LazyBear

Ehlers Smoothed Stochastic & RSI with Roofing Filters

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: http://www.mesasoftware.com/Seminars/Spe...
- John Ehlers presentation: http://www.youtube.com/watch?v=BR5pDiPYs...

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If you want to use RSI %B and Bandwidth, follow this guide to "Make mine" this chart and get access to the source:
https://drive.google.com/file/d/0Bx48Du_...

For the complete list of my indicators, check this post:
Open-source script

In true TradingView spirit, the author of this script has published it open-source, so traders can understand and verify it. Cheers to the author! You may use it for free, but reuse of this code in a publication is governed by House Rules. You can favorite it to use it on a chart.

Want to use this script on a chart?
//
// @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)

 
List of my free indicators: http://bit.ly/1LQaPK8
List of my indicators at Appstore: http://blog.tradingview.com/?p=970

Comments

i cant seem to get the RSI to load on my charts and the script seems to only have the stoch ?
+10 Reply
This indicator is in PineScipt V3 can any one convert it to V4.

i get error on these two lines: -

filt = coeff1 * (price + nz(price)) / 2 + coeff2 * nz(filt) + coeff3 * nz(filt)
filt

highpass = pow(1 - alpha1 / 2, 2) * (price - 2 * nz(price) + nz(price)) +
2 * (1 - alpha1) * nz(highpass) - pow(1 - alpha1, 2) * nz(highpass)
+1 Reply
InSilico TradeShotsPro
@TradeShotsPro,

float filt = 0
filt := coeff1 * (price + nz(price)) / 2 + coeff2 * nz(filt) + coeff3 * nz(filt)
filt

float highpass = 0
highpass := pow(1 - alpha1 / 2, 2) * (price - 2 * nz(price) + nz(price)) +
2 * (1 - alpha1) * nz(highpass) - pow(1 - alpha1, 2) * nz(highpass)
+1 Reply
@InSilico,

Thanks man!!
Reply
stevenwalter0 TradeShotsPro
@TradeShotsPro, Would you mind sharing this script in v4? I wasn't able to get it to work.
Reply
RSI WITH Roofing Filter to be provide please
Reply
Hi LB really appreciate the free scripts, I can’t seem to be able to find the ehlers rsi. I’ve followed the link and don’t seem to be able to copy the indicator using the instructions on the linked page. Cheers.
Reply
Выложите пожалуйста индикатор RSI with Roofing Filters, его нигде нет.
Спасибо!)
Reply
Hello

Could someone recommend someone who can code this indicators for Ninjatrader 8 ?

Thanks
Reply
The second function

alpha1 = (cos(sqrt(2) * PI / upper) + sin (sqrt(2) * PI / upper) - 1) / cos(sqrt(2) * PI / upper)

should be

alpha1 = (cos(sqrt(2) * PI / (2 * upper)) + sin (sqrt(2) * PI / (2 * upper)) - 1) / cos(sqrt(2) * PI / (2 * upper))

Ehlers used 0.707 in his calculations for the spectral dilation ( = sqrt(2) / 2) so you are missing a '/2' somewhere in the multiplication chain of each trig function argument.
Reply
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