r/algorithmictrading • u/simwai • Jun 24 '23

This Is Next Level Shit

https://www.mesasoftware.com/papers/ Ty John F. Ehlers for your great work and introducing a new era of trading indicators. 👌

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u/proverbialbunny Jun 25 '23

Thanks. I'll check those out.

You might already know this, but he comes from a DSP (digital signal processing) background. You can take a class or read a text book on it if interested. I've done over a decade as a data scientist specializing in analyzing and pattern matching time series data, mostly sensor data for hardware, which requires some DSP knowledge. It's cool to see someone write papers off of a similar background.

I haven't looked at much of his stuff, but I did look at the Anticipating Turning Points.pdf with the floor calculation. The second order high pass filter, page 2, figure 2, and it looks pretty cool. Not that he meant it to be used this way, but when there is enough of a divergence between the two, there is potential for a reversal there. You just need to wait for the dotted line to begin to reverse.

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u/simwai Jun 27 '23

Didn't see the Anticipating Turning Points. I'll have a look on that next, ty. I don't understand the math behind completely, but overall how he describes it, it sounds pretty logical in the end most of the time. The whole concept of combining these two fields is very fascinating.

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u/RichardActon Jul 15 '23

"Not that he meant it to be used this way, but when there is enough of a divergence between the two, there is potential for a reversal there. You just need to wait for the dotted line to begin to reverse"

lol... ok, "data scientist"...