[blackcat] L2 Ehlers Optimum Predictor

25 thg 10, 2020

Level: 2

Background

John F. Ehlers introuced Optimum Predictor in his "Rocket Science for Traders" chapter 20 on 2001.


Function

As we have seen before, the majority of the code involves the computation of the period using the Homodyne Discriminator algorithm. Once the period has
been computed, the Optimum Predictor is found in just a few lines of code. First, the minimum-length Hilbert Transformer is used to compute the Detrender2 value from the prices that have been smoothed by the 4-bar Weighted Moving Average (WMA). Detrender2 is smoothed in the 4-bar WMA to produce Smooth2. The alpha of the EMA is computed from the computed period, and the EMA of Smooth2 is taken using that alpha and is called the DetrendEMA. The difference between Smooth2 and the
DetrendEMA is multiplied by 1.4 to produce the Predict phasor. Finally, the Smooth2 and Predict phasors are plotted as indicators.
The Optimum Predictor is plotted as the subgraph below the price chart. Buy and sell signals occur when the Predict and Smooth2 lines cross. Based on Dr. Ehlers comments, most of these signals are indeed prescient. The Optimum Predictor could probably work best in trading systems when used in conjunction with other
rules to eliminate the false signals.


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
Predict --> fast line of optimum predictor
Smooth2 --> slow line of optimum predictor

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.

Remarks

The 16th 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.

26 thg 10, 2020

Phát hành các Ghi chú

Correct label bar_index issue

Phát hành các Ghi chú

OVERVIEW

The [blackcat] L2 Ehlers Optimum Predictor is a technical analysis indicator that applies John Ehlers' Optimum Predictor algorithm to forecast price movements. It provides both raw and smoothed signal lines, along with visual buy/sell signals.

FEATURES

• Advanced price prediction using Ehlers' Optimum Predictor algorithm
• Dual visualization: raw predictor line and smoothed signal line
• Automatic buy/sell labels at signal crossovers
• Customizable source price input
• Dynamic period adjustment for optimal forecasting

HOW TO USE

Add the indicator to your chart
Select your preferred source price from the inputs
Monitor the interaction between the Signal (fuchsia) and Predict (yellow) lines
Look for crossover points marked by BUY/SELL labels

INTERPRETATION

• When the Predict line crosses above the Signal line → Potential buying opportunity
• When the Predict line crosses below the Signal line → Potential selling opportunity
• The filled area between lines indicates current trend direction:

Yellow fill: Uptrend
Fuchsia fill: Downtrend

LIMITATIONS

• No built-in stop-loss or take-profit levels
• Performance may vary across different market conditions
• Requires sufficient historical data for accurate calculations

NOTES

• The indicator uses a combination of smoothing techniques and Hilbert transforms
• Default settings are optimized for most trading scenarios
• For best results, use in conjunction with other technical indicators