Ehlers Super Bandpass Filter with RMS Threshold Trading Rules
Summary
The document presents John Ehlers’s Super Bandpass Filter as a nearly zero-lag method intended to reduce noise at high and low frequencies in market data. Its filter output is compared with positive and negative root-mean-square bands calculated from recent squared filter values. The example uses fast and slow lengths of 40 and 60 and an RMS window of 50 bars.
The stated rules enter long when the filter crosses above the negative RMS band and enter short when it crosses below the positive band. Positions are exited when the filter crosses the opposite threshold or the threshold associated with a false entry. These are indicator rules rather than evidence of profitability: the page supplies no backtest, asset selection, position sizing, or transaction cost analysis. The code and description also leave practical implementation and parameter robustness to the reader, and the near-zero-lag characterization is not supported by comparative results in the document.
Key ideas
- The filter is presented as a near-zero-lag way to suppress high- and low-frequency price noise.
- Positive and negative RMS bands provide thresholds for interpreting the filter output.
- A long entry is triggered when the filter crosses above the negative RMS band.
- A short entry is triggered when the filter crosses below the positive RMS band.
- The described exits include crossings of either RMS threshold, but no performance testing is provided.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.