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TASC 2016-07 | The Super Passband Filter (Ehlers)

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Traders' Tip text

Mr. Ehlers continues to please the readers with more nearly-zero lag filters - this time it's Super Passband oscillator from July 2016 issue of Stocks & Commodities.

Following the trading idea in the article, we are including a simple WealthScript system that can be applied selectively (only long side or both sides):

  • Buy on the filter crossing above its -RMS line
  • Short on the filter crossing below its RMS line
  • Exit long when the filter either crosses below its RMS or crosses below -RMS (which signifies a false entry signal)
  • Cover short when the filter either crosses above its -RMS or crosses above RMS (which signifies a false entry signal)

Image

Figure 1: A Wealth-Lab 6 chart illustrating entries made by the enclosed system based on the SuperPassband filter.

Our tests suggest that the new nearly-zero lag filter looks promising for counter-trend trades and for buying significant dips (see Figure 1). To execute the included trading system, Wealth-Lab users need to install (or update) the latest version of the TASCIndicators library from the Extensions section of our website if they haven't already done so, and restart Wealth-Lab.

Strategy:

using System;
using System.Collections.Generic;
using System.Text;
using System.Drawing;
using WealthLab;
using WealthLab.Indicators;
using TASCIndicators;

namespace WealthLab.Strategies { public class TASC201607 : WealthScript { private StrategyParameter paramPeriod1; private StrategyParameter paramPeriod2; private StrategyParameter paramGoShort;

public TASC201607() { paramPeriod1 = CreateParameter("Period1", 40, 10, 100, 10); paramPeriod2 = CreateParameter("Period2", 60, 20, 300, 10); paramGoShort = CreateParameter("Go short?", 0, 0, 1, 1); } protected override void Execute() { int Period1 = paramPeriod1.ValueInt; int Period2 = paramPeriod2.ValueInt; bool goShort = paramGoShort.ValueInt == 1 ? true : false;

var spb = SuperPassband.Series(Close,40,60); var rms = SuperPassbandRMS.Series(Close,40,60); var mrms = rms*-1; var pbPane = CreatePane(30,true,true); PlotSeries(pbPane,spb,Color.Red,WealthLab.LineStyle.Solid,1); DrawHorzLine(pbPane,0,Color.Blue,WealthLab.LineStyle.Solid,1); PlotSeriesFillBand(pbPane,rms,mrms,Color.Yellow,Color.Transparent,WealthLab.LineStyle.Solid,1); for(int bar = Math.Max(Period1,Period2); bar < Bars.Count; bar++) { SetBackgroundColor(bar,Color.Black); if (IsLastPositionActive) { Position p = LastPosition; if( p.PositionType == PositionType.Long ) { if( CrossUnder(bar, spb, rms) || CrossUnder(bar, spb, mrms) ) SellAtMarket(bar+1, p); } else { if( CrossOver(bar, spb, mrms) || CrossOver(bar, spb, rms)) CoverAtMarket(bar+1, p); } } else { if( CrossOver(bar, spb, mrms)) BuyAtMarket(bar+1); else if( CrossUnder(bar, spb, rms) && goShort ) ShortAtMarket(bar+1); } } } } }

Eugene
Wealth-Lab team
www.wealth-lab.com

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