I question the well known alpha=2/(n+1) for a one pole EMA, as the assumption is that prices rise at one unit per bar.
Since when do prices do this?
I defer to the formula on page 161 of Rocket for determining cutoff, which is all that matters - not trying to compare with SMA, however noble that may appear to someone maybe not as pedantic as myself. As it turns out roughly OK within loose bounds - if near enough is good enough.
I have seen slightly different formulations of alpha somewhere which may go someway to correcting this, but I have forgotten.
One pole EMA cutoff = 12, say. Alpha is about 0.4.
Now, 2/(4+1) = 0.4. Cutoff of 4 bar SMA is about 8. Is 8 close to 12? Yes and no. But at these high "frequencies" I think it does matter a lot.
I have come a cross the term called '' Portmanteau Test(autocorrelation and variance ratio tests)'' which looks interesting: Portmanteau Test | the Statistics Glossary .Some interersting articles about the portmanteau test Using R in Algorithmic Trading: Testing whether an instrument follows a random walk | Mechanical Forex
Indian Stock Market: An Empirical Analysis of Informational Efficiency - Gourishankar S. Hiremath
Ehlers filter by Alexander Gettinger
Can someone convert this : https://www.mql5.com/en/forum to metatrader, please?
Prompt me please someone have a color version of this indicator?
Agat, sorry for the late answer, do you mean a color version of the fisher transform line(sorry if it seems like a dumb question, just want to be sure)?
Guess this would be a combination of Ehlers and Williams, this is an ift of adaptive super smoother wpr with mtf.
Yes, exactly.The signal line is not needed.
Also, I noticed that this indicator gives an error "Incorreсt start position for ArrayMaximum(Minimum) function".
That is a benign error (happens only on a first run or when time frame or symbol is changed, and does not affect the result. Anyway, here is a version without that message : ehlers_fisher_transform.mq4
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