Recursive Median Oscillator for Robust, Low-Lag Price Filtering
Summary
The document describes John Ehlers’s recursive median oscillator, which combines a median filter with recursive smoothing and a high-pass filter. The median of a short window of closing prices reduces the influence of extreme observations that can distort ordinary averages. An exponential-style recursive step smooths that median, and a second-order high-pass filter removes shorter cycles to produce an oscillator. The article says the approach is intended to retain less lag than conventional smoothing and compares the oscillator’s response with RSI.
The supplied indicator example uses a five-bar median window and sets periods for the smoothing and high-pass stages. This is an indicator construction, not a complete trading strategy: the document gives no entry or exit rules, market-specific tests, or performance results. Its claim of a clearer view with less lag is presented as motivation, so traders would need to test behavior and parameter choices on their own data.
Key ideas
- A rolling median can reduce the influence of extreme price observations on a smoothed series.
- Recursive smoothing is applied to the median values before the oscillator stage.
- A high-pass filter removes shorter-cycle components to create the oscillator.
- The document compares the indicator conceptually with RSI but supplies no performance evidence or trading rules.
Tags
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.