Ehlers DSMA

• 07/09/2018 at 12:40 PM #75611
  Despair

  This is the latest John Ehlers indicator featured in the July 2018 edition of Traders’ Tip.

  In “The Deviation-Scaled Moving Average” in this issue, author John Ehlers introduces a new adaptive moving average that has the ability to rapidly adapt to volatility in price movement. The author explains that due to its design, it has minimal lag yet is able to provide considerable smoothing.

  Ehlers DSMA

  //Smooth with a Super Smoother if barindex>Period then a1 = Exp( -1.414 * 3.14159 / ( .5 * Period ) ) b1 = 2 * a1 * Cos( 1.414 * 180 / ( .5 * Period ) ) c2 = b1 c3 = -square(a1) c1 = 1 - c2 - c3 //Produce Nominal zero mean with zeros in the transfer //response at DC and Nyquist with no spectral distortion //Nominally whitens the spectrum because of 6 dB //per octave rolloff Zeros = Close - Close[2] //SuperSmoother Filter Filt = c1 * ( Zeros + Zeros[1] ) / 2 + c2 * Filt[1] + c3 * Filt[2] //Compute Standard Deviation RMS = 0 For count = 0 to Period - 1 RMS = RMS + square(Filt[count]) Next RMS = Sqrt( RMS / Period ) //Rescale Filt in terms of Standard Deviations If RMS <> 0 then ScaledFilt = Filt / RMS else ScaledFilt = 0 endif alpha1 = Abs( ScaledFilt ) * 5 / Period DSMA = alpha1 * Close + ( 1 - alpha1 ) * DSMA[1] endif return DSMA as "EhlersDSMA"

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  //Smooth with a Super Smoother if barindex>Period then a1 = Exp( -1.414 * 3.14159 / ( .5 * Period ) ) b1 = 2 * a1 * Cos( 1.414 * 180 / ( .5 * Period ) ) c2 = b1 c3 = -square(a1) c1 = 1 - c2 - c3 //Produce Nominal zero mean with zeros in the transfer //response at DC and Nyquist with no spectral distortion //Nominally whitens the spectrum because of 6 dB //per octave rolloff Zeros = Close - Close[2]   //SuperSmoother Filter Filt = c1 * ( Zeros + Zeros[1] ) / 2 + c2 * Filt[1] + c3 * Filt[2]   //Compute Standard Deviation RMS = 0 For count = 0 to Period - 1 RMS = RMS + square(Filt[count]) Next RMS = Sqrt( RMS / Period )   //Rescale Filt in terms of Standard Deviations If RMS <> 0 then ScaledFilt = Filt / RMS else ScaledFilt = 0 endif alpha1 = Abs( ScaledFilt ) * 5 / Period DSMA = alpha1 * Close + ( 1 - alpha1 ) * DSMA[1] endif return DSMA as "EhlersDSMA"

  

  Despair

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  07/09/2018 at 12:42 PM #75654
  Nicolas

  Thank you, but I moved your code submission to forum, because the DSMA has already been published: Deviation-Scaled Moving Average DSMA

  Now we have 2 versions 🙂

  

  Nicolas

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  07/09/2018 at 11:30 PM #75684
  Despair

  I saw your version after I already submitted mine. Sorry for this double submission. 🙂

  

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