John Ehlers Trend Component Filter Using a Recursive Band-Pass Series

Summary

This document describes a MetaTrader indicator that smooths a recursively calculated band-pass series to produce a trend component. Its inputs are the calculation period, a delta factor used to derive gamma, and the price series. The recurrence uses current and lagged prices plus prior band-pass values; the result is then averaged over a window tied to the period. The formulas define how alpha, gamma, and beta are derived from the inputs.

The material explains the indicator’s calculation, but gives no trading rules, charts, performance evidence, or guidance on how to interpret its output. It therefore serves mainly as a technical reference for researchers implementing or studying this filter. The document does not discuss parameter sensitivity, initialization, numerical edge cases, or how the indicator behaves across assets and timeframes, so those aspects would need separate investigation before using it in a strategy.

Key ideas

• The indicator computes a recursive band-pass value from current and lagged prices and earlier band-pass values.
• Its final trend component is a simple moving average of the band-pass series over a period-based window.
• Delta and the calculation period determine gamma, while gamma and the period determine the recurrence coefficients.
• The document supplies equations but no trading rules or empirical performance evidence.

Tags

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