[blackcat] L2 Ehlers Adaptive BandPass Filter

2020年11月7日

Level: 2

Background

John F. Ehlers introduced Adaptive BandPass Filter in his "Cycle Analytics for Traders" chapter 11 on 2013.


Function

Adaptive band-pass filter was designed. It just makes since to tune that filter to the measured dominant cycle to eliminate all the other frequency components that are of no interest. Here, the adaptive band-pass indicator starts with the computation of the dominant cycle using the autocorrelation periodogram approach.

One way to make a band-pass filter have a leading phase capability is to tune the filter to a period shorter than the period of the cycle being measured. In this case, the bandwidth of filter is set to 0.3. That is 30 percent of the tuned center period. Therefore, the half bandwidth is 15 percent. We tune the filter to be 10 percent toward the shorter period from the dominant cycle period to provide the phase lead while still having the data of interest be within the filter bandwidth. This provides a phase lead of the dominant cycle to be something on the order of 60 degrees, or one-sixth of a cycle. If the dominant cycle were 18 bars, for example, then the detuning of the filter would produce a 3-bar lead. This leading function is not huge, but it is significant.

A convenient trigger line is included in the adaptive band-pass filter to signal the more highly likely buy and sell points. The trigger is compute as 90 percent of the amplitude of the adaptive band-pass filter line and is delayed by one bar. While the line crossings occur after the peak of the band-pass filter, phase lead provides for the generation of a timely signal. Significant trading signals should also include the criteria that the line crossing occur at greater than the +0.7 and less than the −0.7 reference lines.


Key Signal


DominantCycle --> Dominant Cycle signal
Signal --> Adaptive BandPass Filter signal
Trigger --> lag version of Adaptive BandPass Filter sinal
LeadSignal --> Adaptive BandPass Filter Lead signal
Trigger2 --> lag version of Adaptive BandPass Filter Lead sinal


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.


Remarks

The 54th script for Blackcat1402 John F. Ehlers Week publication.


Readme

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.

The scripts posted are categorized into 5 levels according to my efforts or manhours put into these works.

Level 1 : interesting script snippets or distinctive improvement from classic indicators or strategy. Level 1 scripts can usually appear in more complex indicators as a function module or element.

Level 2 : composite indicator/strategy. By selecting or combining several independent or dependent functions or sub indicators in proper way, the composite script exhibits a resonance phenomenon which can filter out noise or fake trading signal to enhance trading confidence level.

Level 3 : comprehensive indicator/strategy. They are simple trading systems based on my strategies. They are commonly containing several or all of entry signal, close signal, stop loss, take profit, re-entry, risk management, and position sizing techniques. Even some interesting fundamental and mass psychological aspects are incorporated.

Level 4 : script snippets or functions that do not disclose source code. Interesting element that can reveal market laws and work as raw material for indicators and strategies. If you find Level 1~2 scripts are helpful, Level 4 is a private version that took me far more efforts to develop.

Level 5 : indicator/strategy that do not disclose source code. private version of Level 3 script with my accumulated script processing skills or a large number of custom functions. I had a private function library built in past two years. Level 5 scripts use many of them to achieve private trading strategy.