Instantaneous TrendLine

[Tams 20]

Instantaneous TrendLine

by John Ehlers

 

 

Van: John Ehlers <john@xxxxxxxxxxxxxxxx>

Aan: john@xxxxxxxxxxxxxxxx <john@xxxxxxxxxxxxxxxx>

Onderwerp: Instantaneous Trendline

Datum: zondag 25 oktober 1998 23:19

 

To MESA Users Group:

 

Here is a set of new indicators that you can program yourselves. The

first of these indicators I call an INSTANTANEOUS TRENDLINE. It works

because it completely removes the dominant cycle from a smoothing average.

For the mathematically inclined, the Fourier Transform of a rectangular

window (formed by a simiple average) is a Sin(X)/X distribution. The

objective is to place the first null of this distribution exactly at the

dominant cycle. For the intuitively inclined, what we are doing is taking

a simple average over the full dominant cycle period. In such an average,

there are as many sample points above the midpoint as below the midpoint

with the result that the sum of all these sample points is zero.

 

OK, so all we have to do to get an Instantaneous Trendline is to take a

simple average whose length is exactly the period of the dominant cycle.

For those of you who have TradeStation and MESA96, you just insert the dc

variable for the length of the simple moving average. For those of you who

have MetaStock or other toolbox packages, you just have to estimate the

length of the dominant cycle and insert that estimate as your moving

average period. Of course, this estimate is fixed across your entire

screen, but the dominant cycle length can be varying. So watch out for

that problem.

 

The next indicator is created by taking a moving average over half the

period of a dominant cycle. In this case, the amplitude of the dominant

cycle is attenuated by exactly 2/PI. Our objective is to restore the full

amplitude of the cyclic portion. So we take this latest moving average,

subtract the "Instantaneous Trendline", multiple the difference by PI/2

(1.57 approximately), and then add the Instantaneous trendline back. Since

the lag of a moving average is about half the moving average window length,

this modified half dominant cycle moving average will still lag the realy

cyclic swing by a quarter cycle.

 

Now, when we look at these two moving averages, we can make two

assessments. First, we now solve the age-old problem of what is the

trendline. We have create an adaptive trendline. Secondly, we can see the

cyclic swing relative to this trendline so that we can assess the amplitude

of the cyclic movement. If this cyclic amplitude is not several times that

average daily bar range, then getting an entry and exit for a profitable

cyclic move becomes a crapshoot. In other words, the signal to noise ratio

is so low that even though we have identified a good cycle, it is not large

enough to trade profitably without relying on an intraday fill.

 

Good Trading!!!

 

John

 

 

 

 

 

Note:

This indicator was written in EasyLanguage.

Please refer to your users manual for importation instructions.

 

 

 

Your comments and rating of this indicator is appreciated.

Instantaneous TrendLine.txt

Edited November 19, 2009 by Tams

[aaa 10]

Xcellent TAMS !

 

I've noticed that the blue line and the red line

acts as the price position with a avg W/O divergences

 

So what more can it brings than reading a chart with price + avg ?

 

No replies Xpected of course, only observation

 

aaa

[Tams 20]

I was hoping someone can give me some clue...

[shrike 10]

Hi Tams

 

 

maybe you should draw a trendile from points where difference between two lines is high

,i haven't find a right measure of difference but seems me at least two point , i'm searching and making some test

[Charlton 10]

Look at the Afta 2003 powerpoint - pass all the mathematical bits and there are suggestiions on how to trade it

Home

 

Also look either at his orgiinal book (excerpt here)

 

Rocket science for traders: digital ... - Google Books

 

Or his book"Cybernetic analysis for stocks and futures", where he explains the crossover strategy and gives profitability and drawdown analysis. Basically the strategy is to buy at next bar if the trigger line crosses over the trendline, sell short at next bar if trigger crosses under trend line. He tested the strategy on currency futures because of the tendency to trend.

 

He also describes it in chap 9 of his book Mesa and Trading Market cycles.

 

An interesting mathematical exercise perhaps - has the advantage of using crossovers, which are easy to trade - BUT whether it provides any substantial benefits compare to other tools e.g. MA is for you to decide for yourselves.

 

Charlton

Edited November 22, 2009 by Charlton

[shrike 10]

Hi Charlton

 

thanks for the links :beer:

[Tams 20]

Hi Tams

maybe you should draw a trendile from points where difference between two lines is high

,i haven't find a right measure of difference but seems me at least two point , i'm searching and making some test

 

 

that sounds like an idea worthy of further examination.

 

if you can draw a mock up to illustrate your idea,

I can whip up some test codes for you.

[shrike 10]

Hi Tams

 

i've only gave a quick look and first impression how to use it ,considering we are speaking about a trendline , is to wait when there are two cross , maybe better with a big difference , wait if trendline is broken and take position ,only, when price come back on trendline

[Tams 20]

Hi Tams

 

i've only gave a quick look and first impression how to use it ,considering we are speaking about a trendline , is to wait when there are two cross , maybe better with a big difference , wait if trendline is broken and take position ,only, when price come back on trendline

 

 

I don't quite understand your chart...

where do you think is the critical point?

what are the attributes of the critical point?

what are your thought at that critical point?

what kind of "alert" would you like to see at the critical point?

 

if the alerts pan out... it can be converted to buy/sell orders in a strategy.

[shrike 10]

Hi Tams

 

i have not been very clear considering of my bad english :embarassed:

 

i have been thinking critical points are when difference between red and yellow line is big , i don't know exactly how much big .

 

for instance in my chart where i start the trendline , after wait for yellow line go up , also here we must have also a significant difference , yellow line goes down again and there is another difference , after line yellow goes up again and then we search the two min and we match them with a trenline .

we wait if trendline is breaks ,if yes ,we wait for a retest on trendline and then we work there on.

