Ehlers Filter by zuijaideai

3652 downloads / 1874 views / Created: 23.05.2013
 Average Rating: 0

Indicator Description

Hi All,
Attached is the Ehlers Filter by John Ehlers. Please somebody add the description regarding this indicators.

Ehlers Filter


Link to the forum topic: Ehlers Filter

Rgds
Denny Imanuel
imanuel.denny@gmail.com

Comments

//============================================================== // Forex Strategy Builder // Copyright © Miroslav Popov. All rights reserved. //============================================================== // THIS CODE IS PROVIDED "AS IS" WITHOUT WARRANTY OF ANY KIND, // EITHER EXPRESSED OR IMPLIED, INCLUDING BUT NOT LIMITED TO // THE IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR // A PARTICULAR PURPOSE. //============================================================== using System; using System.Drawing; using ForexStrategyBuilder.Infrastructure.Entities; using ForexStrategyBuilder.Infrastructure.Enums; using ForexStrategyBuilder.Infrastructure.Interfaces; namespace ForexStrategyBuilder.Indicators.Store { public class EhlersFilter : Indicator { public EhlersFilter() { IndicatorName = "Ehlers Filter"; PossibleSlots = SlotTypes.Open | SlotTypes.OpenFilter | SlotTypes.Close | SlotTypes.CloseFilter; IndicatorAuthor = "Denny Imanuel"; IndicatorVersion = "2.0"; IndicatorDescription = "This is a new hot indicator that is released in TASC magazine Jan 2010 called Vortex Indicator"; } public override void Initialize(SlotTypes slotType) { SlotType = slotType; // The ComboBox parameters IndParam.ListParam[0].Caption = "Logic"; if (slotType == SlotTypes.Open) IndParam.ListParam[0].ItemList = new string[] { "Enter the market at the Ehlers Filter" }; else if (slotType == SlotTypes.OpenFilter) IndParam.ListParam[0].ItemList = new string[] { "The Ehlers Filter rises", "The Ehlers Filter falls", "The bar opens above the Ehlers Filter", "The bar opens below the Ehlers Filter", "The bar opens above the Ehlers Filter after opening below it", "The bar opens below the Ehlers Filter after opening above it", "The position opens above the Ehlers Filter", "The position opens below the Ehlers Filter", }; else if (SlotType == SlotTypes.Close) IndParam.ListParam[0].ItemList = new string[] { "Exit the market at the Ehlers Filter" }; else if (SlotType == SlotTypes.CloseFilter) IndParam.ListParam[0].ItemList = new string[] { "The Ehlers Filter rises", "The Ehlers Filter falls", "The bar closes below the Ehlers Filter", "The bar closes above the Ehlers Filter", }; else IndParam.ListParam[0].ItemList = new string[] { "Not Defined" }; IndParam.ListParam[0].Index = 0; IndParam.ListParam[0].Text = IndParam.ListParam[0].ItemList[IndParam.ListParam[0].Index]; IndParam.ListParam[0].Enabled = true; IndParam.ListParam[0].ToolTip = "Logic of application of the Ehlers Filter."; IndParam.ListParam[1].Caption = "Base price"; IndParam.ListParam[1].ItemList = Enum.GetNames(typeof(BasePrice)); IndParam.ListParam[1].Index = (int)BasePrice.Median; IndParam.ListParam[1].Text = IndParam.ListParam[1].ItemList[IndParam.ListParam[1].Index]; IndParam.ListParam[1].Enabled = true; IndParam.ListParam[1].ToolTip = "The price the Ehlers Filter is based on."; // The NumericUpDown parameters IndParam.NumParam[0].Caption = "Period"; IndParam.NumParam[0].Value = 14; IndParam.NumParam[0].Min = 1; IndParam.NumParam[0].Max = 200; IndParam.NumParam[0].Enabled = true; IndParam.NumParam[0].ToolTip = "The Ehlers Filter period."; IndParam.NumParam[1].Caption = "Shift"; IndParam.NumParam[1].Value = 0; IndParam.NumParam[1].Min = 0; IndParam.NumParam[1].Max = 200; IndParam.NumParam[1].Enabled = true; IndParam.NumParam[1].ToolTip = "How many bars to shift with."; // The CheckBox parameters IndParam.CheckParam[0].Caption = "Use previous bar value"; IndParam.CheckParam[0].Enabled = true; IndParam.CheckParam[0].ToolTip = "Use the indicator value from the previous bar."; } public override void Calculate(IDataSet dataSet) { DataSet = dataSet; // Reading the parameters BasePrice basePrice = (BasePrice)IndParam.ListParam[1].Index; int iPeriod = (int)IndParam.NumParam[0].Value; int iShift = (int)IndParam.NumParam[1].Value; int iPrvs = IndParam.CheckParam[0].Checked ? 