TradingView
LazyBear
26. Jul. 2014 00:07

Ehlers Smoothed Stochastic & RSI with Roofing Filters 

BITSTAMP:BTCUSD240
Bitcoin / U.S. dollarBitstamp

Beschreibung

⋅
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: mesasoftware.com/Seminars/SpectralDilation.pdf
- John Ehlers presentation: youtube.com/watch?v=BR5pDiPYsnw

------------------------------------------------------
If you want to use RSI %B and Bandwidth, follow this guide to "Make mine" this chart and get access to the source:
drive.google.com/file/d/0Bx48Du_2aPFncUhIemNrZUY1dTA/edit?usp=sharing

For the complete list of my indicators, check this post:
tradingview.com/v/4IneGo8h/
lazybearcustomindicatorsStochastic OscillatorRelative Strength Index (RSI)ehlersfilter
Kommentare
psi.
⋅
i cant seem to get the RSI to load on my charts and the script seems to only have the stoch ?
TradeShotsPro
⋅
This indicator is in PineScipt V3 can any one convert it to V4.

i get error on these two lines: -

filt = coeff1 * (price + nz(price[1])) / 2 + coeff2 * nz(filt[1]) + coeff3 * nz(filt[2])
filt

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])
InSilico
⋅
@shri9891,

float filt = 0
filt := coeff1 * (price + nz(price)) / 2 + coeff2 * nz(filt) + coeff3 * nz(filt)
filt

float highpass = 0
highpass := pow(1 - alpha1 / 2, 2) * (price - 2 * nz(price) + nz(price)) +
2 * (1 - alpha1) * nz(highpass) - pow(1 - alpha1, 2) * nz(highpass)
TradeShotsPro
⋅
@InSilico,

Thanks man!!
ChrisbyAus
⋅
@InSilico, Are you saying that the following changes from

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)) / 2 + coeff2 * nz(filt) + coeff3 * nz(filt)
filt

to this?
hlersSuperSmootherFilter(price, lower) =>
a1 = exp(-PI * sqrt(2) / lower)
coeff2 = 2 * a1 * cos(sqrt(2) * PI / lower)
coeff3 = - pow(a1,2)
coeff1 = 1 - coeff2 - coeff3
float filt = 0
filt := coeff1 * (price + nz(price)) / 2 + coeff2 * nz(filt) + coeff3 * nz(filt)
filt

or am i missing something?
I am a very much amateur coder
stevenwalter0
⋅
@TradeShotsPro, Would you mind sharing this script in v4? I wasn't able to get it to work.
ricjason
⋅
anyone able to convert this to version 4 or 5?
IceRaider59
⋅
There is no RSI...only Stoch.
altar.azeem
⋅
RSI WITH Roofing Filter to be provide please
Clarky663
⋅
Hi LB really appreciate the free scripts, I can’t seem to be able to find the ehlers rsi. I’ve followed the link and don’t seem to be able to copy the indicator using the instructions on the linked page. Cheers.
Mehr