Ehlers Filter Weights Price by Momentum

Summary

The Ehlers Filter is presented as an indicator for following the common price trend and trading in its direction. It exposes three settings: the period used for smoothing, the momentum lookback, and the applied price series.

Its calculation takes moving averages of momentum-weighted prices and of the momentum weights themselves, then divides the former by the latter. Each weight is the absolute price change over the momentum lookback, so larger moves contribute more to the smoothed estimate. The document gives the formula but no chart, trading rules beyond directional trend use, performance evidence, or parameter guidance. It also does not explain how to handle zero or missing weights, so implementation details and practical behavior in flat markets are left unspecified.

Key ideas

• The filter is intended to estimate a common trend for trading in its direction.
• Its price weights are based on the absolute change over a configurable momentum lookback.
• The output divides a moving average of weighted prices by a moving average of the weights.
• The document provides no performance evidence or guidance for choosing parameters.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.