1 : 0; // TimeExecution if (basePrice == BasePrice.Open && iPeriod == 1 && iShift == 0) IndParam.ExecutionTime = ExecutionTime.AtBarOpening; // Calculation double[] adPrice = Price(basePrice); double[] adEF = new double[Bars]; double[] dCoeff = new double[Bars]; double dNum; double dDen; int iFirstBar = iPeriod + iShift + 2 + iPrvs; for (int iBar=iFirstBar; iBar High[iBar - 1] && dValue < Open[iBar]) || // The Open price jumps above the indicator (dValue1 < Low[iBar - 1] && dValue > Open[iBar]) || // The Open price jumps below the indicator (Close[iBar - 1] < dValue && dValue < Open[iBar]) || // The Open price is in a positive gap (Close[iBar - 1] > dValue && dValue > Open[iBar])) // The Open price is in a negative gap dTempVal = Open[iBar]; Component[1].Value[iBar] = dTempVal; // Entry or exit value } } else { Component = new IndicatorComp[3]; Component[1] = new IndicatorComp(); Component[1].ChartType = IndChartType.NoChart; Component[1].FirstBar = iFirstBar; Component[1].Value = new double[Bars]; Component[2] = new IndicatorComp(); Component[2].ChartType = IndChartType.NoChart; Component[2].FirstBar = iFirstBar; Component[2].Value = new double[Bars]; } Component[0] = new IndicatorComp(); Component[0].CompName = "MA Value"; Component[0].DataType = IndComponentType.IndicatorValue; Component[0].ChartType = IndChartType.Line; Component[0].ChartColor = Color.Red; Component[0].FirstBar = iFirstBar; Component[0].Value = adEF; if (SlotType == SlotTypes.Open) { Component[1].CompName = "Position opening price"; Component[1].DataType = IndComponentType.OpenPrice; } else if (SlotType == SlotTypes.OpenFilter) { Component[1].DataType = IndComponentType.AllowOpenLong; Component[1].CompName = "Is long entry allowed"; Component[2].DataType = IndComponentType.AllowOpenShort; Component[2].CompName = "Is short entry allowed"; } else if (SlotType == SlotTypes.Close) { Component[1].CompName = "Position closing price"; Component[1].DataType = IndComponentType.ClosePrice; } else if (SlotType == SlotTypes.CloseFilter) { Component[1].DataType = IndComponentType.ForceCloseLong; Component[1].CompName = "Close out long position"; Component[2].DataType = IndComponentType.ForceCloseShort; Component[2].CompName = "Close out short position"; } if (SlotType == SlotTypes.OpenFilter || SlotType == SlotTypes.CloseFilter) { switch (IndParam.ListParam[0].Text) { case "The Ehlers Filter rises": IndicatorRisesLogic(iFirstBar, iPrvs, adEF, ref Component[1], ref Component[2]); break; case "The Ehlers Filter falls": IndicatorFallsLogic(iFirstBar, iPrvs, adEF, ref Component[1], ref Component[2]); break; case "The bar opens above the Ehlers Filter": BarOpensAboveIndicatorLogic(iFirstBar, iPrvs, adEF, ref Component[1], ref Component[2]); break; case "The bar opens below the Ehlers Filter": BarOpensBelowIndicatorLogic(iFirstBar, iPrvs, adEF, ref Component[1], ref Component[2]); break; case "The bar opens above the Ehlers Filter after opening below it": BarOpensAboveIndicatorAfterOpeningBelowLogic(iFirstBar, iPrvs, adEF, ref Component[1], ref Component[2]); break; case "The bar opens below the Ehlers Filter after opening above it": BarOpensBelowIndicatorAfterOpeningAboveLogic(iFirstBar, iPrvs, adEF, ref Component[1], ref