Ehlers Noise Elimination Technology (NET)

Category: trend, momentum

Measures the trend strength and direction by calculating the Kendall Tau-a rank correlation between price and time, effectively filtering out noise without the lag associated with traditional smoothing filters.

Formula

NET = \frac{\sum_{i=1}^{N-1} \sum_{k=0}^{i-1} -\text{sgn}(P_i - P_k)}{\frac{N(N-1)}{2}}

Inputs

• p_period (default: 14)
• p_source (default: Close)

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