I have added the ExitOnSignalCancelation option and updated the attachement of the first post.

Yep, IIR vs. FIR filters in shorthand! If considering Ehlers’ lowpass proposals, I would rather have a look at his ‘Supersmoother’ (IIR). Simple, smooth, adjustable.

Just a little addition since I think my previous post was a bit misleading: what really decouples the relation between the lag and period is not the data dependency per se but the cherry picking of the gain within the for loop which is a kind of optimization. Generally, the lag of a filter is always dependent on the data by its…[Read more]

Hi Anti,

There are several mq4-versions of ‘Zero Lag’ filters out there, and not all of them are original Ehlers’ works. I assume you’re referring to the one described in this paper.

I tried it years ago, and there’s not so much lag indeed. But on the other hand its smoothing capabilites are not so brilliant – the typical tradeoff to consider…[Read more]

Ha, thanks for those links! A lot of stuff to read …

The ‘multi-bandpass filter’ heading immediately got my attention (reminds me of my old Ehlers’ works in mq4). Yet have to postpone in-depth reading for a while!

Hi @simplex,

yes, I implemented the original R code in C++/Cuda and did some backtests. In my oppinion there is (tradeable) potential in this approach, especially in the multivariate variant (MDFA) where several cointegrated series are used. The major problem is (as usual) the overfitting arising from the many parameters and I have to figure out…[Read more]

… and one more idea: the D1 trifurcation could possibly be caused by weekly cycles. So analyzing five weekdays separately may bring insight.

Nice work!

I haven’t been around so frequently these days, so please forgive me if my thoughts on your latest post do not consider topics that have already been discussed.

When developing an algorithm for trading purpose I’m always heading for two major goals to simplify practical usage:

1. If possible, the algo should be symbol independent.

…

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