Distance Coefficient Ehlers Filter

Tuesday 15 July 2008 @ 7:02 pm

Summary

This is the TradeStation code (ELD and Workspace example) for the Distance Coefficient Ehlers Filter as discussed in John Ehlers book, Rocket Science for Traders: Digital Signal Processing Applications. The Distance Coefficent Ehlers Filter is a type of filter in the non-linear FIR (Finite Impulse Response) filter class. This type of filter is great for filtering out pricing data that isn't stationary. ie, cycling.

Screen Shots

Usage

the Distance Coefficient Ehlers Filter as discussed in John Ehlers book, Rocket Science for Traders: Digital Signal Processing Applications can be used similarly to the SMA (Simple Moving Average) or the EMA (Exponential Moving Average). There is more to it than that, but the details are better understood by reading his book. I've found the Distance Coefficient Ehlers Filter to be much more responsive than either the Simple Moving Average, or the Exponential Moving Average, but it also has to do with the stationary vs non-stationary response that the stock is undergoing. I really cant do the book justice. Read the book and make a buck :)