[blackcat] L2 Ehlers Super Passband Filter

Dec 11, 2020

Level: 2

Background

John F. Ehlers introuced Super Passband Filter in Jul, 2016.

Function

In “The Super Passband Filter” in Jul, 2016, John Ehlers addressed the problem of frequencies in indicators that are too low or too high. The common practice to refine frequency is to enable smart filters. However, good filters take lots of computational power. So Ehlers showed us how to use filters while keep computing power relatively low. John Ehlers described a new oscillator he’s developed to help minimize computational lag. Ehlers called this new oscillator a super passband filter. He has designed it to reject very low-frequency components and thus display as an oscillator as well as reject high-frequency components so as to minimize noise. Ehlers seeked to filter out both high and low frequencies from market data, eliminating distracting “wiggles” from the resultant signal with minimal lag effect. Trigger points for the filter are added with a root mean square (RMS) envelope over the signal line.



## Buy on the filter crossing above its -RMS line
## Short on the filter crossing below its RMS line
## Exit long when the filter either crosses below its RMS or crosses below -RMS (which signifies a false entry signal)
## Cover short when the filter either crosses above its -RMS or crosses above RMS (which signifies a false entry signal)

It suggests that this new nearly-zero lag filter looks promising for countertrend trades and for buying on significant dips.

Key Signal

PB --> Ehlers Super Passband Filter Signal
RMS --> Root Mean Squared Ehlers Super Passband Filter Signal

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 86th 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 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.