In his TASC article series about no-lag indicators, John Ehlers presented last month the Ultimate Oscillator. What’s so ultimate about it? Unlike other oscillators, it is supposed to indicate the current market direction with almost no lag. Continue reading “Ehlers’ Ultimate Oscillator”
Tag: Ehlers
The Ultimate Strength Index
The RSI (Relative Strength Index) is a popular indicator used in many trading systems for filters or triggers. In TASC 12/2024 John Ehlers proposed a replacement for this indicator. His USI (Ultimate Strength Index) has the advantage of symmetry – the range is -1 to 1 – and, especially important, less lag. So it can trigger trades earlier. Like the RSI, it enhances cycles and trends in the data, which makes it well suited for various sorts of trading systems. Let’s look how to realize it in code. Continue reading “The Ultimate Strength Index”
Ehlers’ Precision Trend Analysis
In TASC 8/24, John Ehlers presented a new algorithm for separating the trend line from a price curve, using spectral analysis functions. Trend lines are only useful for trading when they have little lag, so that trend changes can immediately trigger trade signals. The usual suspects like SMA, WMA, EMA are too laggy for this. Let’s see how good this new algorithm works. The functions below are a 1:1 conversion from Ehlers’ TradeStation code to C. Continue reading “Ehlers’ Precision Trend Analysis”
Ehlers’ Ultimate Smoother
In TASC 3/24, John Ehlers presented several functions for smoothing a price curve without lag, smoothing it even more, and applying a highpass and bandpass filter. No-lag smoothing, highpass, and bandpass filters are already available in the indicator library of the Zorro platform, but not Ehlers’ latest invention, the Ultimate Smoother. It achieves its tremendous smoothing power by subtracting the high frequency components from the price curve, using a highpass filter. Continue reading “Ehlers’ Ultimate Smoother”
Undersampling
All the popular ‘smoothing’ indicators, like SMA or lowpass filters, exchange more lag for more smoothing. In TASC 4/2023, John Ehlers suggested the undersampling of price curves for achieving a better compromise between smoothness and lag. We will check that by applying a Hann filter to the original price curve and to a 5-fold undersampled curve. Continue reading “Undersampling”
Open or Close? Why Not Both?
In his TASC February 2023 article, John Ehlers proposed to use the average of open and close, rather than the close price, for technical indicators. The advantage is a certain amount of noise reduction. On intraday bars the open-close average is similar to an SMA(2). It makes the data a bit smoother, but at cost of additional lag by half a bar. Continue reading “Open or Close? Why Not Both?”
Ehlers Loops
Price charts normally display price over time. Or in some special cases price over ranges or momentum. In his TASC articles in June and July 2022, John Ehlers proposed a different way of charting. The relation of two parameters, like price over momentum, or price A over price B, is displayed as a 2D curve in a scatter plot. The resulting closed or open loop is supposed to predict the future price development. Of course only if interpreted in the right way.
The Inverse Fisher Transform
The Fisher Transform converts data to or from a Gaussian distribution. It was first used in algorithmic trading by John Ehlers (1) , and became a common part of indicators since then. In a TASC February 2022 article, Ehlers described a new indicator, the Elegant Oscillator, based on the Inverse Fisher Transform. Let’s have a look at this indicator and how it’s used in a trading system.
Yet Another Improved RSI
John Ehlers strikes again. The TASC January 2022 issue features another indicator supposedly improved with Hann windowing – the RSIH, a RSI with Hann flavour. Can it beat the standard RSI?
The MAD indicator
As an application to the windowing technique described the the previous article, John Ehlers proposed a new trend indicator that he claimed is robust and yet simple. The latter is certainly true, as the MAD (Moving Average Difference) oscillator is, as the name says, just the difference of two moving averages normalized to +/-100. Continue reading “The MAD indicator”