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[blackcat] L2 Ehlers Modified Stochastic Indicator
Level: 2
Background
John F. Ehlers introuced Modified Stochastic Indicator in his "Cycle Analytics for Traders" chapter 7 on 2013.
Function
Conventional indicators are not immune to the effects of spectral dilation. For example, a Stochastic indicator remains near its upper bound when the market is in an uptrend even though a relatively short lookback period is used. This, of course, is due to the presence of the larger and longer cyclic components in the data. In a broad sense, the classic Stochastic indicator acts as a one-pole filter because there is just a single difference term in the numerator of its calculation. This calculation is the same as the standard, except Dr. Ehlers use a SuperSmoother for the smoothing instead of moving averages. The bottom subgraph shows an identical calculation except that the Stochastic calculations are preceded by the roofing filter that constrains the cyclic components to fall within the range from 10-bar to 48-bar periods. Clearly, the Stochastic indicator has been dramatically altered by the insertion of the roofing filter.
Dr. Ehlers leaves it to the reader to explore how standard indicators can be improved simply by inserting the roofing filter before the indicator computations are begun.
Key Signal
MyStochastic --> Modified Stochastic Indicator fast line
Trigger --> Modified Stochastic Indicator slow line
Pros and Cons
100% John F. Ehlers definition translation of original work, even variable names are the same. This help readers who would like to use pine to read his book. If you had read his works, then you will be quite familiar with my code style.
Remarks
The 44th script for Blackcat1402 John F. Ehlers Week publication.
Readme
In real life, I am a prolific inventor. I have successfully applied for more than 60 international and regional patents in the past 12 years. But in the past two years or so, I have tried to transfer my creativity to the development of trading strategies. Tradingview is the ideal platform for me. I am selecting and contributing some of the hundreds of scripts to publish in Tradingview community. Welcome everyone to interact with me to discuss these interesting pine scripts.
The scripts posted are categorized into 5 levels according to my efforts or manhours put into these works.
Level 1 : interesting script snippets or distinctive improvement from classic indicators or strategy. Level 1 scripts can usually appear in more complex indicators as a function module or element.
Level 2 : composite indicator/strategy. By selecting or combining several independent or dependent functions or sub indicators in proper way, the composite script exhibits a resonance phenomenon which can filter out noise or fake trading signal to enhance trading confidence level.
Level 3 : comprehensive indicator/strategy. They are simple trading systems based on my strategies. They are commonly containing several or all of entry signal, close signal, stop loss, take profit, re-entry, risk management, and position sizing techniques. Even some interesting fundamental and mass psychological aspects are incorporated.
Level 4 : script snippets or functions that do not disclose source code. Interesting element that can reveal market laws and work as raw material for indicators and strategies. If you find Level 1~2 scripts are helpful, Level 4 is a private version that took me far more efforts to develop.
Level 5 : indicator/strategy that do not disclose source code. private version of Level 3 script with my accumulated script processing skills or a large number of custom functions. I had a private function library built in past two years. Level 5 scripts use many of them to achieve private trading strategy.
Background
John F. Ehlers introuced Modified Stochastic Indicator in his "Cycle Analytics for Traders" chapter 7 on 2013.
Function
Conventional indicators are not immune to the effects of spectral dilation. For example, a Stochastic indicator remains near its upper bound when the market is in an uptrend even though a relatively short lookback period is used. This, of course, is due to the presence of the larger and longer cyclic components in the data. In a broad sense, the classic Stochastic indicator acts as a one-pole filter because there is just a single difference term in the numerator of its calculation. This calculation is the same as the standard, except Dr. Ehlers use a SuperSmoother for the smoothing instead of moving averages. The bottom subgraph shows an identical calculation except that the Stochastic calculations are preceded by the roofing filter that constrains the cyclic components to fall within the range from 10-bar to 48-bar periods. Clearly, the Stochastic indicator has been dramatically altered by the insertion of the roofing filter.
Dr. Ehlers leaves it to the reader to explore how standard indicators can be improved simply by inserting the roofing filter before the indicator computations are begun.
