Ehlers Ultimate Smoother Filter (USF)

Category: trend

A 2-pole Infinite Impulse Response (IIR) filter by John Ehlers that provides zero-lag smoothing with reduced overshoot compared to standard moving averages.

Formula

\alpha = \frac{\sqrt{2}\pi}{N} \\
c_2 = 2e^{-\alpha}\cos(\alpha) \\
c_3 = -e^{-2\alpha} \\
c_1 = \frac{1 + c_2 - c_3}{4} \\
USF_t = (1-c_1)src_t + (2c_1-c_2)src_{t-1} - (c_1+c_3)src_{t-2} + c_2 USF_{t-1} + c_3 USF_{t-2}

Inputs

• length (default: 20)
• source (default: close)

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