John F. Ehlers introuced Zero-Lag Data Smoothers in Jul, 2002.
Function
John Ehlers introduced "Zero-Lag Data Smoothers", the infinite impulse response (IIR) filter and finite impulse response (FIR) filter. In his article this issue on zero-lag smoothing, John Ehlers notes that his favorite filter is the symmetrically weighted six-bar finite impulse response (FIR) filter. This is also known as a triangular moving average, and can be conveniently implemented as a double-smoothed simple moving average. Per Ehlers, since this filter has six elements, its lag is 2.5 bars. Via further processing, this lag can be reduced to zero, but this produces too much overshoot. As a compromise, Ehlers suggests reducing the lag to one bar. To enable a user to adjust the lag easily, I provide the pine v4 code for an Adjustable Lag Filter indicator below. The first input, Price, should typically be set to OHLC, hl2, hl3, ohlc4 etc. The second input, LagReduction, should be set to a value in the zero-to-2.5 range. Setting it to zero will result in no adjustment, and the output will match that of the raw triangular average. Setting it to 2.5 will reduce the lag to zero. Setting it to 1.5 will reduce the lag to one bar.
Key Signal
Filter--> Zero-Lag Data Smoother fast line Trigger--> Zero-Lag Data Smoother slow line
Pros and Cons
100% John F. Ehlers definition translation, even variable names are the same. This help readers who would like to use pine to read his book.
Remarks
The 67th 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.
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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.
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 publication is governed by House rules. You can favorite it to use it on a chart.
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