Component[2]); break; case "The position opens above the Ehlers Filter": Component[0].PosPriceDependence = PositionPriceDependence.BuyHigherSellLower; Component[0].UsePreviousBar = iPrvs; Component[1].DataType = IndComponentType.Other; Component[1].ShowInDynInfo = false; Component[2].DataType = IndComponentType.Other; Component[2].ShowInDynInfo = false; break; case "The position opens below the Ehlers Filter": Component[0].PosPriceDependence = PositionPriceDependence.BuyLowerSelHigher; Component[0].UsePreviousBar = iPrvs; Component[1].DataType = IndComponentType.Other; Component[1].ShowInDynInfo = false; Component[2].DataType = IndComponentType.Other; Component[2].ShowInDynInfo = false; break; case "The bar closes below the Ehlers Filter": BarClosesBelowIndicatorLogic(iFirstBar, iPrvs, adEF, ref Component[1], ref Component[2]); break; case "The bar closes above the Ehlers Filter": BarClosesAboveIndicatorLogic(iFirstBar, iPrvs, adEF, ref Component[1], ref Component[2]); break; } } } public override void SetDescription() { EntryPointLongDescription = "at the " + ToString(); EntryPointShortDescription = "at the " + ToString(); ExitPointLongDescription = "at the " + ToString(); ExitPointShortDescription = "at the " + ToString(); switch (IndParam.ListParam[0].Text) { case "The Ehlers Filter rises": EntryFilterLongDescription = "the " + ToString() + " rises"; EntryFilterShortDescription = "the " + ToString() + " falls"; ExitFilterLongDescription = "the " + ToString() + " rises"; ExitFilterShortDescription = "the " + ToString() + " falls"; break; case "The Ehlers Filter falls": EntryFilterLongDescription = "the " + ToString() + " falls"; EntryFilterShortDescription = "the " + ToString() + " rises"; ExitFilterLongDescription = "the " + ToString() + " falls"; ExitFilterShortDescription = "the " + ToString() + " rises"; break; case "The bar opens above the Ehlers Filter": EntryFilterLongDescription = "the bar opens above the " + ToString(); EntryFilterShortDescription = "the bar opens below the " + ToString(); break; case "The bar opens below the Ehlers Filter": EntryFilterLongDescription = "the bar opens below the " + ToString(); EntryFilterShortDescription = "the bar opens above the " + ToString(); break; case "The position opens above the Ehlers Filter": EntryFilterLongDescription = "the position opening price is higher than the " + ToString(); EntryFilterShortDescription = "the position opening price is lower than the " + ToString(); break; case "The position opens below the Ehlers Filter": EntryFilterLongDescription = "the position opening price is lower than the " + ToString(); EntryFilterShortDescription = "the position opening price is higher than the " + ToString(); break; case "The bar opens above the Ehlers Filter after opening below it": EntryFilterLongDescription = "the bar opens above the " + ToString() + " after opening below it"; EntryFilterShortDescription = "the bar opens below the " + ToString() + " after opening above it"; break; case "The bar opens below the Ehlers Filter after opening above it": EntryFilterLongDescription = "the bar opens below the " + ToString() + " after opening above it"; EntryFilterShortDescription = "the bar opens above the " + ToString() + " after opening below it"; break; case "The bar closes above the Ehlers Filter": ExitFilterLongDescription = "the bar closes above the " + ToString(); ExitFilterShortDescription = "the bar closes below the " + ToString(); break; case "The bar closes below the Ehlers Filter": ExitFilterLongDescription = "the bar closes below the " + ToString(); ExitFilterShortDescription = "the bar closes above the " + ToString(); break; } } public override string ToString() { return IndicatorName + (IndParam.CheckParam[0].Checked ? "* (" : " (") + IndParam.ListParam[1].Text + ", " + // Method IndParam.ListParam[2].Text + ", " + // Price IndParam.NumParam[0].ValueToString + ", " + // MA period IndParam.NumParam[1].ValueToString + ")"; // MA shift } } }
