Aktualisiert
[blackcat] L2 Ehlers Voss Filter Strategy
Level: 2
Background
John F. Ehlers introuced Voss Filter Strategy in Aug, 2019.
Function
John Ehlers’ mining of the digital signal processing literature space in his article in this issue, “A Peek Into The Future,” brings us another interesting tool for seeing a bit below the noise surrounding price series to better locate turning points. In “A Peek Into The Future” in Aug, 2019, John Ehlers describes the calculation of a new filter that could help signal cyclical turning points in markets. As described by Dr. Ehlers, the filter has a negative group delay and while an indicator based on it cannot actually see into the future, it may provide the trader with signals in advance of other indicators. Noticing that the indicator accurately tracks the market’s peaks and valleys, Ehlers suggests that simple crossovers of the forward-looking Voss predictor with the two-pole band-pass filter may become the basis of a trading system. Having looked at the paper by Henning Voss, I personally appreciate Ehlers’ ability to reduce the calculus of the Voss presentation to six simple lines of code. I thought that the predictive nature of the VossPredictor would be a good candidate to use for one of the current favorite areas of exploration, self-tuning indicators.
Key Signal
Voss --> Ehlers Voss Filter fast line
Trigger --> Ehlers Voss Filter slow line
Pros and Cons
100% John F. Ehlers definition translation, even variable names are the same. This help readers who would like to use pine to read his book.
Remarks
The 93th 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 Voss Filter Strategy in Aug, 2019.
Function
John Ehlers’ mining of the digital signal processing literature space in his article in this issue, “A Peek Into The Future,” brings us another interesting tool for seeing a bit below the noise surrounding price series to better locate turning points. In “A Peek Into The Future” in Aug, 2019, John Ehlers describes the calculation of a new filter that could help signal cyclical turning points in markets. As described by Dr. Ehlers, the filter has a negative group delay and while an indicator based on it cannot actually see into the future, it may provide the trader with signals in advance of other indicators. Noticing that the indicator accurately tracks the market’s peaks and valleys, Ehlers suggests that simple crossovers of the forward-looking Voss predictor with the two-pole band-pass filter may become the basis of a trading system. Having looked at the paper by Henning Voss, I personally appreciate Ehlers’ ability to reduce the calculus of the Voss presentation to six simple lines of code. I thought that the predictive nature of the VossPredictor would be a good candidate to use for one of the current favorite areas of exploration, self-tuning indicators.
Key Signal
Voss --> Ehlers Voss Filter fast line
Trigger --> Ehlers Voss Filter slow line
Pros and Cons
100% John F. Ehlers definition translation, even variable names are the same. This help readers who would like to use pine to read his book.
Remarks
The 93th 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 This indicator implements the Ehlers Voss Filter strategy, providing buy and sell signals based on the crossover and crossunder of the Voss filter with its trigger line.FEATURES
• Real-time buy/sell signal generation
• Visual representation of Voss filter and trigger line
• Color-coded background between lines
• Interactive BUY/SELL labels
• Customizable alert conditions
• Configurable input parameters
HOW TO USE
Input Parameters:
• Price: Select price data series (default: mid-price)
• Period: Set filter period length (default: 20)
• Predict: Adjust prediction factor (default: 3)
Signal Interpretation:
• Buy signals appear when Voss filter crosses above trigger line
• Sell signals appear when Voss filter crosses below trigger line
• Green labels indicate buy opportunities
• Red labels indicate sell opportunities
LIMITATIONS
• Backtesting may not reflect real market conditions
• Results depend heavily on input parameter selection
• Not recommended as sole trading decision tool
NOTES
• Indicator plots non-overlaid on main chart
• Uses Ehlers' proprietary filtering methodology
• Supports alert notifications for signals
Versionshinweise
█ OVERVIEWAn open-source oscillator that applies John Ehlers' Voss filter to price and turns its trigger-line crosses into a complete, state-governed trading system with ATR-based risk levels, cooldown control, and optional higher-timeframe confirmation.
█ CONCEPTS
• Voss Filter: a predictive band-pass filter (Ehlers) designed to anticipate cyclic turning points with less lag than a moving average
• Trigger Crosses: entries derive from the Voss line crossing its decaying trigger line
• Signal Governance: a position state machine (long / short / flat) with same-bar entry-exit exclusivity and a configurable cooldown suppresses whipsaw re-firing
• Risk Overlay: ATR-scaled stop-loss and take-profit levels are anchored to each entry and can end the position state when touched
█ HOW TO USE
1 — Add the indicator; the Voss (yellow) and Trigger (fuchsia) lines appear in a separate pane
2 — Tune Period, Predict and Bandwidth in the Core Filter group to match the instrument's cycle
3 — Read signals from on-bar labels and the status table; optionally enable the Re-entry and HTF Gate groups
Input Parameters
• Price: source fed into the filter (default hl2)
• Period / Predict / Bandwidth: cycle length, projection multiplier (order = 3 x Predict), and filter bandwidth (defaults 20 / 3 / 0.25)
• Trigger Floor / Trigger Decay: trigger-line base offset and decay (defaults 0.05 / 0.9)
• Warmup Gate: suppresses signals until the filter has enough history (default on)
• Same-bar Exclusivity / Cooldown Bars: signal governance (defaults on / 3)
• ATR Length, Stop Loss / Take Profit (xATR): risk overlay (defaults 14 / 2.0 / 3.0)
• Enable Re-entry (RL/RS) + Anchor Window: optional re-entry after exits (default off)
• HTF Timeframe / HTF EMA Length: optional higher-timeframe direction gate (default off)
• State Background / Show Dashboard: visual toggles (defaults on)
█ FEATURES
• State-machine entries with cooldown and same-bar exclusivity
• ATR stop-loss / take-profit lines that participate in exits
• Optional extreme-anchored re-entry (RL/RS) after exits
• Optional higher-timeframe trend gate in zero-repaint mode
• Status dashboard: position, gate state, cooldown, ATR
• Eight alert conditions plus dynamic bar-close-confirmed alerts
█ SIGNALS
Visual Elements
• BUY (green label up): long entry, Voss crossed above Trigger while flat or short
• SELL (red label down): short entry, Voss crossed below Trigger while flat or long
• BUY+RL / SELL+RS (teal / maroon): re-entry after a prior exit
• X (orange cross): exit by opposite cross; X-TPL: exit by stop or target touch
• Fading pane background: green while long, red while short
• Data window: Position State, Stop Loss and Take Profit levels
█ IMPLEMENTATION NOTES
Open-source under MPL 2.0. Built on ta.crossover / ta.crossunder, ta.atr and request.security. The HTF gate reads the previous completed higher-timeframe bar with lookahead enabled so it does not repaint. All dynamic alerts fire only on bar close.
█ LIMITATIONS
• Best for cycle-rich instruments (crypto, forex, indices); whipsaws in strong one-way trends unless the HTF gate is enabled
• Re-entry is disabled by default; enabling it in ranging markets can fire repeatedly
• Signals confirm on bar close; realtime-bar crosses are unconfirmed until then
█ NOTES
• Credit: John F. Ehlers for the Voss filter concept; (c) blackcat1402
• V2 keeps the original filter core and adds signal governance, an ATR risk overlay, re-entry, an HTF gate, a dashboard and extended 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.