[blackcat] L2 Ehlers Zero-lag Smoother

Level: 2


John F. Ehlers introuced Zero-Lag Data Smoothers in Jul, 2002.


John Ehlers introduced "Zero-Lag Data Smoothers", the infinite impulse response (IIR) filter and finite impulse response (FIR) filter.
In his article this issue on zero-lag smoothing, John Ehlers notes that his favorite filter is the symmetrically weighted six-bar finite impulse response (FIR) filter. This is also known as a triangular moving average, and can be conveniently implemented as a double-smoothed simple moving average. Per Ehlers, since this filter has six elements, its lag is 2.5 bars. Via further processing, this lag can be reduced to zero, but this produces too much overshoot. As a compromise, Ehlers suggests reducing the lag to one bar. To enable a user to adjust the lag easily, I provide the pine v4 code for an Adjustable Lag Filter indicator below. The first input, Price, should typically be set to OHLC, hl2, hl3, ohlc4 etc. The second input, LagReduction, should be set to a value in the zero-to-2.5 range. Setting it to zero will result in no adjustment, and the output will match that of the raw triangular average. Setting it to 2.5 will reduce the lag to zero. Setting it to 1.5 will reduce the lag to one bar.

Key Signal

Filter--> Zero-Lag Data Smoother fast line
Trigger--> Zero-Lag Data Smoother slow line

Pros and Cons

100% John F. Ehlers definition translation, even variable names are the same. This help readers who would like to use pine to read his book.


The 67th script for Blackcat1402 John F. Ehlers Week publication.


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