 

the same for the positive difference

[Tams 20]

to see the difference between the 2 line...

all you have to do is to normalize the line.

 

i.e. minus one line from the other...

 

 

 

 

 

is this what you have in mind?

 

 

.

Instantaneous Trend Line (spread version).txt

[shrike 10]

Hi

 

hey tams but you are a fantastic with code el :beer: , yes this is what i'm thinking on

[shrike 10]

ok

of course needs find some rules about the difference and maybe the duration of time but but to a quickly look seems interesting

[Tams 20]

Look at the Afta 2003 powerpoint - pass all the mathematical bits and there are suggestiions on how to trade it

Home

 

....Charlton

 

 

this is a wealth of information...

thanks for posting.

[aaa 10]

Also look either at his orgiinal book (excerpt here)

 

Rocket science for traders: digital ... - Google Books

 

ThanX Charlton 4 the links

 

Google book is amazing

 

I'm wondering Why 2 buy a book if we can read it 4 free via google books ?

 

What about the copyright ?

[Charlton 10]

In fact you cannot see the whole book. You will find pages are missing in the Google review. However, if you are searching for something specific or browse as you would do in a physical bookshop it can be useful. Not all publishers allow Google or Amazon to show previews inside their books though.

 

Anyway I have found it handy to preview books before I go out spending $40 + on books.

 

Charlton

[shrike 10]

Hi

 

code for istantaneus trendline as explain in that book

ISTANTANEUS TRENDLINE.txt

[shrike 10]

Hi

 

i found and read the book , but when i tried to copy code found in it , this not work and i found many errors

[Tams 20]

Hi

 

i found and read the book , but when i tried to copy code found in it , this not work and i found many errors

 

 

you have to describe and explain the following phrases: (with illustrations)

 

"this not work"

"i found many errors"

Edited November 29, 2009 by Tams

[shrike 10]

may i post few page of the book , where i copied formula ?

[shrike 10]

sinewave indicator from book

sinewave.txt

[shrike 10]

this code i found on mesa's website , i just add an exp mov

Inputs:
Price((H+L+c+o)/4),  Len(28),len2(14);
Vars:
alpha(0), Filt(0), MaxCorr(0), Corr(0), IR(0), J(0), Phase(0), Signal(0), Lead(0),medi(0);

alpha = (1 - Sine (360 / Len)) / Cosine(360 / Len);
Filt= .5*(1 + alpha)*(Price - Price[1]) + alpha*Filt[1];
MaxCorr = 0;
For IR = 0 to Len - 1 Begin
Corr = 0;
For J = 0 to Len - 1 Begin
	Corr = Corr + Filt[J]*Sine(360*(CurrentBar + IR + J) / Len);
End;
If Corr > MaxCorr Then Begin
	MaxCorr = Corr;
	Phase = IR;
End;
End;
Signal = Sine(360*(CurrentBar + Phase) / Len);
Lead = Sine(360*(CurrentBar + Phase - 2) / Len);
Plot1(Signal);
Plot3(Lead);
PLOT2(0,"O");
plot4(XAverage(Signal,len2),"med");

[Wallan1 10]

Hello Jack:

 

Thanks for your “Instantaneous TrendLine” post. It is a very useful trading tool.

 

Your indicator is similar to another version of Ehlers indicator, I have been using for several years. l have added a couple of tweaks, which has made it quite profitable for me. I trade multiple time frame range charts. If you have interest, I will be glad to share the modified code and chart setup with you.

 

Thanks again for your code, it is greatly appreciated!

 

Best regards and good trading, my friend,

 

Wallan1

[Tams 20]

Hello Jack:

 

Thanks for your “Instantaneous TrendLine” post. It is a very useful trading tool.

 

Your indicator is similar to another version of Ehlers indicator, I have been using for several years. l have added a couple of tweaks, which has made it quite profitable for me. I trade multiple time frame range charts. If you have interest, I will be glad to share the modified code and chart setup with you.

 

Thanks again for your code, it is greatly appreciated!

 

Best regards and good trading, my friend,

 

Wallan1

 

 

I am glad to hear your success.

Please post your setup/code here, so that we can learn from you.

[Wallan1 10]

As per your request, my tweaked code for your “Instantaneous Trend Line”, wherein I added :

1. Separate Price Inputs for the” Trend” and “Cycle”, which provides the ability to enhance the “Cycle’s” action vs. the” Trend”;

2. ColorChange options for the “Trend”; and

3. ColorChange for the “Cycle’s” change in Slope.

 

I am a short-term swing trader looking to make 3 – 10 ES ticks ( with my target based on the 3-day average range) on a swing in Trend. I trade the following TradeStation, multi-timeframe, range bar charts:

1. Fast: RangeBar-610 Tick;

2. Intermediate: RangeBar-1830 Tick; and

3. Slow: RangeBar-3660 Tick

 

Inputs:

TL_Price:

1, 2, and 3 = (H+L+C+C) /4

 

Cycle_Price:

1. (Function) $b_T3A.s(H+L+C+C) /4, 5, 2.3);

2. (Function) $b_T3A.s(H+L+C+C) /4, 5, 2.9); and

3. (Function) $b_T3A.s(H+L+C+C) /4, 3, 2.3).

 

ColorChange:

1, 2, and 3 = 2 :

 

UpColor:

1, 2, and 3 = RGB(116, 133, 252); and

 

DnColor:

1, 2, and 3 = RGB(255, 119, 119).

 

 

 

Good Trading!

INSTANTANEOUS TL.ELD