All John Ehlers Indicators... - page 61

Mladen Rakic
201582
Mladen Rakic  

PS: here is a sine wave indicator that is made exactly as the original (found the tradestation code in the "Rocket science for traders" book) Now, you will find out that what Ehlers tells about since wave indicator and when you tray to apply it to forex time series are two different things. Also there are some versions that are using Cycle period to adjust the calculation of sine wave, but then all you get is nicer looking and smoother values that are making bigger mistakes

Attaching both the metatrader version as well as the tradestation version

In my opinion sine wave indicator should be disregarded. Hilbert homodyne discriminator on the other hand as a source for phase accumulation and then using that (with a couple of changes and deviations from Ehlers way of calculating it and using it) has proven to be very useful tool in adaptive indicators and we have been using it in quite a few indicators. So, even then it is not used directly, but indirectly as a modifier for some other indicators calculations. I do not see such a possibility for a sine wave indicator (the cycle period part can be used as a modifier but there are much better way to sue something similar to that than to try to use smoothing to make cycles more usable)

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To cut it short (after being long )

Try this out, but I think that you will see how wrong it can be. I saw one version from igorad using cycle period but that version is making those even bigger trend estimation errors and that was the reason why I never found interesting the Ehlers sine wave indicator for usage in trading. Anyway, try it out. Who knows. Maybe I am missing something

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PS: this version work in new metatrader 4 and does not need any external indicator to work

Files:
tampa
2047
tampa  

here is this version too

Files:
Mladen Rakic
201582
Mladen Rakic  

Adding these two simply as an experiment : one is Ehlers sine wave of rsi and the other is Ehlers sine wave of stochastic. Some toys to see if sine wave can be used on some other "price" sources than price itself and what would be the result of the original John Ehlers' code in such cases (as a kind of estimation of sine wave indicator usefulness)

pavaka
4411
pavaka  

Interesting...when compare it with SSA...

mladen:
Adding these two simply as an experiment : one is Ehlers sine wave of rsi and the other is Ehlers sine wave of stochastic. Some toys to see if sine wave can be used on some other "price" sources than price itself and what would be the result of the original John Ehlers' code in such cases (as a kind of estimation of sine wave indicator usefulness)
nigelphilpott99
26
nigelphilpott99  
hughesfleming:
Just my opinion here Nigel,

It is the 48 bar period limit that is going to kill you. If you look at the cycle extraction thread you will find tools to help you. The strongest cycles are a lot longer than 48 bars. Ehlers has this tendency to view longer period lengths as trends. He did the same thing with his Corona charts and everyone wonders why they don't work very well.

I think you are on the right track but this might not be the place to look.

Kind regards,

Alex

Edit: I would start by studying the Goerzel browser in the advanced Elite section and then manually tuning indicators to see how they react to different period lengths. I think this would be a better place to start than jumping head first into adaptive indicators. There is also a section on "Lookback indicators" that will be helpful.

Dear Alex.

Many thanks for your helpful advice.

Regards

Nigel

nigelphilpott99
26
nigelphilpott99  
fajst_k:
Length 48 can be optimized and changed, personally i tried the length up to 400 on 1 min chart.

This what he is calling 'roofing filter' is just band pass filter which passes the cycles in length

48-10 for example, this idea he started in 90ties to use it for trading, now it's just a new name.

Anyway I evaluated roofing filter and super smoother quite deeply. I have a AI system with 170

inputs so I tried 1st to smooth input series before preprocessing by SS than by roofing filter.

In 1st case profit factor was the same like without smoothing, in 2nd case PF

was ALWAYS LOWER than for raw data.

Than I had a deeper look at behaviour of roofing filter itself and discovered that it has very

strong tendency to overshoot, just plot it together with e.g. RSI and you will see what I mean.

This is very unwanted behavior which introduces extra noise and whispaw trades.

So most likely this and cutting off longer cycles was causing profit factor to fall. This system makes several thousands trades so results are significiant

Krzysztof

Dear Krzystof,

Many thanks for those findings. Can I ask if you have any preferred Ehler's indicators after that ? Also it is of course noting that an indicator, or indicators, alone do not a trading system make.

Regards

Nigel

krzysiaczek99
298
krzysiaczek99  
Nigel99:
Dear Krzystof,

Many thanks for those findings. Can I ask if you have any preferred Ehler's indicators after that ? Also it is of course noting that an indicator, or indicators, alone do not a trading system make.

Regards

Nigel

Sorry for late answer, just noticed it recently. At the moment no Ehler indis on my preference list

and believe me I studied his work quite deeply.

Almost all Ehler work assumes existing of cycles on high TF, Im trying to build strategies on 1min chart and can not find his filters working on 1min FOREX data but maybe on another data

with cycles it works.

Krzysztof

Boris
684
Boris  

Rocket Science for Traders

For everybody who likes ebooks, here is a download link for Rocket Science for Traders of J.Ehlers .

Boris
684
Boris  

Damiani RSTD_EnhancedSignal_to_Noise indi

Hi there, here is Mladen's fixed version of the Damiani RSTD_EnhancedSignal_to_Noise indi which is using the Hilbert Transformation ideas including the Homodyne_Discriminator described in Rocket Science for Traders.

fener1907
25
fener1907  
mrtools:
This is mama oscillator with a t3 signal dotted line the indicator is also compatible with newer mt4 builds.

thanks...nice work...