Yeah, definitely some promising results. I've been playing around with the Even Better Sine Wave indicator as the basis of a system. It has some potential I think, particularly in catching and sticking with a trend. Here's a description of the system:

Buy when the EBSW crosses over some lower threshold from below.
Sell when the EBSW crosses under some upper threshold from above.
Exit if the super-smoother filtered price crosses the 'decycler' or instantaneous trendline.

Here's the code:

Code:
// =====EHLERS' EVEN BETTER SINEWAVE SYSTEM=====

function run()
{
set(PARAMETERS+TICKS);
NumSampleCycles = 6; 

//High pass filter cyclic components whose periods are shorter than duration input
vars Price = series(price());
vars SmoothPrice = series(Smooth(Price, 10));
var Duration = optimize(40, 20, 70); //max length of trend trade
vars HP = series(HighPass1(Price, Duration));
plot("SmoothPrice", SmoothPrice, 0, ORANGE);

//Smooth with super smoother
vars Filter = series(Smooth(HP, 10));

//3-bar average of wave amplitude and power
vars Wave = series((Filter[0] + Filter[1] + Filter[2])/3);
vars Pwr = series((Filter[0]*Filter[0] + Filter[1]*Filter[1] + Filter[2]*Filter[2])/3);

//Normalize average wave amplitude to square root of the average power
vars ebsw = series(Wave[0]/sqrt(Pwr[0]));

////Decycler
var HPCutoff = optimize(40, 10, 60, 5);
vars HP = series(HighPass(SmoothPrice, HPCutoff));
vars Decycler = series(SmoothPrice[0] - HP[0]);
plot("Decycler", Decycler, 0, BLUE);

//Trade paramters
var threshold = optimize(0.8, 0.7, 0.95, 0.025);
vars Signals = series(0);

Stop = 4*ATR(20);

if (crossOver(ebsw, -threshold)) 
	enterLong();
if (crossUnder(ebsw, threshold)) 
	enterShort();
	
if (crossUnder(SmoothPrice, Decycler))
	exitLong();
if (crossOver(SmoothPrice, Decycler))
	exitShort();

plot("ebsw", ebsw, NEW, RED);
plot("up", threshold, 0, BLACK);
plot("down", -threshold, 0, BLACK);

}


Optimised performance on EUR/USD attached. As you can see, not tradeable in its current form, but it does give some timely trend trade signals. Notice that the losing periods are generally when the market is going sideways, or cycling. To me this suggests that somehow filtering these sideways periods could improve performance considerably.

What do you think? Any ideas?

Attached Files EBSW.png
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