//+--------------------------------------------------------------------+ //| Copyright: (C) 2014, Miroslav Popov - All rights reserved! | //| Website: http://forexsb.com/ | //| Support: http://forexsb.com/forum/ | //| License: Proprietary under the following circumstances: | //| | //| This code is a part of Forex Strategy Builder. It is free for | //| use as an integral part of Forex Strategy Builder. | //| One can modify it in order to improve the code or to fit it for | //| personal use. This code or any part of it cannot be used in | //| another applications without a permission. Contact information | //| cannot be changed. | //| | //| NO LIABILITY FOR CONSEQUENTIAL DAMAGES | //| | //| In no event shall the author be liable for any damages whatsoever | //| (including, without limitation, incidental, direct, indirect and | //| consequential damages, damages for loss of business profits, | //| business interruption, loss of business information, or other | //| pecuniary loss) arising out of the use or inability to use this | //| product, even if advised of the possibility of such damages. | //+--------------------------------------------------------------------+ #property copyright "Copyright 2014, Miroslav Popov" #property link "http://forexsb.com" #property version "1.00" #property strict #include <Forexsb.com/Indicator.mqh> #include <Forexsb.com/Enumerations.mqh> //+------------------------------------------------------------------+ //| | //+------------------------------------------------------------------+ class EhlersFilter : public Indicator { public: EhlersFilter(SlotTypes slotType) { SlotType=slotType; IndicatorName="Ehlers Filter"; WarningMessage = ""; IsAllowLTF = true; ExecTime = ExecutionTime_DuringTheBar; IsSeparateChart = false; IsDiscreteValues = false; IsDeafultGroupAll = false; } virtual void Calculate(DataSet &dataSet); }; //+------------------------------------------------------------------+ //| | //+------------------------------------------------------------------+ void EhlersFilter::Calculate(DataSet &dataSet) { Data=GetPointer(dataSet); // Reading the parameters BasePrice basePrice = (BasePrice)ListParam[1].Index; int iPeriod = (int)NumParam[0].Value; int iShift = (int)NumParam[1].Value; int iPrvs = CheckParam[0].Checked ? 1 : 0; // TimeExecution if(basePrice == BasePrice_Open && iPeriod == 1 && iShift == 0) ExecTime = ExecutionTime_AtBarOpening; // Calculation double adPrice[];Price(basePrice,adPrice); double adEF[]; ArrayResize(adEF,Data.Bars); ArrayInitialize(adEF, 0); double dCoeff[]; ArrayResize(dCoeff,Data.Bars); ArrayInitialize(dCoeff, 0); double dNum; double dDen; int iFirstBar=iPeriod+iShift+2+iPrvs; for(int iBar=iFirstBar; iBar<Data.Bars; iBar++) { dCoeff[iBar]=0; dNum=0; dDen=0; for(int iBack=0; iBack<iPeriod; iBack++) { dCoeff[iBar]+=MathPow(adPrice[iBar]-adPrice[iBar-iBack-1],2); dNum += dCoeff[iBar-iBack] * adPrice[iBar-iBack]; dDen += dCoeff[iBar-iBack]; } if(dDen!