Leading Indicator(DELI) was authored by Jon Ehlers (See “MESA and Trading Market Cycles” by John Ehlers).

   

  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.

  I translated the code found here: https://www.motivewave.com/studies/detrended_ehlers_leading_indicator.htm

   

  //Detrended Ehlers Leading Indicator //by AlexF //period=14 if high>high[1] then prevhigh=high endif if low<low[1] then prevlow=low endif price=(prevhigh+prevlow)/2 if barindex>2 then alpha=2/(period+1) else alpha=.67 endif alpha2=alpha/2 ema1=(alpha*price)+((1-alpha)*Ema1) ema2=((alpha2)*price)+((1-alpha2)*Ema2) dsp=ema1-ema2 temp=(alpha*dsp)+((1-alpha)*temp) deli=dsp-temp return deli as "DELI", 0 as "ZERO"

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  //Detrended Ehlers Leading Indicator //by AlexF     //period=14 if high>high[1] then prevhigh=high endif if low<low[1] then prevlow=low endif price=(prevhigh+prevlow)/2   if barindex>2 then alpha=2/(period+1) else alpha=.67 endif alpha2=alpha/2   ema1=(alpha*price)+((1-alpha)*Ema1) ema2=((alpha2)*price)+((1-alpha2)*Ema2) dsp=ema1-ema2   temp=(alpha*dsp)+((1-alpha)*temp) deli=dsp-temp         return deli as "DELI",  0 as "ZERO"

   

  1 user thanked author for this post.

  Nicolas

  

  AlgoAlex

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  05/09/2019 at 3:54 PM #98094
  Nicolas

  Great work, you should submit it to the library! Submit code to the library

  

  Nicolas

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  05/09/2019 at 4:18 PM #98098
  AlgoAlex

  Nicolas,

  I already submitted it!

  It’s still in pending approval.

  

  AlgoAlex

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  05/09/2019 at 4:38 PM #98099
  Nicolas

  oh sorry, I’m back from leave and did not check that yet. Will do asap. Thank you!

  

  Nicolas

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