I've been going through the papers at this Ehlers site: http://www.mesasoftware.com/technicalpapers.htm and came across a few filters and a couple of indicators which don't seem to be in Zorro yet (if they are, please let me know!). Consequently I've taken a stab at implementing them as a #include, code below. Where Ehlers had fixed values - f.i. cutoffs - I've used those values as the defaults for the parameter. Appreciate your review - both code quality and accuracy of implementation - & comments! Thanks.
HighPass Filter - parameters are Series and CutOff. Per Ehlers a 2-pole filter - Ehlers recommends no less than 2-pole to eliminate spectral dialation. Results are rather different than Zorro's HighPass...
SuperSmooth Filter - parameters are Series and CutOff. Results seem like Butterworth, but not exactly the same. Ehlers recommends CutOff no less than 10 as below that noise overwhelms the signal.
Roof Filter - cascade of the 2 above, so essentially a bandpass specifying the range of periods to pass rather than a width around a period (so why "Roof"? Don't know - maybe a signal processing term?) - parameters are the Series, High CutOff, and Low CutOff. Ehlers used 48 for the High CutOff...
FRAMA (Fractal Adaptive Moving Average) Filter - uses FractalDimension to adapt EMA - parameters are Series and Length.
Generalized Filter - parameters are Series, filter Coefficients, and Length.
Laguerre4RSI Indicator - RSI based on 4 period Laguerre time - parameters are Series and Gamma.
Stochastic Indicator - Roof Price, then Stochastic, finally SuperSmooth - parameters are Series, Length (for Stochastic), High CutOff, and Low CutOff (used for both the Roof and final SuperSmooth).
The examples Ehlers includes of the use of these are futures or particular stocks, so not directly reproducible on FXCM. His example methodology is 80%/20% crossovers, either after peak/valley as traditionally done, or pre-peak/valley to attempt prediction.
Probably not surprisingly , I haven't been able to get results as good as his, but here's a sample. I stuck with his 80/20 but tightened the Roof to 10 & the script below gave the attached result for SPX500.
Thanks Sundance. I haven't spent much time trying shorter BarPeriods because I was trying to emulate Ehlers' results and he said he was trading daily. But it's on the list...
Re: Some other Ehlers filters
[Re: DdlV]
#430053 09/23/1311:4809/23/1311:48
Thanks Ddlv - more for the reading and testing lists.
Sundance, I can find loads of profitable strategies, a few even perform better in backtest than my discretionary trading, but none that backtest better than the Zs.
I'm intrigued by Ehlers and all the signal processing stuff, but because I don't understand the maths, I'm still working through the old strategies and indicators. I can at least understand them!
I can understand you swing. The Zs are really good performing. I've studied computerscience and had some math lessons to learn but also for me its not that easy to understand the whole math behind Ehlers formulars. :-)
I think of combining a good old school strategy with some of the Ehlers filters
I've tryed to lower the BarPeriod but the results are really worse. It's surely not easy to create a consistent profitable strategy. When it would be so easy, everybody would do...
Re: Some other Ehlers filters
[Re: Sundance]
#430827 10/02/1320:0810/02/1320:08