Predictive Indicators for Effective Trading Strategies By John Ehlers

amibrokerfans

Well-Known Member
#4
amibroker code:
(source www.traders.com)
PHP:
PI = 3.1415926; 
SQ2 = sqrt( 2 ); 
function SuperSmoother( array, periods ) 
{ 
a1 = exp( -SQ2 * PI / periods ); 
b1 = 2 * a1 * cos( SQ2 * PI / periods ); 
c2 = b1; 
c3 = -a1 * a1; 
c1 = 1 - c2 - c3; 
Filt = Nz( array ); 
for ( i = 2; i < BarCount; i++ ) 
{ 
Filt[ i ] = c1 * ( array[ i ] + array[ i - 1 ] ) / 2 + 
c2 * Filt[ i - 1 ] + 
c3 * Filt[ i - 2]; 
} 
return Filt; 
} 
function HighpassFilter( array, periods ) 
{ 
alpha1 = ( cos( SQ2 * PI / periods ) + sin ( SQ2 * PI / periods ) - 1 ) /  cos( SQ2 * PI / periods ); 
HP = Nz( array ); 
C1 = ( 1 - alpha1 / 2 ) ^ 2; 
C2 = 2 * ( 1 - alpha1 ); 
C3 = - ( ( 1 - alpha1 ) ^ 2 ); 
for ( i = 2; i < BarCount; i++ ) 
{ 
HP[ i ] =  C1 * ( array[ i ] - 2 * array[i-1] + array[i-2] ) + 
C2 * HP[ i - 1] + 
C3 * HP[ i - 2]; 
} 
return HP; 
} 
ss = SuperSmoother( HighpassFilter( Close, 48 ), 10 ); 
Length = 20; 
HighestC = HHV( ss, Length ); 
LowestC = LLV( ss, Length ); 
Stoc = ( ss - LowestC ) / ( HighestC - LowestC ); 
MyStochastic = 100 * SuperSmoother( Stoc, 10 ); 
Plot( MyStochastic, "MyStochastic", colorRed, styleThick ); 
PlotGrid( 20, colorBlue ); 
PlotGrid( 80, colorBlue ); 
Buy = Cross( 20, MyStochastic ); 
Sell = Cross( MyStochastic, 80 ); 
Buy = ExRem( Buy, Sell ); 
Sell = ExRem( Sell, Buy ); 
PlotShapes( Buy * shapeUpArrow, colorGreen, 0, 20, 8 ); 
PlotShapes( Sell * shapeDownArrow, colorRed, 0, 80, 8 );
 

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