John Ehlers Toolbox

Hi All,

In this thread we'll try to post all tools (indicators & strategies) of famous John Ehlers.

At the begining, please take a look at the advanced MAMA in which I tried to apply our AllAverages algorithms with(or instead of) the EMA. Also I replaced parameters FastLimit and SlowLimit on more understandable MinPeriod and MaxPeriod. Plus you can find that I use phase smoothing which allows to get new quality of the MAMA.

Code:

extern int     TimeFrame         =     0;   //Time Frame in min
extern int     Price             =     4;   //Price Mode (0...10)
extern int     MinPeriod         =     3;   //Min Period of MAMA
extern int     MaxPeriod         =    39;   //Max Period of MAMA
extern int     MA_Mode           =     1;   //According to list above
extern int     PhaseSmooth       =     1;   //Period of Phase Smoothing  
extern int     PhaseSmoothMode   =     1;   //According to list above
extern int     SignalMode        =     1;   //Switch of Signal mode(0-off,1-on)

extern string  alerts            = "--- Alerts & Emails ---";
extern int     AlertMode         =     1;   //Alert Mode (0-off,1-on)
extern int     SoundsNumber      =     5;   //Number of sounds after Signal
extern int     SoundsPause       =     5;   //Pause in sec between sounds 
extern string  UpSound           = "alert.wav";
extern string  DnSound           = "alert2.wav";
extern int     EmailMode         =     0;   //0-on,1-off   
extern int     EmailsNumber      =     1;   //0-on,1-off
extern int     WarningMode       =     0;   //Warning Mode (0-off,1-on)

Standard MAMA:



T3 MAMA:




Regards,
Igor

Hi All,

I suppose the SwamiCharts are latest indicators from J.Ehlers ToolBox. SwamiCharts is an evolutionary step forward, providing a 3D heatmap view of a technical indicator over a wide sequential range of lookback periods.

So please take a look at the SwamiStochastic_v1 with input parameters as follows:

Code:

extern int     Price          =        0;    //Applied to
extern int     HiLoMode       =        0;    //HiLoMode
extern int     StartLength    =       12;    //Stochastic Start Period
extern int     EndLength      =       48;    //Stochastic End Period
extern int     SampleLength   =       12;    //Sample Stochastic Period(0-off)
extern int     PreSmooth      =        3;    //Pre-smoothing Period
extern int     Smooth         =        9;    //Smoothing Period         
extern color   UpTrendColor   =     Lime;    //UpTrend Color 
extern color   DnTrendColor   =      Red;    //DownTrend Color
extern color   FlatColor      =   Yellow;    //Flat Color (if NONE-2 Color Mix)  
extern string  UniqueName     =  "Stoch";    //
extern int     ScaleMode      =        1;    //0-J.Ehlers,1-0...100
extern int     SwamiBars      =      100;    //-1-off,0-all Bars,>0-any number

Regards,
Igor

As you possibly know J.Ehlers spent a lot of time and efforts to make research of market cycles. One of the first studies focused on the use of Hilbert Transform to the calculation of the dominant cycle period.

Code:

extern int     Price        =   4;  //Applied to(see list above) 
extern double  Alpha        =0.07;  //Cycle Smoothing Factor
extern int     MedianPeriod =   5;  //Period of Moving Median
extern int     DCsmooth     =   5;  //Period of Dominant Cycle Smoothing

Also you can find the advanced CycleGenerator_v4 script which I developed especially for testing purposes of the cycle indicators such as FFT, Goertzel Algorithm, BandPass Filter, MESA and so on.

How to use:
Just apply this script to any chart in your terminal and then open the new chart via File->Open Offline(eg. !VarFreq,M2).

