Ehlers SuperSmoother Filter

Category: trend

A 2nd-order low-pass filter designed by John Ehlers to reduce aliasing and provide superior smoothing with minimal lag compared to traditional moving averages.

Formula

f(t) = c_1 \cdot \frac{Price_t + Price_{t-1}}{2} + c_2 \cdot f(t-1) + c_3 \cdot f(t-2) \\ \text{where } a_1 = e^{-\sqrt{2}\pi / P}, b_1 = 2a_1 \cos(\sqrt{2}\pi / P), c_2 = b_1, c_3 = -a_1^2, c_1 = 1 - c_2 - c_3

Inputs

• Price (default: pr_close)
• lpPeriod (default: 10)

See signal primitives and every published strategy that uses Ehlers SuperSmoother Filter on WOBR StrategyVerse.