=0) adEF[iBar]=dNum/dDen; } // Saving the components if(SlotType==SlotTypes_Open || SlotType==SlotTypes_Close) { ArrayResize(Component[1].Value,Data.Bars); for(int iBar=iFirstBar; iBar<Data.Bars; iBar++) { // Covers the cases when the price can pass through the MA without a signal double dValue = adEF[iBar - iPrvs]; // Current value double dValue1 = adEF[iBar - iPrvs - 1]; // Previous value double dTempVal= dValue; if((dValue1>Data.High[iBar-1] && dValue<Data.Open[iBar]) || // The Data.Open price jumps above the indicator (dValue1 < Data.Low[iBar - 1] && dValue > Data.Open[iBar]) || // The Data.Open price jumps below the indicator (Data.Close[iBar - 1] < dValue && dValue < Data.Open[iBar]) || // The Data.Open price is in a positive gap (Data.Close[iBar - 1] > dValue && dValue > Data.Open[iBar])) // The Data.Open price is in a negative gap dTempVal=Data.Open[iBar]; Component[1].Value[iBar]=dTempVal; // Entry or exit value } } else { ArrayResize(Component[1].Value,Data.Bars); Component[1].FirstBar=iFirstBar; ArrayResize(Component[2].Value,Data.Bars); Component[2].FirstBar=iFirstBar; } ArrayResize(Component[0].Value,Data.Bars); Component[0].CompName = "MA Value"; Component[0].DataType = IndComponentType_IndicatorValue; Component[0].FirstBar = iFirstBar; ArrayCopy(Component[0].Value,adEF); if(SlotType==SlotTypes_Open) { Component[1].CompName = "Position opening price"; Component[1].DataType = IndComponentType_OpenPrice; } else if(SlotType==SlotTypes_OpenFilter) { Component[1].DataType = IndComponentType_AllowOpenLong; Component[1].CompName = "Is long entry allowed"; Component[2].DataType = IndComponentType_AllowOpenShort; Component[2].CompName = "Is short entry allowed"; } else if(SlotType==SlotTypes_Close) { Component[1].CompName = "Position closing price"; Component[1].DataType = IndComponentType_ClosePrice; } else if(SlotType==SlotTypes_CloseFilter) { Component[1].DataType = IndComponentType_ForceCloseLong; Component[1].CompName = "Close out long position"; Component[2].DataType = IndComponentType_ForceCloseShort; Component[2].CompName = "Close out short position"; } if(SlotType==SlotTypes_OpenFilter || SlotType==SlotTypes_CloseFilter) { if(ListParam[0].Text=="The Ehlers Filter rises") { IndicatorRisesLogic(iFirstBar,iPrvs,adEF,Component[1],Component[2]); } else if(ListParam[0].Text=="The Ehlers Filter falls") { IndicatorFallsLogic(iFirstBar,iPrvs,adEF,Component[1],Component[2]); } else if(ListParam[0].Text=="The bar opens above the Ehlers Filter") { BarOpensAboveIndicatorLogic(iFirstBar,iPrvs,adEF,Component[1],Component[2]); } else if(ListParam[0].Text=="The bar opens below the Ehlers Filter") { BarOpensBelowIndicatorLogic(iFirstBar,iPrvs,adEF,Component[1],Component[2]); } else if(ListParam[0].Text=="The bar opens above the Ehlers Filter after opening below it") { BarOpensAboveIndicatorAfterOpeningBelowLogic(iFirstBar,iPrvs,adEF,Component[1], Component[2]); } else if(ListParam[0].Text=="The bar opens below the Ehlers Filter after opening above it") { BarOpensBelowIndicatorAfterOpeningAboveLogic(iFirstBar,iPrvs,adEF,Component[1], Component[2]); } else if(ListParam[0].Text=="The position opens above the Ehlers Filter") { Component[0].PosPriceDependence=PositionPriceDependence_BuyHigherSellLower; Component[0].UsePreviousBar=iPrvs; Component[1].DataType=IndComponentType_Other; Component[1].ShowInDynInfo=false; Component[2].DataType=IndComponentType_Other; Component[2].ShowInDynInfo=false; } else if(ListParam[0].Text=="The position opens below the Ehlers Filter") { Component[0].PosPriceDependence=PositionPriceDependence_BuyLowerSelHigher; Component[0].UsePreviousBar=iPrvs; Component[1].DataType=IndComponentType_Other; Component[1].ShowInDynInfo=false; Component[2].DataType=IndComponentType_Other; Component[2].ShowInDynInfo=false; } else if(ListParam[0].Text=="The bar closes below the Ehlers Filter") { BarClosesBelowIndicatorLogic(iFirstBar,iPrvs,adEF,Component[1],Component[2]); } else if(ListParam[0].Text=="The bar closes above the Ehlers Filter") { BarClosesAboveIndicatorLogic(iFirstBar,iPrvs,adEF,Component[1],Component[2]); } } } //+------------------------------------------------------------------+
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