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:
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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:

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List of my free indicators: bit.ly/1LQaPK8
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Script open-source

Dans le véritable esprit de TradingView, l'auteur de ce script l'a publié en open-source, afin que les traders puissent le comprendre et le vérifier. Bravo à l'auteur! Vous pouvez l'utiliser gratuitement, mais la réutilisation de ce code dans une publication est régie par le règlement. Vous pouvez le mettre en favori pour l'utiliser sur un graphique.

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Vous voulez utiliser ce script sur un graphique ?

//
// @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)

Idées en relation