OPEN-SOURCE SCRIPT
Adaptive Zero Lag EMA [STUDY]
Updated
A user has asked for the Study/Indicator version of this Strategy.
If you encounter the error "loop....>100ms" simply toggle the eye icon to hide and unhide the indicator
The following is simply quoted from my previous post for your convenience: (obviously there won't be risk, Stop Loss, or Take profit parameters!)
OPERATING PRINCIPLE
The strategy is based on Ehlers idea that any indicator can be turned into a signal-producing trade system through smoothing and other filtering processes.
In fact, I'm using his Zero Lag EMA ( ZLEMA ) as a baseline indicator as well as some code snippets he has made public (1). God bless open source!
Next, I've provided the option to use an Instantaneous Frequency Measurement (IFM) method, which will adaptively choose the best period for the ZLEMA (2)
I've written other studies that use the differential calculus approximations for IFM, so it was only natural to include them in this strategy.
The primary two are Cosine IFM (3) and In-phase Quadrature IFM (4). You can also find an indicator with both plotted and the ability to average them together, as one IFM prefers long periods and the other short. (5)
BEFORE WE BEGIN
1. This strategy only runs on "normal" FX pairs ( EURUSD , GBPJPY , AUDUSD ...) and will fail on Metals or Commodities.
Cryptos are largely untested.
2. Please run it on these time frames: M15 to D.
Anything outside this range will likely fail.
HOW TO USE AND SUCCEED
1. If the Default settings don't produce good results right off the bat, then lower gain limit to 1 or 2 and threshold to 0.01.
2. Test each setting under adaptive method. If you want to leave it Off, then I'd recommend using some kind of IFM (see my links below) to
discover the most efficient period to use.
3. Once you have the best adaptive method chosen, begin incrementing gain limit until you find a nice balance between profit factor ( PF ) and drawdown.
4. Now, begin incrementing threshold. The goal is to have PF above 2 and a drawdown as low as possible.
5. Finally, change the source! Typically, close is the best option, but I have run into cases where high
yielded the highest returns and win rate.
6. Sit back, relax, and tweak the risk until you're happy with the return and drawdown amounts.
ADVANCED
You may need to adjust take profit (TP) points and stop loss (SL) points to create the best entry possible. Don't be greedy! You'll likely have poor
results if the TP is set to 300 and SL is 50.
If you are trading a pair that has a long Dominant Cycle Period, then you may increase Max Period to allow the IFM
to accept longer periods. Any period above the Max Period will be rejected. This may increase lag time!
Cheers and good luck trading!
-DasanC
(1)mesasoftware.com/papers/ZeroLag.pdf
(2)jamesgoulding.com/Research_II/Ehlers/Ehlers (Measuring Cycles).doc
(3) Cosine IFM
(4) I-Q IFM
(5) Averaging IFM
IFM stands for Instantaneous frequency measurement
If you encounter the error "loop....>100ms" simply toggle the eye icon to hide and unhide the indicator
The following is simply quoted from my previous post for your convenience: (obviously there won't be risk, Stop Loss, or Take profit parameters!)
OPERATING PRINCIPLE
The strategy is based on Ehlers idea that any indicator can be turned into a signal-producing trade system through smoothing and other filtering processes.
In fact, I'm using his Zero Lag EMA ( ZLEMA ) as a baseline indicator as well as some code snippets he has made public (1). God bless open source!
Next, I've provided the option to use an Instantaneous Frequency Measurement (IFM) method, which will adaptively choose the best period for the ZLEMA (2)
I've written other studies that use the differential calculus approximations for IFM, so it was only natural to include them in this strategy.
The primary two are Cosine IFM (3) and In-phase Quadrature IFM (4). You can also find an indicator with both plotted and the ability to average them together, as one IFM prefers long periods and the other short. (5)
BEFORE WE BEGIN
1. This strategy only runs on "normal" FX pairs ( EURUSD , GBPJPY , AUDUSD ...) and will fail on Metals or Commodities.
Cryptos are largely untested.
2. Please run it on these time frames: M15 to D.
Anything outside this range will likely fail.
HOW TO USE AND SUCCEED
1. If the Default settings don't produce good results right off the bat, then lower gain limit to 1 or 2 and threshold to 0.01.
2. Test each setting under adaptive method. If you want to leave it Off, then I'd recommend using some kind of IFM (see my links below) to
discover the most efficient period to use.
3. Once you have the best adaptive method chosen, begin incrementing gain limit until you find a nice balance between profit factor ( PF ) and drawdown.
4. Now, begin incrementing threshold. The goal is to have PF above 2 and a drawdown as low as possible.
5. Finally, change the source! Typically, close is the best option, but I have run into cases where high
yielded the highest returns and win rate.
6. Sit back, relax, and tweak the risk until you're happy with the return and drawdown amounts.
ADVANCED
You may need to adjust take profit (TP) points and stop loss (SL) points to create the best entry possible. Don't be greedy! You'll likely have poor
results if the TP is set to 300 and SL is 50.
If you are trading a pair that has a long Dominant Cycle Period, then you may increase Max Period to allow the IFM
to accept longer periods. Any period above the Max Period will be rejected. This may increase lag time!
Cheers and good luck trading!
-DasanC
(1)mesasoftware.com/papers/ZeroLag.pdf
(2)jamesgoulding.com/Research_II/Ehlers/Ehlers (Measuring Cycles).doc
(3) Cosine IFM
(4) I-Q IFM
(5) Averaging IFM
IFM stands for Instantaneous frequency measurement
Release Notes
Updated code efficiencyOpen-source script
In true TradingView spirit, the author of this script has published it open-source, so traders can understand and verify it. Cheers to the author! You may use it for free, but reuse of this code in publication is governed by House rules. You can favorite it to use it on a chart.
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