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Ehlers Filters by John Ehlers
More PREV Stuff

To: "MetaStock List" <metastock@xxxxxxxxxxxxx>
Subject: More PREV Stuff
From: "C.S." <csaxe@xxxxxxxxxxx>
Date: Fri, 23 Mar 2001 10:11:37 -0800
Sender: owner-metastock@xxxxxxxxxxxxx

Just when I thought that I was beginning to figure out Metastock formula language, the following was listed in Apr 01 TASC Traders' Tips as the solution to Ehler's nonlinear filter article. The first one is easy to figure out from the article.

Ehlers Filter

ti:= 15;
pr:= MP();
coef:= Abs(pr - Ref(pr,-5));
Sum(coef*pr,ti)/Sum(coef,ti)

This one works, but has me stumped as to how it works according to the article. You really have to read the article to understand what is being calculated here.

Distant Coefficient Ehlers Filter

ti:= 15;
pr:= MP();
coef:=Sum(Power(Ref(LastValue(pr+PREV-PREV)-pr,-1),2),ti);
Sum(coef*pr,ti)/Sum(coef,ti)

The two PREV would appear to be just adding a number and then subtracting a number, leaving "pr" but that isn't the case. The formulas were written by Cheryl Abram of Equis. It would be nice if someone at Equis would consider having her give a us a quick class on how this works and other formula construction tips.

I came up with:

ti:=15;
pr:=MP();
coef:=Sum(Power(LastValue(pr)-Ref(pr,-1),2),ti);
Sum(coef*pr,ti)/Sum(coef,ti)

This works too, but doesn't follow rapid price changes as quickly as Cheryl's formula.

Any ideas on how the two PREV act together?

-Corey

[1240]

Re: More PREV Stuff
To: <metastock@xxxxxxxxxxxxx>
Subject: Re: More PREV Stuff
From: "C.S." <csaxe@xxxxxxxxxxx>
Date: Fri, 23 Mar 2001 14:49:04 -0800
References: 003701c0b3c4\$b46edc20\$059117d0@xxxxx
<001001c0b3c9\$f7ffaaa0\$d892fea9@xxxxxx>
Sender: owner-metastock@xxxxxxxxxxxxx

Yes, I realize that, but addition and subtraction is on the same precedence level. However I assume that (pr+PREV-PREV) should be the same as (pr), because Ref(LastValue(pr+PREV-PREV)-pr,-1) = Ref(LastValue(pr-PREV+PREV)-pr,-1).

In examining the equation, I found another interesting phenomena,

pr:=CLOSE;
Ref(LastValue(pr+PREV-PREV)-pr,-1)

Is not the same as:

Ref(LastValue(CLOSE+PREV-PREV)-CLOSE,-1)

Even though

Ref(LastValue(C)-C,-1) = Ref(LastValue(pr)-pr,-1)

and

LastValue(pr+PREV-PREV)-pr = LastValue(C+PREV-PREV)-C

.....the "plot" thickens....

-Corey

[1250]

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