Nuevo indicador de Ehler Voss predictive filter

• 10/13/2019 at 8:22 AM #110043
  groelandes

  En el número de agosto Ehler de la revista Stocks and Commodities Ehler ha publicado un nuevo indicador que parece muy interesante, el Voss predictive Filter. Ya está en muchas otras plataformas. ¿Sería posible programarlo para ProRealTime?

  Este es el código de esaylenguaje que da el autor

  Inputs: Period(20), Predict(3); Vars: Order(0), F1(0), G1(0), S1(0), Bandwidth(.25), count(0), SumC(0), Filt(0), Voss(0); If CurrentBar = 1 Then Begin Order = 3*Predict; F1 = Cosine(360 / Period); G1 = Cosine(Bandwidth*360 / Period); S1 = 1 / G1 - SquareRoot( 1 / (G1*G1) - 1); End; //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 CurrentBar <= 5 Then Filt = 0; //Compute Voss predictor SumC = 0; For count = 0 to Order - 1 Begin SumC = SumC + ((count + 1) / Order)*Voss[Order - count]; End; Voss = ((3 + Order) / 2)*Filt - SumC; Plot1(Filt); Plot2(Voss);

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  Inputs: Period(20), Predict(3); Vars: Order(0), F1(0), G1(0), S1(0), Bandwidth(.25), count(0), SumC(0), Filt(0), Voss(0); If CurrentBar = 1 Then Begin Order = 3*Predict; F1 = Cosine(360 / Period); G1 = Cosine(Bandwidth*360 / Period); S1 = 1 / G1 - SquareRoot( 1 / (G1*G1) - 1); End; //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 CurrentBar <= 5 Then Filt = 0; //Compute Voss predictor SumC = 0; For count = 0 to Order - 1 Begin SumC = SumC + ((count + 1) / Order)*Voss[Order - count]; End; Voss = ((3 + Order) / 2)*Filt - SumC; Plot1(Filt); Plot2(Voss);

   

  Y esta es la versión de tradingview

  // A Peek Into the Future // John F. Ehlers // TASC Aug 2019 // Created by e2e4mfck for tradingview.com //@version=4 title = "Voss Predictive Filter" shorttitle = "VPF" version = "" study (title = title + version, shorttitle = "VPF", overlay = false) // - - - - - Inputs - - - - - // Source = input(close, type = input.source) Period = input(20, type = input.integer) Predict = input(3, type = input.integer) Bandwidth = input(0.25, type = input.float) // - - - - - Function - - - - - // f_VossFilt (_period, _predict, _bandwidth, _source) => float _filt = 0, float _sumC = 0, float _voss = 0 _PI = 2 * asin(1) _order = 3 * _predict _f1 = cos(2 * _PI / _period) _g1 = cos(_bandwidth * 2 * _PI / _period) _s1 = 1 / _g1 - sqrt(1 / (_g1 * _g1) - 1) _s2 = 1 + _s1 _s3 = 1 - _s1 _x1 = _source - _source[2] _x2 = (3 + _order) / 2 for _i = 0 to (_order - 1) _sumC := _sumC + ((_i + 1) / _order) * _voss[_order - _i] if bar_index <= _order _filt := 0 _voss := 0 else _filt := 0.5 * _s3 * _x1 + _f1 * _s2 * _filt[1] - _s1 * _filt[2] _voss := _x2 * _filt - _sumC [_voss, _filt] // - - - - - Declaration - - - - - // [Voss, Filt] = f_VossFilt(Period, Predict, Bandwidth, Source) // - - - - - Plot - - - - - // plot(Filt, title = "Filter", style = plot.style_line, color = color.red, linewidth = 2) plot(Voss, title = "Voss", style = plot.style_line, color = color.blue, linewidth = 2) hline(0.0, title = "Zero", linestyle = hline.style_dashed, color = color.black, linewidth = 1)

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  // A Peek Into the Future // John F. Ehlers // TASC Aug 2019 // Created by e2e4mfck for tradingview.com   //@version=4   title = "Voss Predictive Filter" shorttitle = "VPF" version = ""   study (title = title + version, shorttitle = "VPF", overlay = false)   // - - - - - Inputs - - - - - //   Source = input(close, type = input.source) Period = input(20, type = input.integer) Predict = input(3, type = input.integer) Bandwidth = input(0.25, type = input.float)   // - - - - - Function - - - - - //   f_VossFilt (_period, _predict, _bandwidth, _source) => float _filt = 0, float _sumC = 0, float _voss = 0 _PI = 2 * asin(1) _order = 3 * _predict _f1 = cos(2 * _PI / _period) _g1 = cos(_bandwidth * 2 * _PI / _period) _s1 = 1 / _g1 - sqrt(1 / (_g1 * _g1) - 1) _s2 = 1 + _s1 _s3 = 1 - _s1 _x1 = _source - _source[2] _x2 = (3 + _order) / 2   for _i = 0 to (_order - 1) _sumC := _sumC + ((_i + 1) / _order) * _voss[_order - _i]   if bar_index <= _order _filt := 0 _voss := 0 else _filt := 0.5 * _s3 * _x1 + _f1 * _s2 * _filt[1] - _s1 * _filt[2] _voss := _x2 * _filt - _sumC   [_voss, _filt]   // - - - - - Declaration - - - - - //   [Voss, Filt] = f_VossFilt(Period, Predict, Bandwidth, Source)   // - - - - - Plot - - - - - //   plot(Filt, title = "Filter", style = plot.style_line, color = color.red, linewidth = 2) plot(Voss, title = "Voss", style = plot.style_line, color = color.blue, linewidth = 2) hline(0.0, title = "Zero", linestyle = hline.style_dashed, color = color.black, linewidth = 1)

   

  Muchas gracias y saludos.

  

  groelandes

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  10/14/2019 at 12:22 PM #110129
  Nicolas

  Hice la conversión del filtro predictivo de Voss, puede encontrarlo aquí: Filtro predictivo de Voss (VPF)

  

  Nicolas

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  10/15/2019 at 9:04 AM #110174
  groelandes

  Muchísimas gracias Nicolás. Kaufman en el número siguiente de Stocks and Commodities dijo, que solo había que hacer caso a las señales que llegarán alos niveles fuertes por arriba y por debajo. Saludos y gracias de nuevo.

  

  groelandes

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