[blackcat] L3 Ehlers ZeroLag Intraday Trading System

25. Okt. 2020

Level: 3

Background

John F. Ehlers introuced ZeroLag Intraday Trading System in his "Rocket Science for Traders" chapter 16.

Function

blackcat L3 EhlersZeroLag Intraday Trading System is used to find proper long and short entries. Dr. Ehlers developed a completely automatic ZeroLag Intraday Trading System. The concepts of the Instantaneous Trendline and the ZeroLag EMA are very powerful. To demonstrate just how profound these concepts are, Dr. Ehlers designed an intraday trading system. An intraday trade is defined as any active trade that is traded and then closed at the end of the day.


Key Signal

Smooth --> 4 bar WMA w/ 1 bar lag
Detrender --> The amplitude response of a minimum-length HT can be improved by adjusting the filter coefficients by
trial and error. HT does not allow DC component at zero frequency for transformation. So, Detrender is used to remove DC component/ trend component.
Q1 --> Quadrature phase signal
I1 --> In-phase signal
Period --> Dominant Cycle in bars
SmoothPeriod --> Period with complex averaging
DCPeriod ---> Dominant Cycle Period
Trendline ---> IT fast line
ZeroLag ---> Zero Lag Filter
long ---> long entry signal
short ---> short entry signal


Pros and Cons

100% John F. Ehlers definition translation of original work, even variable names are the same. This help readers who would like to use pine to read his book. If you had read his works, then you will be quite familiar with my code style.

NOTE: This version of Trading System has better preformance than "Automatic SineTrend Trading System".

Remarks

The 12th script for Blackcat1402 John F. Ehlers Week publication.

Readme

In real life, I am a prolific inventor. I have successfully applied for more than 60 international and regional patents in the past 12 years. But in the past two years or so, I have tried to transfer my creativity to the development of trading strategies. Tradingview is the ideal platform for me. I am selecting and contributing some of the hundreds of scripts to publish in Tradingview community. Welcome everyone to interact with me to discuss these interesting pine scripts.

The scripts posted are categorized into 5 levels according to my efforts or manhours put into these works.

Level 1 : interesting script snippets or distinctive improvement from classic indicators or strategy. Level 1 scripts can usually appear in more complex indicators as a function module or element.

Level 2 : composite indicator/strategy. By selecting or combining several independent or dependent functions or sub indicators in proper way, the composite script exhibits a resonance phenomenon which can filter out noise or fake trading signal to enhance trading confidence level.

Level 3 : comprehensive indicator/strategy. They are simple trading systems based on my strategies. They are commonly containing several or all of entry signal, close signal, stop loss, take profit, re-entry, risk management, and position sizing techniques. Even some interesting fundamental and mass psychological aspects are incorporated.

Level 4 : script snippets or functions that do not disclose source code. Interesting element that can reveal market laws and work as raw material for indicators and strategies. If you find Level 1~2 scripts are helpful, Level 4 is a private version that took me far more efforts to develop.

Level 5 : indicator/strategy that do not disclose source code. private version of Level 3 script with my accumulated script processing skills or a large number of custom functions. I had a private function library built in past two years. Level 5 scripts use many of them to achieve private trading strategy.

Versionshinweise

OVERVIEW

The **[blackcat] L3 Ehlers ZeroLag Intraday Trading System** is a technical analysis script designed to generate buy and sell signals based on Ehlers' ZeroLag filtering method. It uses a combination of Hilbert Transform and Homodyne Discriminator to identify trends and potential reversal points, providing traders with actionable signals for intraday trading.

FEATURES

ZeroLag Filtering: Utilizes advanced filtering techniques to smooth price data and identify trends.
Hilbert Transform: Extracts the in-phase and quadrature components of the price signal.
Homodyne Discriminator: Discriminates between trend and noise to enhance signal clarity.
Trendline Calculation: Determines the dominant cycle period and calculates a trendline based on this period.
Trading Signals: Generates buy and sell signals based on the relationship between the ZeroLag filter and the trendline.

HOW TO USE

Add the script to your TradingView chart.
Adjust the Source input to your preferred price series (e.g., hl2 for high-low midpoint).
Modify the alpha value to fine-tune the smoothing factor (default is 0.33).
The script will plot buy signals below the chart and sell signals above the chart when conditions are met.

LIMITATIONS

The script is optimized for intraday trading and may not perform well on longer timeframes.
Signal quality can vary based on market conditions and chosen parameters.