Key Signal
MyStochastic --> Modified Stochastic Indicator fast line
Trigger --> Modified Stochastic Indicator slow line
Pros and Cons
100% John F. Ehlers definition translation of original work, even variable names are the same. This help readers who would like to use pine to read his book. If you had read his works, then you will be quite familiar with my code style.
Remarks
The 44th script for Blackcat1402 John F. Ehlers Week publication.
Readme
In real life, I am a prolific inventor. I have successfully applied for more than 60 international and regional patents in the past 12 years. But in the past two years or so, I have tried to transfer my creativity to the development of trading strategies. Tradingview is the ideal platform for me. I am selecting and contributing some of the hundreds of scripts to publish in Tradingview community. Welcome everyone to interact with me to discuss these interesting pine scripts.
The scripts posted are categorized into 5 levels according to my efforts or manhours put into these works.
Level 1 : interesting script snippets or distinctive improvement from classic indicators or strategy. Level 1 scripts can usually appear in more complex indicators as a function module or element.
Level 2 : composite indicator/strategy. By selecting or combining several independent or dependent functions or sub indicators in proper way, the composite script exhibits a resonance phenomenon which can filter out noise or fake trading signal to enhance trading confidence level.
Level 3 : comprehensive indicator/strategy. They are simple trading systems based on my strategies. They are commonly containing several or all of entry signal, close signal, stop loss, take profit, re-entry, risk management, and position sizing techniques. Even some interesting fundamental and mass psychological aspects are incorporated.
Level 4 : script snippets or functions that do not disclose source code. Interesting element that can reveal market laws and work as raw material for indicators and strategies. If you find Level 1~2 scripts are helpful, Level 4 is a private version that took me far more efforts to develop.
Level 5 : indicator/strategy that do not disclose source code. private version of Level 3 script with my accumulated script processing skills or a large number of custom functions. I had a private function library built in past two years. Level 5 scripts use many of them to achieve private trading strategy.
Versionshinweise
OVERVIEW The L2 Ehlers Modified Stochastic Indicator is an advanced technical analysis tool that combines Ehlers' filtering methodology with traditional stochastic principles to identify potential market turning points.FEATURES
• Adjustable length parameter for customization
• Dual-line visualization with MyStochastic and Trigger lines
• Visual alerts through BUY/SELL labels
• Four types of divergence detection:
Regular Bullish
Hidden Bullish
Regular Bearish
Hidden Bearish • Configurable lookback periods and range settings • Alert conditions for all divergence types
HOW TO USE
Adjust the Length input based on market conditions
Monitor the MyStochastic line relative to the Trigger line
Watch for crossover signals (BUY/SELL labels)
Use divergence alerts to confirm trading opportunities: • Configure lookback periods (Left/Right) • Set range limits (Min/Max) • Enable/disable specific divergence types
LIMITATIONS
• Results depend on proper parameter configuration
• May produce false signals during non-trending markets
• Best used in conjunction with other analysis tools
NOTES
• The indicator overlays the main chart by default
• Color coding helps distinguish between bullish (green) and bearish (red) signals
• Alerts can be customized through TradingView's alert system
Versionshinweise
█ OVERVIEWA faithful, low-lag re-creation of John Ehlers' Modified Stochastic: the price cycle is high-pass filtered and super-smoothed before normalization, so the oscillator keeps a clean 0 to 1 scale without the noise that makes classic stochastics whipsaw. V2 adds a live status table, a configurable trigger line, level lines and pivot-based divergence detection.
█ CONCEPTS
• Highpass first: cycles shorter than the Highpass Wavelength are stripped from price before normalization, so the oscillator measures one dominant cycle instead of trading noise.
• Two-pole super smoother: the filtered wave and the stochastic value are each smoothed with the same filter, which keeps lag low while removing jagged edges.
• Bounded output: the value is measured against the highest and lowest filtered value over the Stochastic Length, so 0 and 1 are true extremes on every symbol.
• Trigger line: the Ehlers one-bar delayed value by default; SMA and EMA modes give a slower, trendier trigger with fewer counter-trend crosses.
