Instantaneous TrendLine
by John Ehlers

Originally Posted by John Ehlers

Van: John Ehlers <john@xxxxxxxxxxxxxxxx>
Aan: john@xxxxxxxxxxxxxxxx <john@xxxxxxxxxxxxxxxx>
Onderwerp: Instantaneous Trendline
Datum: zondag 25 oktober 1998 23:19

To MESA Users Group:

Here is a set of new indicators that you can program yourselves. The
first of these indicators I call an INSTANTANEOUS TRENDLINE. It works
because it completely removes the dominant cycle from a smoothing average.
For the mathematically inclined, the Fourier Transform of a rectangular
window (formed by a simiple average) is a Sin(X)/X distribution. The
objective is to place the first null of this distribution exactly at the
dominant cycle. For the intuitively inclined, what we are doing is taking
a simple average over the full dominant cycle period. In such an average,
there are as many sample points above the midpoint as below the midpoint
with the result that the sum of all these sample points is zero.

OK, so all we have to do to get an Instantaneous Trendline is to take a
simple average whose length is exactly the period of the dominant cycle.
For those of you who have tradestation and MESA96, you just insert the dc
variable for the length of the simple moving average. For those of you who
have MetaStock or other toolbox packages, you just have to estimate the
length of the dominant cycle and insert that estimate as your moving
average period. Of course, this estimate is fixed across your entire
screen, but the dominant cycle length can be varying. So watch out for
that problem.

The next indicator is created by taking a moving average over half the
period of a dominant cycle. In this case, the amplitude of the dominant
cycle is attenuated by exactly 2/PI. Our objective is to restore the full
amplitude of the cyclic portion. So we take this latest moving average,
subtract the "Instantaneous Trendline", multiple the difference by PI/2
(1.57 approximately), and then add the Instantaneous trendline back. Since
the lag of a moving average is about half the moving average window length,
this modified half dominant cycle moving average will still lag the realy
cyclic swing by a quarter cycle.

Now, when we look at these two moving averages, we can make two
assessments. First, we now solve the age-old problem of what is the
trendline. We have create an adaptive trendline. Secondly, we can see the
cyclic swing relative to this trendline so that we can assess the amplitude
of the cyclic movement. If this cyclic amplitude is not several times that
average daily bar range, then getting an entry and exit for a profitable
cyclic move becomes a crapshoot. In other words, the signal to noise ratio
is so low that even though we have identified a good cycle, it is not large
enough to trade profitably without relying on an intraday fill.

Good Trading!!!

John

Note:
This indicator was written in EasyLanguage.
Please refer to your users manual for importation instructions.



Your comments and rating of this indicator is appreciated.

[hegh]

Here YM (Future Emin) in 5 minutes.
Can you compare the values?

thank you

[Tams]

.......... looks pretty close. ;-)

[hegh]

here is InstantaneousTrendLine for Ninja Trader.

Thanks Tams.

have fun.

adrien

[r4bb1t]

i've noticed that there are two versions of Instantaneous TrendLine. both are came from John Ehlers.
another one can adjust alpha factor as you see below blog.

trading notes: The deep relationship between Instantaneous Trendline and Cyber Cycle

is this version self-adjusting the alpha factor depend on market cycle?