Class Ehlers_TechnicalPapers

Collection of indicators from John F. Ehlers's website, see https://www.mesasoftware.com/papers/ and https://www.mesasoftware.com/TechnicalArticles.htm

Inheritance

object

Ehlers_TechnicalPapers

Inherited Members

object.Equals(object)

object.Equals(object, object)

object.GetHashCode()

object.GetType()

object.MemberwiseClone()

object.ReferenceEquals(object, object)

object.ToString()

Namespace: TuringTrader.SimulatorV2.Indicators

Assembly: TuringTrader.Simulator.dll

Syntax

public static class Ehlers_TechnicalPapers

Methods

CyberCycle(TimeSeriesFloat, double)

Cycle indicator, as suggested by John F. Ehlers in his paper 'The Inverse Fisher Transform.' https://www.mesasoftware.com/papers/TheInverseFisherTransform.pdf

Declaration

public static TimeSeriesFloat CyberCycle(this TimeSeriesFloat series, double alpha = 0.07)

Parameters

Type	Name	Description
TimeSeriesFloat	series
double	alpha

Returns

Type	Description
TimeSeriesFloat

ErrorCorrectedEMA(TimeSeriesFloat, int, int)

Calculate Error-Corrected Exponential Moving Average, as proposed by John F. Ehlers and Ric Way in their paper 'Zero Lag (well, almost).' https://www.mesasoftware.com/papers/ZeroLag.pdf

Declaration

public static TimeSeriesFloat ErrorCorrectedEMA(this TimeSeriesFloat series, int length = 20, int gainLimit = 50)

Parameters

Type	Name	Description
TimeSeriesFloat	series	input series
int	length	filter length
int	gainLimit	max gain for error term, scaled by 10x

Returns

Type	Description
TimeSeriesFloat	Error-Corrected EMA series

InverseFisherTransform(TimeSeriesFloat)

Calculate Inverse Fisher Transformation, as proposed by John F. Ehlers in his paper 'The Inverse Fisher Transform' https://www.mesasoftware.com/papers/TheInverseFisherTransform.pdf

Declaration

public static TimeSeriesFloat InverseFisherTransform(this TimeSeriesFloat series)

Parameters

Type	Name	Description
TimeSeriesFloat	series	input series, range should be between -5 and +5

Returns

Type	Description
TimeSeriesFloat

NoiseEliminationTechnology(TimeSeriesFloat, int)

Calculate Noise Elimination Techology (NET) as proposed by John F. Ehlers in his paper 'NET - Noise Eliminating Technolgy, Clarify Your Indicators using Kendall Correlation.' https://www.mesasoftware.com/papers/Noise%20Elimination%20Technology.pdf https://en.wikipedia.org/wiki/Kendall_rank_correlation_coefficient

Declaration

public static TimeSeriesFloat NoiseEliminationTechnology(this TimeSeriesFloat series, int n = 14)

Parameters

Type	Name	Description
TimeSeriesFloat	series	input series
int	n	NET length

Returns

Type	Description
TimeSeriesFloat	noise-reduced time series, ranging between -1 and +1