█ HOW TO USE
1 — Add it to any symbol and timeframe; the defaults (Length 20, Wavelength 48, Smoother 10) suit intraday and swing charts.
2 — Read the state first: oscillator above the trigger is bullish momentum, below is bearish. The fill colour and the State row of the table agree.
3 — Trade the cross, confirm with the zone: a bullish cross far under the Oversold level is a reversal attempt, one inside an uptrend is a continuation entry.
4 — Use divergence as a filter, not a trigger; the labels appear a few bars after the pivot because a pivot needs future bars to be confirmed.
5 — Tune it: shorten the Highpass Wavelength for faster signals, raise it for fewer and cleaner cycles, raise the Super Smoother Period when the line still looks nervous.
Input Parameters
• Oscillator: Stochastic Length (20), Highpass Wavelength (48), Super Smoother Period (10), Trigger Mode (Ehlers Delay / SMA / EMA) with Trigger Length (3).
• Visuals: Trade Labels, Signal Markers, Fill Line / Trigger, State Background, Level Lines, Overbought (0.80), Oversold (0.20), bull and bear colours.
• Divergence: Pivot Lookback Left (5) and Right (5), Min (5) and Max (60) Lookback Range, Plot Bullish, Plot Bearish, Hidden Bullish, Hidden Bearish.
• Status Table: Show Status Table; the table can be dragged anywhere in the pane.
█ FEATURES
• Status table: State, Last Signal with its age in bars, Zone, Momentum, Stoch / Trigger values, latest Divergence with bar count, Ready / Warmup filter status.
• BUY and SELL labels plus small triangle markers on every trigger cross.
• Conditional fill between oscillator and trigger, optional state background, dashed midline, overbought / oversold level lines.
• Regular and hidden divergence in both directions, drawn on the pivot bar.
• Six alertconditions: bullish cross, bearish cross, and the four divergence types.
█ SIGNALS
• BUY label, green triangle: oscillator crosses above the trigger.
• SELL label, red triangle: oscillator crosses below the trigger.
• Bull / Bear labels: regular divergence (possible exhaustion). H Bull / H Bear: hidden divergence (continuation), off by default.
• The first bars stay empty: the warm-up transient of the recursive filters is hidden instead of being plotted as a signal.
█ LIMITATIONS
• Divergence labels appear Pivot Lookback Right bars after the pivot — the cost of confirming a pivot, not a change of past values.
• A bounded oscillator keeps producing crosses in strong trends; pair it with price structure or a trend filter instead of trading every cross.
• Single timeframe by design; gap-heavy or illiquid symbols can stretch the filtered cycle and delay the signals.
█ NOTES
• Pine v6, open source under Mozilla Public License 2.0. Built-ins used: ta.crossover, ta.crossunder, ta.pivotlow, ta.pivothigh, ta.valuewhen, ta.barssince.
• Concept credit to John Ehlers for the Modified Stochastic. V2 fixes the flat-market division, exposes the filter wavelengths that were hard-coded in V1, and adds the status table, level lines and alerts.
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For questions or feedback, use the comments section below.
Feel free to use and modify — attribution appreciated.
Don't miss out! The first and most important thing to do is to join my Discord chat now! Click here to start your adventure: discord.com/invite/ZTGpQJq My new github for more pine development soon: github.com/wxt-coder
Haftungsausschluss
Die Informationen und Veröffentlichungen sind nicht als Finanz-, Anlage-, Handels- oder andere Arten von Ratschlägen oder Empfehlungen gedacht, die von TradingView bereitgestellt oder gebilligt werden, und stellen diese nicht dar. Lesen Sie mehr in den Nutzungsbedingungen.
Don't miss out! The first and most important thing to do is to join my Discord chat now! Click here to start your adventure: discord.com/invite/ZTGpQJq My new github for more pine development soon: github.com/wxt-coder
Haftungsausschluss
Die Informationen und Veröffentlichungen sind nicht als Finanz-, Anlage-, Handels- oder andere Arten von Ratschlägen oder Empfehlungen gedacht, die von TradingView bereitgestellt oder gebilligt werden, und stellen diese nicht dar. Lesen Sie mehr in den Nutzungsbedingungen.