For this month's Traders' Tips, we provide CQG code for the Early-Onset Trend Indicator, described in the August 2014 Stocks and Commodities Magazine article, The Quotient Transformation by John F. Ehlers.
Study Code
/*Early-Onset Trend Indicator by John F. Ehlers*/ Parameters: LPPeriod(15); K(.95); /*Highpass filter cyclic components whose periods are shorter than 100 bars*/ alpha1:= (Cos(.707*360/100) + Sin(.707*360/100) -1) / Cos(.707*360/100); HP:=(1 - alpha1 /2)*(Close(@) - 2*Close(@)[-1] + Close(@)[-2])+ 2*(1 - alpha1)*HP[-1] - (1 -alpha1)*(1 - alpha1)*HP[-2]; /*SuperSmoother Filter*/ a1:= Exponential(-1.414*3.14159/LPPeriod); b1:= 2* a1* Cos(1.414*180/LPPeriod); c2:= b1; c3:= -a1*a1; c1:= 1 - c2 - c3; Filt:= c1*(HP + HP[-1]) / 2 + c2*Filt[-1]+ c3*Filt[-2]; /*Fast Attack - Slow Decay Algorithm*/ Peak:= if(Abs(Filt) > Peak[-1], Abs(Filt),Peak[-1] * .991); /*Normalized Roofing Filter*/ X:=Filt/Peak; Quotient:= (X + K) / (K*X + 1); quotient
The Early-Onset Trend Indicator study has two parameters: LPPeriod and K, which may be configured in the Modify Study Parameters window after the study has been applied to a chart in CQG. An example of the Early-Onset Trend Indicator for SPY is depicted in the chart below.
