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Ehler Filter Indicator

by Tom Huggens, 2256 days ago
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Among linear filters commonly used in trading, the simple and exponential moving averages are probably the most popular ones. According to John Ehlers, linear filters are optimal when used with stationary data, which is not the case with security quotes. The Ehler Filter invented by John is a nonlinear FIR filter that provides great smoothing in sideways markets and follow price movement with less lag than with linear filters such as the moving average.

The current Ehler filter is based on acceleration and speed. The filter uses the close and volume data along with three inputs/parameters to smooth the price series. The parameters that should be provided to the Ehler filter function are:
- Length of the FIR (Finite Impulse Response). This is one type of filter, the other one is the Infinite Impulse Response (IIR). For example, the EMA is an IIR filter.
- Exponential weight of passed acceleration and speed
- Weighting factor between acceleration and speed

The Ehler filter is interpreted like any moving average where usually a close price above the Ehler filter is considered a bullish sign and a value below the filter is considered a bearish sign.


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Type: Trading Indicator

Object ID: 845


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