[blackcat] L2 Ehlers Automatic SineTrend Trading System

25 thg 10, 2020

Level: 2

Background

John F. Ehlers introuced Automatic SineTrend Trading System in his "Rocket Science for Traders" chapter 12.

Function
blackcat L2 Ehlers Automatic SineTrend Trading System is used to find proper long and short entries.Dr. Ehlers developed a completely automatic trading system called the SineTrend Automatic System based on the rules in his book. His fundamental approach is to trade using the Trend Mode rules when the market is in a Trend Mode and trade using the Cycle Mode rules when the market is in a Cycle Mode.


Key Signal

Smooth --> 4 bar WMA w/ 1 bar lag
Detrender --> The amplitude response of a minimum-length HT can be improved by adjusting the filter coefficients by
trial and error. HT does not allow DC component at zero frequency for transformation. So, Detrender is used to remove DC component/ trend component.
Q1 --> Quadrature phase signal
I1 --> In-phase signal
Period --> Dominant Cycle in bars
SmoothPeriod --> Period with complex averaging
DCPeriod ---> Dominant Cycle Period
Trendline ---> IT fast line
SmoothPrice ---> IT slow line
Trend ---> Trend identifier: 1 for trend; 0 for cycle.
LeadSine ---> Lead Sine Wave signal
DCSine ---> Sine Wave signal
long ---> long entry signal
short ---> short entry signal



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.

NOTE: Due to limited performance oberved from "Market Mode Identification" part, this trading system I observed was not so powerful.

Remarks

The 11th 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.

Phát hành các Ghi chú

OVERVIEW

This script implements the Ehlers Automatic SineTrend Trading System, a technical analysis tool designed to identify potential buy and sell signals based on the Ehlers Sine Wave indicator. It calculates trends and generates buy/sell signals when specific conditions are met.

FEATURES

Source Input: Allows users to select the price source (default is hl2).
Buy/Sell Signals: Generates buy signals with green labels below the bar and sell signals with red labels above the bar.
Trend Indicator: Displays trend direction with background color changes (yellow for downtrend, black for uptrend).
HOW TO USE

Add the script to your chart in TradingView.
Adjust the "Source" input to your desired price data.
Review the generated buy and sell signals for trading opportunities.
LIMITATIONS

The script may not perform optimally in all market conditions.
Users should backtest the strategy before using it for live trading.
NOTES

The script uses complex calculations for trend detection and signal generation.
Ensure you understand the underlying concepts before applying this strategy.