OPEN-SOURCE SCRIPT
TASC 2024.04 The Ultimate Smoother

█ OVERVIEW
This script presents an implementation of the digital smoothing filter introduced by John Ehlers in his article "The Ultimate Smoother" from the April 2024 edition of TASC's Traders' Tips.
█ CONCEPTS
The UltimateSmoother preserves low-frequency swings in the input time series while attenuating high-frequency variations and noise. The defining input parameter of the UltimateSmoother is the critical period, which represents the minimum wavelength (highest frequency) in the filter's pass band. In other words, the filter attenuates or removes the amplitudes of oscillations at shorter periods than the critical period.
According to Ehlers, one primary advantage of the UltimateSmoother is that it maintains zero lag in its pass band and minimal lag in its transition band, distinguishing it from other conventional digital filters (e.g., moving averages). One can apply this smoother to various input data series, including other indicators.
█ CALCULATIONS
Ehlers derived the UltimateSmoother using inspiration from the design principles he learned from his experience with analog filters, as described in the original publication. On a technical level, the UltimateSmoother's unique response involves subtracting a high-pass response from an all-pass response. At very low frequencies (lengthy periods), where the high-pass filter response has virtually no amplitude, the subtraction yields a frequency and phase response practically equivalent to the input data. At other frequencies, the subtraction achieves filtration through cancellation due to the close similarities in response between the high-pass filter and the input data.
This script presents an implementation of the digital smoothing filter introduced by John Ehlers in his article "The Ultimate Smoother" from the April 2024 edition of TASC's Traders' Tips.
█ CONCEPTS
The UltimateSmoother preserves low-frequency swings in the input time series while attenuating high-frequency variations and noise. The defining input parameter of the UltimateSmoother is the critical period, which represents the minimum wavelength (highest frequency) in the filter's pass band. In other words, the filter attenuates or removes the amplitudes of oscillations at shorter periods than the critical period.
According to Ehlers, one primary advantage of the UltimateSmoother is that it maintains zero lag in its pass band and minimal lag in its transition band, distinguishing it from other conventional digital filters (e.g., moving averages). One can apply this smoother to various input data series, including other indicators.
█ CALCULATIONS
Ehlers derived the UltimateSmoother using inspiration from the design principles he learned from his experience with analog filters, as described in the original publication. On a technical level, the UltimateSmoother's unique response involves subtracting a high-pass response from an all-pass response. At very low frequencies (lengthy periods), where the high-pass filter response has virtually no amplitude, the subtraction yields a frequency and phase response practically equivalent to the input data. At other frequencies, the subtraction achieves filtration through cancellation due to the close similarities in response between the high-pass filter and the input data.
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Tools and ideas for all Pine coders: tradingview.com/u/PineCoders/
TASC: traders.com/
There won't be a publication in September; we'll be back in October.
TASC: traders.com/
There won't be a publication in September; we'll be back in October.
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オープンソーススクリプト
TradingViewの精神に則り、この作者はスクリプトのソースコードを公開しているので、その内容を理解し検証することができます。作者に感謝です!無料でお使いいただけますが、このコードを投稿に再利用する際にはハウスルールに従うものとします。
Tools and ideas for all Pine coders: tradingview.com/u/PineCoders/
TASC: traders.com/
There won't be a publication in September; we'll be back in October.
TASC: traders.com/
There won't be a publication in September; we'll be back in October.
免責事項
これらの情報および投稿は、TradingViewが提供または保証する金融、投資、取引、またはその他の種類のアドバイスや推奨を意図したものではなく、またそのようなものでもありません。詳しくは利用規約をご覧ください。