Filt 11 Indicator from John Ehlers for ThinkorSwim - my version

subharmonic

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At about the nine minute mark John Ehlers talks about the Filt11 and describes how to make it. Just made them about 10 minutes ago but looks pretty good so far.
During my original post I accidentally ran the delta backwards and actually worked better for what I was looking to do.

http://bettersystemtrader.com/john-ehlers-workshop

Normal Avgs Available:
Code:
#http://bettersystemtrader.com/john-ehlers-workshop

input Value = close;
input Length = 9;
input averageType = AverageType.Simple;

def Avg = MovingAverage(averageType, Value, Length);
def Delta = Value - Avg;
def DeltaAvg = MovingAverage(averageType, Delta, Length);

plot Filt11 = Avg + DeltaAvg;
http://tos.mx/fDHgJrN

Backwards version:
Code:
#http://bettersystemtrader.com/john-ehlers-workshop
#note this runs backwards, good for trending
input Value = close;
input Length = 9;
input averageType = AverageType.Simple;

def Avg = MovingAverage(averageType, Value, Length);
def Delta = Avg -Value ;
def DeltaAvg = MovingAverage(averageType, Delta, Length);

plot Filt11 = Avg + DeltaAvg;
http://tos.mx/xF8lAZ3

SuperSmoothed:
Code:
#http://bettersystemtrader.com/john-ehlers-workshop

input Value = close;
input Length = 10;

def SSF = EhlersSuperSmootherFilter(Value, Length);
def Delta = SSF - Value;
def DeltaSSF = EhlersSuperSmootherFilter(Delta, Length);

plot Filt11 = SSF + DeltaSSF;
http://tos.mx/g3Nvbz7


SuperSmoothed Backward:
Code:
#http://bettersystemtrader.com/john-ehlers-workshop

input Value = close;
input Length = 10;

def SSF = EhlersSuperSmootherFilter(Value, Length);
def Delta = Value - SSF;
def DeltaSSF = EhlersSuperSmootherFilter(Delta, Length);

plot Filt11 = SSF + DeltaSSF;
http://tos.mx/NA76lEu

Correct vs backwards:
Gold is backward simple based
White is backward SSF based
Fuscia is corrected simple based
Cyan is corrected SSF based.
5ItKcPt.png


Here is an example vs other averages all set to 9 periods
  • filt11 simple averaged backward - cyan
  • filt11 supersmoothed backward - white
  • simple avg - fuchsia
  • exponential avg - gold
bGFrSQA.png
 
Last edited:

subharmonic

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Thanks. You are both correct, I have updated the original post with both versions. I find the mistaken version better for a trend change indication, this was my original intention of searching today. I am looking at how well it takes the "meat" of the big moves, if you combine the 2 backwards ones as a trend filter seems to work as well as anything I have seen, if SSF is below the SMA one look for short entries, and vise versa.

@MerryDay @generic
 
Last edited:

invsto

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Has anyone attended John Ehlers workshop? I didn't realize he was retiring after this one. Have read his books in the past and have got very unique insights so far. Wondering how I can learn the workshop items.
 

purehess1

New member
I set this up with a 21 ma on the smooth and normal and a stock macd, was only going long on 15min or 1 hr time frame when both had a crossover, exited trade on my own p/l thresholds, it went 4 for 5 this week.
 

subharmonic

Member
VIP
Use them the same way you would use a moving average or inset them into a input/output of another indicator to smooth out the response and roof the lower frequency data.
 

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