OmniTrader Professional Forum - OmniScripts Ehlers Elegant Oscillator

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Mel Posts: 235 Joined: 3/18/2006 User Profile	Subject : Ehlers Elegant Oscillator Posted : 1/18/2022 6:21 PM Post #31857 Ehlers has an excellent oscillator based on the inverse fisher transform. I have it here, also with a system based on the turns Mel Attached file : eElegantOsc.txt (1KB - 304 downloads) Attached file : eElegantOscSys.txt (1KB - 298 downloads)
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Mel Posts: 235 Joined: 3/18/2006 User Profile	Subject : RE: Ehlers Elegant Oscillator Posted : 1/19/2022 9:58 AM Post #31858 - In reply to #31857 Here are improved versions of the indicator and system. Since the inverse fisher transform is simply the tanh, I simplified the calculation using that. the system is much improved with some filtering of signals around the zero line. This oscillator works very differently than most of them. It uses the derivative of price, approximated by C-C[1], and normalizes that into standard deviations, which approximates a gaussian distribution. That is transformed into a soft-limited line using the inverse fisher transform. It is smoothed by a Super smoother filter, which acts as an integrator. The period is used in the SSF allow you to trade off quicker reactions against more smoothing. Attached file : eElegantOsc.txt (1KB - 336 downloads) Attached file : eElegantOscSys.txt (1KB - 321 downloads)
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Jim Dean Posts: 3433 Joined: 3/13/2006 Location: L'ville, GA User Profile	Subject : RE: Ehlers Elegant Oscillator Posted : 1/19/2022 12:49 PM Post #31859 - In reply to #31858 Cool. Thanks!
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mgerber Posts: 61 Joined: 3/30/2006 Location: Issaquah, WA User Profile	Subject : RE: Ehlers Elegant Oscillator Posted : 1/19/2022 1:32 PM Post #31860 - In reply to #31859 Nice; thanks Mel! --Mark G.
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aztrix Posts: 23 Joined: 8/28/2021 Location: Sydney, NSW, Australia User Profile	Subject : RE: Ehlers Elegant Oscillator Posted : 1/19/2022 11:24 PM Post #31861 - In reply to #31858 Thanks Mel Altho the oscillator looks great it seems to have substantial drawdowns in the PortSim Is this expected or just the test stock list i.e. US symbols with $50 million daily trade turnover (AVG(C,10) * AVG(V,10) > 50000000)? How does your stock list perform? Also ±18 months zero activity at the start of the FT … Cheers Aztrix Attached file : jeElegantOsc PorSim.PNG (25KB - 321 downloads)
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Mel Posts: 235 Joined: 3/18/2006 User Profile	Subject : RE: Ehlers Elegant Oscillator Posted : 1/20/2022 2:17 PM Post #31862 - In reply to #31861 With oscillators, performance depends on the filtering in your strategy and your exit strategy. Oscillators give good signals when a stock is ranging or in a weak trend. In a stronger trend, cyclic oscillator signals are drowned out by the trend, and are just noisy. In a strong trend, you should be by and hold, not RTM. For short term trading while trending use Bands (Bollinger, Keltner, etc.) to get good RTM signals, or do pullbacks, don't rely on cycles. Mel
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aztrix Posts: 23 Joined: 8/28/2021 Location: Sydney, NSW, Australia User Profile	Subject : RE: Ehlers Elegant Oscillator Posted : 1/21/2022 5:51 AM Post #31863 - In reply to #31862 Thanks Mel

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