Ehlers Roofing filter - Wealth Lab Forum

Ehlers Roofing filter

Author: WEALTHPRO25

Creation Date: 2/29/2016 4:39 PM

Wealth Lab » Technical Indicators » Ehlers Roofing filter

WEALTHPRO25

2/29/2016 4:39 PM

dear sir,

i am following john ehlers strategy with the code below, i want to shift the phase of the chart of the roofing filter to the left, so the valley and peak of the chart comes 3 bars early, can you please help

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dear sir,

i am following  john ehlers strategy with the code below, i want to shift the phase of the chart of the roofing filter to the left, so the valley and peak of the chart comes 3 bars early, can you please help

[code]using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;
using TASCIndicators;

namespace WealthLab.Strategies
{
	public class Ehlers201401 : WealthScript
	{
		private StrategyParameter paramPeriod;
		
		public Ehlers201401()
		{
			paramPeriod = CreateParameter("MESAStoch.Period",20,5,100,5);
		}
		
		protected override void Execute()
		{
			int period = paramPeriod.ValueInt;
			RoofingFilter rf = RoofingFilter.Series(Close);
			MESAStochastic ms = MESAStochastic.Series(Close, period);
			
			for(int bar = period; bar < Bars.Count; bar++)
			{
				// Detect crossover/crossunder and store state in a variable
				bool maXo = CrossOver(bar, ms, 0.8);
				bool maXu = CrossUnder(bar, ms, 0.2);
					
				// The first trade
				if (Positions.Count == 0){
					if ( maXu ) 
						BuyAtMarket( bar + 1 );
					else if( maXo )
						ShortAtMarket( bar + 1 );
				}
					// Subsequent trades
				else 
				{
					Position p = LastPosition;				
					if ( p.PositionType == PositionType.Long ) 
					{
						if ( maXo ) 
						{
							SellAtMarket( bar + 1, p );
							ShortAtMarket( bar + 1 );
						}
					}
					else if ( maXu ) 
					{
						CoverAtMarket( bar + 1, p );
						BuyAtMarket( bar + 1 );
					}
				}	
			}

HideVolume();
			ChartPane pMS = CreatePane(40,false,true);
			ChartPane pRF = CreatePane(20,true,true);
			PlotSeries(PricePane,SuperSmoother.Series(Close),Color.Red,LineStyle.Solid,1);
			PlotSeries(pRF,rf,Color.FromArgb(255,0,0,139),LineStyle.Solid,1);
			PlotSeries(pMS,ms,Color.FromArgb(255,255,0,128),LineStyle.Solid,2);
			DrawHorzLine(pMS,0.8,Color.Red,LineStyle.Dashed,1);
			DrawHorzLine(pMS,0.2,Color.DarkGreen,LineStyle.Dashed,1);
		}
	}
[/code]}

Eugene

2/29/2016 5:34 PM

You'll find an answer in the QuickRef, it's very simple:

What does >> do to a DataSeries?

Warning: shifting data to the left (from the future to the past) using the << operator is peeking into the future. The correct shifting should be performed in an opposite manner - to the right using the >> operation.

07nioe

3/29/2016 1:06 PM

Hi Eugene,

another question regarding the roofing filter: How do you change the periods of the two integrated filters (high-pass and supersmoother)? Could you release the code for it?

Thanks.

Best
07nioe

Eugene

3/29/2016 1:17 PM

Hi Niels,

The code for all TASCIndicators is open source. You can obtain it by logging in to the Wiki (your Wiki account is synonymous to the website's account) and clicking on the green "Attachments" button on this page:

Home - TASCIndicators

For example, Ehlers SuperSmoother is contained within SuperSmoother.cs.