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Hi Stefan
".....Anyone with an interest in Ehlers work who would like to
suggest additions feel free to do so....."
John Ehlers has shown the use of the Zero Lag Kalman Filter crossing
the instantaneous trendline - in conjunction with cycle based
indicators - for entry and exit timing. Would it be possible to
include this filter in your next update of Ehlers.dll ?
I'm not sure if Ehlers Optimal Tracking filter is the same as - or is
derived from - the Kalman filter and would appreciate clarification.
I believe the following is the EasyLanguage code for his Optimal
Tracking filter:
inputs: Price((h+l)/2);
vars: lambda(0),
alpha(0);
Value1 = .2*(Price - Price[1]) + .8*Value1[1];
Value2 = .1*(H - L) + .8*Value2[1];
if Value2 <>0 then lambda = AbsValue(Value1 / Value2);
alpha = ( -lambda*lambda + SquareRoot(lambda*lambda*lambda*lambda +
16*lambda*lambda)) /8;
Value3 = alpha*Price + (1-alpha)*Value3[1];
Plot1(Value3, "AlphaTrack");
Secondly, do you know if the "instantaneous trendline", which he
refers to, is the same as the "Time Series Forecast" which was
earlier discussed on this board?
Keith (B)
--- In amibroker@xxxx, "Stefan Bondorowicz" <stefan@xxxx> wrote:
> Hi
>
> I have coded a few of the Ehlers indicators in a plugin I have just
> uploaded. It includes MAMA/FAMA, Sinewave, Centre of Gravity
Oscillator,
> Relative Vigour Index and a few others. It is a work in progress
and I will
> be adding to it over the next few weeks. Anyone with an interest
in Ehlers
> work who would like to suggest additions feel free to do so.
>
> Stefan
>
> ---
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