Ehlers Instantaneous Trendline Crossovers with Stop-Loss Controls

Summary

This strategy uses John Ehlers’ second-order filter to calculate an Instantaneous Trendline from a selected price series. It derives a lag line from the filtered series and uses their relationship to identify direction: the published description presents crosses as reversal signals, while the code enters long when the lag line is above the trendline and short when it is below. Orders are limit orders offset from the current close using the bar’s range, with a selectable stop approach and a configurable reversal percentage.

The document gives formulas, configurable inputs, and a backtest setup for Binance ETH perpetual-style futures? Actually BTC_USDT futures. It reports no performance results, so it provides no evidence that the method is profitable. The code’s order logic and the prose’s crossover explanation are not fully aligned, and outcomes will depend on filter, order, stop, and market settings. The listed backtest period and execution assumptions should not be treated as proof of future behavior.

Key ideas

• A second-order filter smooths the chosen price series into an Instantaneous Trendline.
• A lag line is derived from the trendline and used to define directional conditions.
• The code places limit entries based on the current close and a fraction of the bar range.
• Stop handling, reversal percentage, filter strength, and backtest dates are configurable.
• The document provides no performance statistics, and its prose and code describe signals differently.

Tags

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