[blackcat] L2 Ehlers Filter

Level: 2


John F. Ehlers introuced Ehlers Filter in his "Rocket Science for Traders" chapter 18 on 2001.


blackcat L2 Ehlers Filter is used to follow trend. The filters Dr . Ehlers have invented are nonlinear FIR filters. It turns out that they provide both extraordinary smoothing in sideways markets and aggressively follow major price movements with minimal lag. The development of Ehlers filters starts with a general
class of FIR filters called Order Statistic (OS) filters. These filters are well-known for speech and image processing, to sharpen edges, increase contrast, and for robust estimation. In contrast to linear filters, where temporal ordering of the samples is preserved, OS filters base their operation on the ranking of samples
within the filter window. The data are ranked by their summary statistics, such as their mean or variance, rather than by their temporal position.
Among OS filters, the Median filter is the best known. In a Median filter, the output is the median value of all the data values within the observation window. As opposed to an averaging filter, the Median filter simply discards all data except the median value. In this way, impulsive noise spikes and extreme price data are eliminated rather than included in the average. The median value can fall at the first sample in the data window, at the last sample, or anywhere in between. Thus, temporal characteristics are lost. The Median filter tends to smooth out short-term variations that lead to whipsaw trades with linear filters. However, the lag of a Median filter in response to a sharp and sustained price movement is substantial --- it necessarily is about half the filter window width.

Key Signal

Coef --> Ehlers filter coefficients array
Filt --> Ehlers filter output

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.


The 14th script for Blackcat1402 John F. Ehlers Week publication.


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.

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Release Notes: Add buy and sell labels
Release Notes: Correct label bar_index issue
Open-source script

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