OmniTrader Professional Forum : OmniScripts : Ehlers Elegant Oscillator

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OmniTrader Professional Forum OmniScripts Ehlers Elegant Oscillator		Last Activity 9/1/2024 11:18 PM 6 replies, 1049 viewings

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Mel

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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 - 214 downloads)

Attached file : eElegantOscSys.txt (1KB - 207 downloads)

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Mel

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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.

[Edited by Mel on 1/20/2022 2:09 PM]

Attached file : eElegantOsc.txt (1KB - 245 downloads)

Attached file : eElegantOscSys.txt (1KB - 227 downloads)

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Jim Dean

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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

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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

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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

[Edited by aztrix on 1/19/2022 11:26 PM]

Attached file : jeElegantOsc PorSim.PNG (25KB - 236 downloads)

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Mel

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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

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Subject : RE: Ehlers Elegant Oscillator
Posted : 1/21/2022 5:51 AM
Post #31863 - In reply to #31862

Thanks Mel

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