[blackcat] L2 Ehlers Zero Mean Roofing Filter

31 окт. 2020 г.

Level: 2

Background

John F. Ehlers introuced Zero Mean Roofing Filter in his "Cycle Analytics for Traders" chapter 7 on 2013.


Function

The HP-LP Roofing Filter output still contains all of these frequency components. The only way we can reduce the effect of these lower-frequency components is to introduce another high-pass filter, adding an additional 6 dB per octave roll-off, so that the net effect of the filter is as originally surmised. Dr. Ehlers have added Filt2 to the code in "Zero Mean Roofing Filter". Note that in addition to establishing a nominally zero mean, removal of the longer cycle components caused by spectral dilation removes lag from the roofing filter output.

Key Signal

Filt2 --> Zero Mean Roofing Filter fast line
Trigger --> Zero Mean Roofing Filter slow line

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 42th 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.