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Indicadores de ciclos y filtros de John Ehlers: Fisher Transform, MESA, Roofing Filter. 18 scripts escritos en Deepwick Script, un subconjunto de Pine Script.
18 scripts públicos
Adaptive RSI — Kaufman's Efficiency Ratio drives the RSI length. In choppy markets the RSI looks at 100 bars (almost noise); in trends it tightens to ~20 bars so it actually turns with price. - Same 30/70 extremes, but they fire more reliably than fixed-length RSI.
Ehlers Roofing Filter — bandpasses price through a high-pass then a low-pass; only the actionable cycle survives. Strip away trend and noise to see the pure swing. - Plot close over the filter; trade only in the direction of the filter slope.
Ehlers Reflex — the smoothed distance from the recent highest close. Highlights reflexive bounces off the rolling peak. - Drops below 0 = price lost the rolling peak; recovers above 0 = new high. - Trend filter when stacked with a 200-bar MA.
Ehlers Center of Gravity (simplified) — the classic CoG oscillator measures where the recent price action's centre of mass sits. Without a ta.linreg API we approximate with the difference between short and medium-rate-of-change — the same conceptual signal (short momentum vs medium momentum). - Zero-line crosses = cycle inflections. - Extremes anticipate reversals.
Ehlers BandPass Filter — a 2-pole bandpass that isolates a specific cycle band in the price series. Great for cycle traders who want to see just the swing component, not the noise. - Center the passband by adjusting len (period in bars). - Buy dips near the lower envelope, sell near the upper.
Ehlers Hilbert Trendline — a simple weighted moving sum that approximates the in-phase component of the Hilbert transform. Smoother than a 4-bar SMA, with no lag amplification. - Overlay the trigger (just the 2-bar projection of price) for entry signals. - Cheaper to compute than the full Hilbert engine.
Ehlers Smoothed RSI — feeds the differenced close (with a 4-bar smoothing kernel) into RSI. Strips out the slow trend before measuring relative strength, so the RSI hugs the cycle. - Cleaner than classic RSI on trending assets. - 70/30 still work as extreme zones.
Ehlers Decycle Oscillator — a fixed-coefficient FIR filter that subtracts its own 1-bar-delayed output from price. The result isolates the cycle component while removing the slow trend. - Centered around 0; zero-line crosses highlight cycle inflections. - Pairs well with ITrend for trend + cycle reads.
Ehlers MESA Adaptive Moving Average (MAMA / FAMA) — the first derivative of the dominant cycle phase. MAMA tracks price, FAMA is the slower confirmation; MAMA FAMA = trend up. - alpha controls the maximum adaptation speed; smaller = more conservative. - Best on volatile instruments where standard MAs lag too much.
Ehlers Instantaneous Trendline (ITrend) — a low-lag trend line from a 3-pole IIR filter; smoother than an EMA at the same length but adapts to volatility through alpha. - Buy when price crosses above the trigger (the 2-bar-prior price projection). - The line flips direction faster than a 50-EMA.
Ehlers Cyber Cycle — extracts the dominant market cycle with a two-pole high-pass and autoregressive smoothing. Crosses of the trigger line signal phase shifts within the cycle. - Tune alpha smaller (0.07) for longer cycles, larger (0.3) for shorter ones. - Pairs well with the Hilbert Trendline for cycle-aware entries.
Ehlers Inverse Fisher RSI — maps RSI through a hyperbolic tan so its values cluster at ±1 instead of being squished inside 30–70. The ±0.5 bands are the 'real' overbought / oversold levels. - Cleaner than raw RSI on ranging assets; great filter for mean-reversion.
Ehlers Fisher Transform — compresses price into a near-Gaussian distribution and applies a Fisher inverse so turns become sharp peaks instead of rounded ones. Excellent for spotting reversals at extremes. - Reads overbought / oversold above +1.6 / below -1.6. - Crosses of the trigger line are momentum signals.
Inverse Fisher RSI runs RSI through a hyperbolic-tan transform so its values cluster near ±1 instead of squashing inside 30-70. Far cleaner extremes than raw RSI. - Above +0.5 = overbought, below -0.5 = oversold. - Great filter for mean-reversion systems on choppy assets. - Raise Length for fewer, slower signals.
Fisher Transform stretches price into a near-Gaussian distribution then inverts the CDF so turns become sharp peaks. Excellent reversal oscillator. - Above +1.6 = overbought, below -1.6 = oversold. - Crossover of trigger (previous bar's value) flags momentum shifts. - Raise Length for steadier swings on noisy assets.
Adaptive Laguerre Filter is John Ehlers' Laguerre-inspired cascade — four cascading IIR filters with a gamma decay factor blend into a single smooth, low-lag line. The crossover with the trigger is a popular signal. - Default gamma = 0.8 is widely used; raise toward 1 for smoother output. - Crossover of price vs Laguerre is the canonical entry signal. - Excellent on noisy intraday data and crypto perpetual futures.
Modular Filter is the simplest single-pole low-pass smoother: each bar is the previous output plus half the change from price. Cute for showing how a moving-average kernel works — and surprisingly useful on highly smoothed inputs. - Cutoff is fixed; treat it as a learning toy or sanity baseline. - Great for visualizing the gap-filler problem an EMA solves. - Not recommended for production signals.
Gaussian Filter is a single-pole Gaussian kernel applied recursively. Beautifully smooth, no overshoot, and the canonical noise-reduction stage that Ehlers builds most of his other filters on. - Raise width (the standard-deviation multiplier) for a thicker, smoother line. - Best on noisy assets (BTCUSD, ES) and as a pre-smoother for downstream indicators. - Combine with a faster line for non-trendline Gaussian crossover signals.