Ehlers Smoothed Stochastic & RSI with Roofing Filters

lazybear custom indicators stochastic relativestrengthindex ehlers filter

Roofing filters, first discussed by Mr.John Ehlers, act as a passband, filtering out unwanted noise from market data and accentuating turning points.

I have included 2 indicators with filters enabled. Both support double smoothing via options page. All the parameters are configurable.

Info on Roofing Filter and Ehlers Super Smoother:
----------------------------------------------------
The Ehlers' Roofing Filter is an expansion on Ehlers Super Smoother Filter, both being smoothing techniques based on analog filters. This filter aims at reducing noise in price data.

In Super Smoother Filter, regardless of the time frame used, all waves having cycles of less than 10 bars are considered noise (customizable via options page). The Roofing Filter uses this principle, however, it also creates a so-called "roof" by eliminating wave components having cycles greater than 48 bars which are perceived as "spectral dilation". Thus, the filter only passes those spectral components whose periods are between 10 and 48 bars. This technique noticeably reduces indicator lag and also helps assess turning points more accurately.

More info:
- Spectral dilation paper:
- John Ehlers presentation:

------------------------------------------------------
If you want to use RSI %B and Bandwidth, follow this guide to "Make mine" this chart and get access to the source:

For the complete list of my indicators, check this post:

List of my free indicators: bit.ly/1LQaPK8
List of my indicators at Appstore: blog.tradingview.com/?p=970

Open-source Skript

Ganz im Spirit von TradingView hat der Autor dieses Skripts es als Open-Source veröffentlicht, damit Trader es besser verstehen und überprüfen können. Herzlichen Glückwunsch an den Autor! Sie können es kostenlos verwenden, aber die Wiederverwendung dieses Codes in einer Veröffentlichung unterliegt den Hausregeln. Sie können es als Favoriten auswählen, um es in einem Chart zu verwenden.

Haftungsausschluss

Die Informationen und Veröffentlichungen sind nicht als Finanz-, Anlage-, Handels- oder andere Arten von Ratschlägen oder Empfehlungen gedacht, die von TradingView bereitgestellt oder gebilligt werden, und stellen diese nicht dar. Lesen Sie mehr in den Nutzungsbedingungen.

Möchten Sie dieses Skript auf einem Chart verwenden?

//
// @author LazyBear 
// List of all my indicators: https://www.tradingview.com/v/4IneGo8h/
//
study("Ehlers Smoothed Stochastic [LazyBear]", shorttitle="ESSTOCH_LB")
PI=3.14159265359
applyDoubleSmoothing=input(false, type=bool)
length = input (14, title="Stoch Length")
lengthMA=input (3, title="Stoch MA Length")
over_bought = input (.8)
over_sold = input (.2)
src=close
roofingBandUpper=input(48)
roofingBandLower=input(10)

EhlersSuperSmootherFilter(price, lower) =>
	a1 = exp(-PI * sqrt(2) / lower)
	coeff2 = 2 * a1 * cos(sqrt(2) * PI / lower)
	coeff3 = - pow(a1,2)
	coeff1 = 1 - coeff2 - coeff3
	filt = coeff1 * (price + nz(price[1])) / 2 + coeff2 * nz(filt[1]) + coeff3 * nz(filt[2]) 
	filt

EhlersRoofingFilter(price, smoothed, upper, lower) =>  
	alpha1 = (cos(sqrt(2) * PI / upper) + sin (sqrt(2) * PI / upper) - 1) / cos(sqrt(2) * PI / upper)
	highpass = pow(1 - alpha1 / 2, 2) * (price - 2 * nz(price[1]) + nz(price[2])) + 
 	            2 * (1 - alpha1) * nz(highpass[1]) - pow(1 - alpha1, 2) * nz(highpass[2])
	smoothed ? EhlersSuperSmootherFilter(highpass, lower) : highpass
    
EhlersStochastic(price, length, applyEhlerSmoothing, roofingBandUpper, roofingBandLower) =>
	filt = EhlersRoofingFilter(price, applyEhlerSmoothing, roofingBandUpper, roofingBandLower)
	highestP = highest(filt, length)
	lowestP = lowest(filt, length)
	iff ((highestP - lowestP) != 0, (filt - lowestP) / (highestP - lowestP),  0)


stoch=EhlersSuperSmootherFilter(EhlersStochastic(src, length, applyDoubleSmoothing, roofingBandUpper, roofingBandLower), roofingBandLower)
hline (over_bought)
hline (over_sold)
hline((over_bought+over_sold)/2)
plot(sma(stoch, lengthMA), color=red, linewidth=1)
plot(stoch, color=blue, linewidth=1)

Ähnliche Ideen