Code:

extern string     FileName          = "!VarFreq";
extern int        FileMode          = 0;     //0-.hst,1-.csv
extern int        hstTimeFrame      = 2;     //History TimeFrame (ex.2)
extern string     Periods           = "10;20;30;50;70";  //Array of Periods 
extern string     Amplitudes        = "1";   //Array of Amplitudes
extern string     Phases            = "0";   //Array of Phases in degrees(ex.45;60;90)  
extern string     RandomAmplitudes  = "0";   //Array of Random Apmlitudes(ex.0.1;0;0.5)  
extern int        SinusoidMode      = 1;     //0-Sum of Sinusoids, 1-Frequency-Varying Sinusoid 
extern int        BodyMode          = 0;     //0-off,1-on
extern int        WicksMode         = 0;     //Array of Amplitudes
extern int        RandomWicksHeight = 0;     //0-off,1-on
extern double     WicksHeightPct    = 0;     //Wicks Height Percentage (ex.0.3)
extern double     StartPrice        = 4;     //Start Price  
extern int        digits            = 5;     //Digits
extern int        UseStartDate      = 0;     //0-off,1-on
extern datetime   StartDate         = D'2009.05.01 12:00';  
extern int        UseEndDate        = 0;     //0-off,1-on 
extern datetime   EndDate           = D'2009.05.01 12:00';

Attachment 1082

As you can see on the attached picture there is a sufficient lag at the cycle calculation.

Regards,
Igor

sir irorad,
thank you very much for this cyclegenerator script. i have huge interest on market cycle, but still cant find proper knowledge/tools(how to use)/system that can help me trade with cycles. can you give me some direction?

Hi debashis,

I think - Igorad will reply but for my understanding - this kind of indicators may be used inside some system (manual trading system which we need to create), or as separated indicators on the way as: one indicator = one trading system.

I do not know about CyclePeriod indicator (i never used it sorry) but AllMAMA_v2.3 is very understandable - use it as 2 MA indicators crossing. Besides, this AllMAMA_v2.3 indicator is very good candidate for future possible EA for example.

As to SwamiStochastic_v1 indicator so I understand that is is for better visualization (same with all Swami) - read here: http://www.swamicharts.com/swami/Default.aspx. Swami is usually used for TradeStation platform so Igorad made it for Metatrader :

SwamiCharts retain the core functionality of the technical indicators you're already familiar with while packing much more information into an easy-to-interpret heatmap chart. With SwamiCharts, you now visualize each indicator over a range of lookback periods to reveal a better view of the indicator's truer meaning in context.

Ordinary indicators suffer from the limited view of a single lookback period. You get (often unnecessary) detail at that specific period setting but may be missing the bigger picture provided by multiple lookback periods.

Success with ordinary indicators is highly dependent on parameter settings. Does it make sense to always use the same ones? Will backtesting improve my results? How far back should I test? These questions persist.

SwamiCharts provide a better solution because you can now visualize context over a wide range of lookbacks. Trends and cycles emerge more succintly while continuation patterns and reversals become easier to identify.

Originally Posted by igorad

I developed especially for testing purposes of the cycle indicators such as FFT, Goertzel Algorithm, BandPass Filter, MESA and so on.
Regards,
Igor

sir newdigital,
thank you for reply on your other site forex-tsd, there is huge discussion about cycle extraction by with FFT, Goertzel,spectrometer etc.. thing are totally out of my head .. i hope here i can find something easier which i can understand and can use for my trade..
best wishes sir

forex-tsd was our (my and Igorad) past life ... so - we are in reincarnation for now here on this NewDigital World forum

Yes, I agree - everything should be simple for traders and coders and concerning the cycles too (and more practical for example).

Originally Posted by debashis

sir irorad,
thank you very much for this cyclegenerator script. i have huge interest on market cycle, but still cant find proper knowledge/tools(how to use)/system that can help me trade with cycles. can you give me some direction?

Hi debashis,

Thanks for your interest in our tools and I'll try to help you to find something suitable for your trading practice. Also I plan to compare a lot of different methods of cycles calculation using the CycleGenerator script, because not all of them work properly.

Just for example please take a look the attached picture where I compared the well-known Goerzel Browser(GB) with my BandPassFinder which I developed on base of J.Ehlers works. Here you can see the syntetic chart with Periods=20;50;80 and Amplitudes=0.2;0.5;1. As you can see GB does not give us clear picture even for so simple chart, because of noise frequencies.

Attachment 1140


Regards,
Igor

wow wow thats a great work igorad sir!! ....eagerly waiting for your masterpiece

sir igorad,
waiting for your indicators that can be usefull to trade with cycles...