Re: [amibroker] re:Ehlers Modified Optimal Elliptal filter

["Corey Saxe" <res1wgwl@xxxxxxxxxxx>]

>From Stocks & Commodities V. 18:7 (July 2000) (pp. 20-29): Optimal Detrending by John F. Ehlers

modified optimum elliptic filter in TradeStation EasyLanguage:

Smooth = 0.13785*(2*Price - Price[1]) + 0.0007*(2*Price[1] -

Price[2]) + 0.13785*(2*Price[2] -Price[3]) + 1.2103*Smooth[1] -

0.4867*Smooth[2]

Or, algebraically:

Smooth = 0.13785 (2 x Price - Price[t-1]) + 0.0007 (2 x Price[t-1] -

Price[t-2]) + 0.13785 (2 x Price[t-2] - Price[t-3]) + 1.2103

(Smooth[t-1] - 0.4867 x Smooth[t-2])

where Price=(High+Low)/2



-CS

----- Original Message ----- 

  From: raven4ns 
  To: amibroker@xxxxxxxxxxxxxxx 
  Sent: Saturday, October 23, 2004 7:58 AM
  Subject: [amibroker] re:Ehlers Modified Optimal Elliptal filter



  Hello,
  Does anyone know where I might find this filter? I was looking at 
  the new Jurik MA and this certainly looked like a reasonable 
  substitute. Thank you.

  Tim





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