mrtools wrote: Sat Nov 18, 2023 11:33 am From Mladen Rakic:

Theory:

Ehlers' Fisher transform has a long history of being plain wrongly coded (as the famous "solar wind") or wrongly coded because of misinformation. Some fault is the fault of coders (like the "solar wind" case). But some is caused by John Ehlers himself. In his book he introduces one formula at page 7 when showing TS code, and only one page later, when showing EFS code, the formula is changed. The difference is that in the EFS formula he sets the initial highest high and lowest low values to high and low of the current bar and then he checks if the prices exceed those initial values, while in TS code that initial value assignment does not exist at all. The difference might not seem big, but it exists and the final result is different (sometimes significantly).

This version:

Allows you to chose between the two modes : mode without the high/lows of current bars included (default) and mode with those prices included.

Usage:

You can use the color change for signals.

Added mtf and color change alerts. Verified the alerts but the mtf needs to be verified once the market opens, unless your broker has crypto.

Thanks again MrTools. It's almost perfect. Is there any way to get smoothing added to the mt5 version as it is in the mt4 version. I like the way it shows the entry with the settings in the pic I've attached. The chart is 5mins and the middle ehlers is set to 15 and the bottom is set to 5min. Please let me know if I need to repost the mt4 source file. Thank you in advance.

Added the smoothing, just for information seemed to me the auto next timeframe wasn't working correctly, so for now doing the mtf a little differently, but seems to work much better.

mrtools wrote: Tue Nov 21, 2023 9:07 am Added the smoothing, just for information seemed to me the auto next timeframe wasn't working correctly, so for now doing the mtf a little differently, but seems to work much better.

Thank you. I appreciate your expert work Sir.

UNIVERSAL STRENGHT INDICATOR (USI)

OVERVIEW
This code is an attempt to implement the Ultimate Strength Index (USI) indicator, introduced by John Ehlers in his article titled "Ultimate Strength Index (USI)" from the November 2024 edition of TASC's Traders' Tips. The USI is a modified version of Wilder's original Relative Strength Index (RSI) that incorporates Ehlers' UltimateSmoother lowpass filter to produce an output with significantly reduced lag. It comes with an experimental MTF MA to be used as signal filter.

CONCEPTS
Many technical indicators, including the RSI, lag due to their heavy reliance on historical data. John Ehlers reformulated the RSI to substantially reduce lag by applying his UltimateSmoother filter to upward movements (strength up - SU) and downward movements (strength down - SD) in the time series, replacing the standard process of smoothing changes with rolling moving averages (RMAs). Ehlers' recent works, covered in TASC's Trader's Tips recent script publications, have shown that the UltimateSmoother is an effective alternative to other classic averages, offering notably less lag in its response.

Ehlers also modified the RSI formula to produce an index that ranges from -1 to +1 instead of 0 to 100. As a result, the USI indicates bullish conditions when its value moves above 0 and bearish conditions when it falls below 0.

The USI retains many of the strengths of the traditional RSI while offering the advantage of reduced lag. It generally uses a larger lookback window than the conventional RSI to achieve similar behavior, making it suitable for trend trading with longer data lengths. When applied with shorter lengths, the USI's peaks and valleys tend to align closely with significant turning points in the time series, making it a potentially helpful tool for timing swing trades.

CALCULATIONS
The first step in the USI's calculation is determining each bar's strength up (SU) and strength down (SD) values. If the current bar's close exceeds the previous bar's, the calculation assigns the difference to SU. Otherwise, SU is zero. Likewise, if the current bar's close is below the previous bar's, it assigns the difference to SD. Otherwise, SD is zero. Next, instead of the RSI's typical smoothing process, the USI's calculation applies the UltimateSmoother to the short-term average SU and SD values, reducing high-frequency chop in the series with low lag.

Finally, this formula determines the USI value:
USI = (Ult(SU) − Ult(SD)) / (Ult(SU) + Ult(SD)), where Ult(SU) and Ult(SD) are the smoothed average strength up and strength down values.

I share the code, if anyone wants to take a look or suggest improvements, you are welcome.

Happy Xmas Forex-Station family!

+C+

USI Histogram Version

Same Elhers's Universal Strength Indicator, histograms get colored when the USI line crosses zero. I tested it and compared to normal RSI is really zero lag. Did anyone try it?
I am thinking of a USIOMA, it should really be good.

Step VHF Ehlers Optimal Tracking Filter

I used this code https://www.mql5.com/en/code/22874 to make this version of EOTF.

It seems quite good as a baseline filter. Please adapt the pip size to the instrument you trade.