Ehlers Sinewave Indicator and an Alternative Hilbert Transform

Summary

This document presents an implementation of John Ehlers’ Sinewave indicator from his 1999 Market Mode Strategies description. It detrends midpoint price, derives in-phase and quadrature components, estimates phase and its change, and uses accumulated phase changes to estimate the dominant cycle period. The resulting cycle phase is converted into a sine line and a lead-sine line.

The document distinguishes this earlier implementation from versions in later books and says it is the more popular version, while reporting that it seems to perform better without presenting supporting results. It also outlines an alternative Hilbert Transform calculation associated with a later article, which replaces the initial component calculations. The text includes implementation details but no trading rules, tested markets, parameter evaluation, or backtest evidence. As a cycle-based indicator, its usefulness depends on market conditions; the document does not establish when its outputs are reliable or how to use them in a complete strategy.

Key ideas

• The indicator estimates cycle phase from detrended midpoint prices and in-phase and quadrature components.
• It derives an instantaneous period by accumulating changes in phase and then smooths that estimate.
• The output consists of a sine line and a lead-sine line based on the estimated cycle phase.
• An alternative Hilbert Transform formula can replace the initial component calculations.
• The document reports popularity and perceived performance but supplies no supporting test results or trading rules.

Tags

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