Cycle Analytics for Traders, + Downloadable Software

John F. Ehlers worked as an electrical engineer at one of the largest aerospace companies in the industry before retiring as a senior engineering fellow. A graduate of the University of Missouri, he has been a private trader since 1976, specializing in technical analysis. The discoverer of Maximum Entropy Spectrum Analysis, he writes extensively on technical trading and speaks internationally on the subject.

• Preface ixAbout the Author xiiiChapter 1 Unified Filter Theory 1Transfer Response 1Nonrecursive Filters 3Recursive Filters 8Generalized Filters 10Programming the Filters 11Wave Amplitude, Power, and Decibels (dB) 13Key Points to Remember 13Chapter 2 SMAs, EMAs, or Other? 15Simple Moving Averages (SMAs) 15Exponential Moving Averages (EMAs) 18Weighted Moving Averages (WMAs) 21Median Filter 22Key Points to Remember 23Chapter 3 Smoothing Filters on Steroids 25Nonrecursive Filters 25Modified Simple Moving Averages 29Modified Least-Squares Quadratics 30SuperSmoother 31SuperSmoother Filter Applications 34Key Points to Remember 36Chapter 4 Decyclers 39Decycler Construction 39Decycler Application 41Decycler Oscillator 43Key Points to Remember 45Chapter 5 Band-Pass Filters 47Band-Pass Filter 47Band-Pass Filter Q 51Automatic Gain Control (AGC) 54Spectral Dilation Removal 56Band-Pass Filter 56Measuring the Cycle Period 58Key Points to Remember 61Chapter 6 Market Structure and the Hurst Coefficient 63Fractal Dimension 65Computing the Hurst Coefficient 67The Hurst Coefficient in Action 68Drunkard’s Walk Hypothesis for Market Structure 70Key Points to Remember 74Chapter 7 Spectral Dilation 77Frequency Content of Indicator Outputs 77Roofing Filter as an Indicator 80Impact of Spectral Dilation onConventional Indicators 83Key Points to Remember 88Chapter 8 Autocorrelation 91Background 91Autocorrelation 93Autocorrelation Periodogram 102Autocorrelation Reversals 110Key Points to Remember 113Chapter 9 Fourier Transforms 115Spectral Dilation 116Discrete Fourier Transform (DFT) 117Key Points to Remember 124Chapter 10 Comb Filter Spectral Estimates 125Spectral Dilation 125Computing a Comb Filter Spectral Estimate 126Key Points to Remember 133Chapter 11 Adaptive Filters 135Adaptive Relative Strength Index (RSI) 135Adaptive Stochastic Indicator 142Adaptive CCI (Commodity Channel Index) 147Adaptive Band-Pass Filter 152Adaptive Indicator Comparison 157Key Points to Remember 158Chapter 12 The Even Better Sinewave Indicator 159Even Better Sinewave Approach 160Even Better Sinewave Description 160Using the Even Better Sinewave Indicator 162Key Points to Remember 164Chapter 13 Convolution 165Theoretical Foundation 165Heat Map Display 168Computing Convolution 169Key Points to Remember 174Chapter 14 The Hilbert Transformer 175Analytic Signals 176Hilbert Transformer Mathematics 177Computing the Hilbert Transformer 181The Hilbert Transformer Indicator 183Using the Hilbert Transformer toCompute the Dominant Cycle 186Dual Differentiator 187Phase Accumulation 189Homodyne 192Key Points to Remember 194Chapter 15 Indicator Transforms 195Fisher Transform 195Inverse Fisher Transform 198Cube Transform 200Key Points to Remember 202Chapter 16 SwamiCharts 203SwamiCharts Overview 204SwamiCharts RSI 205SwamiCharts Stochastic 210Roll Your Own SwamiCharts 216Key Points to Remember 216Chapter 17 Swing-Trading Strategies 217Conventional Wisdom 219Anticipating the Turning Point 220Sine Wave Uniqueness 221Safety Valve 224Exiting a Trade 225Stop Loss 225Evaluating a Trading Strategy 226Monte Carlo Evaluation 227Stockspotter.com 228Key Points to Remember 229About the Website 231Index 233