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Hello. I wonder if anyone here implemented Ehlers REMA.
Here is a sample code on pinescript.
//@version=3
// Copyright (c) 2018-present, Alex Orekhov (everget)
// Ehlers Reverse Exponential Moving Average script may be freely distributed under the MIT license.
study("Ehlers Reverse Exponential Moving Average", shorttitle="EREMA")
trendAlpha = input(title="Trend Alpha", type=float, defval=0.05)
cycleAlpha = input(title="Cycle Alpha", type=float, defval=0.3)
src = input(title="Source", type=source, defval=close)
erema(src, alpha) =>
delta = 1 - alpha
ema = 0.0
ema := alpha * src + delta * nz(ema[1])
// Compute Reverse EMA
re1 = delta * ema + nz(ema[1])
re2 = pow(delta, 2) * re1 + nz(re1[1])
re3 = pow(delta, 4) * re2 + nz(re2[1])
re4 = pow(delta, 8) * re3 + nz(re3[1])
re5 = pow(delta, 16) * re4 + nz(re4[1])
re6 = pow(delta, 32) * re5 + nz(re5[1])
re7 = pow(delta, 64) * re6 + nz(re6[1])
re8 = pow(delta, 128) * re7 + nz(re7[1])
erema = ema - alpha * re8
eremaTrend = erema(src, trendAlpha)
eremaTrendColor = #674ea7
eremaCycle = erema(src, cycleAlpha)
eremaCycleColor = eremaCycle > 0 ? #0ebb23 : red
eremaTrendPlot = plot(eremaTrend, title="Trend", linewidth=2, color=eremaTrendColor, transp=0)
eremaCyclePlot = plot(eremaCycle, title="Cycle", linewidth=2, color=eremaCycleColor, transp=0)
fillColor = eremaTrend >= 0 and eremaCycle >= 0 ? #0ebb23 : eremaTrend < 0 and eremaCycle < 0 ? red : color(white, 100)
fill(eremaTrendPlot, eremaCyclePlot, color=fillColor, transp=80)
hline(0, title="Zero Level", linestyle=dotted, color=#989898)Gary Antonacci states that: "Zakamulin compared absolute momentum to 3 different moving average methods applied to 155 years of stock market data. He found that absolute momentum performed best and was one of only two methods that beat buy and hold with statistical significance. The other was a reverse exponential moving average."
So, it might be worth giving it a try. I'm rather new to Python and not able to adapt the code yet. But feel free to give it a try, and if no one comes up with it during the upcoming weeks, I will post my own interptretation right here.
Apollos Hill
If you explain what it does and how it works in english i may be able to ham-jam something together. Just reading through your code - not sure what the variable Alpha represents.
Ivan Baev
Well, here you go. Another EREMA script but its A TS script.
Function: _ReverseEMA { Adapted from Reverse EMA Indicator (C) 2017 John F. Ehlers TASC Sep 2017 } Inputs: AA( numericsimple ) ; Vars: CC( 0 ),EMA( 0 ),RE1( 0 ),RE2( 0 ), RE3( 0 ),RE4( 0 ),RE5( 0 ),RE6( 0 ), RE7( 0 ),RE8( 0 ),Wave( 0 ) ; //Classic EMA CC = 1 - AA ; EMA = AA * Close + CC * EMA[1] ; //Compute Reverse EMA RE1 = CC * EMA + EMA[1] ; RE2 = Power( CC, 2 ) * RE1 + RE1[1] ; RE3 = Power( CC, 4 ) * RE2 + RE2[1] ; RE4 = Power( CC, 8 ) * RE3 + RE3[1] ; RE5 = Power( CC, 16 ) * RE4 + RE4[1] ; RE6 = Power( CC, 32 ) * RE5 + RE5[1] ; RE7 = Power( CC, 64 ) * RE6 + RE6[1] ; RE8 = Power( CC, 128 ) * RE7 + RE7[1] ; //Indicator as difference Wave = EMA - AA * RE8 ; _ReverseEMA = Wave ;Ivan Baev
From the original paper:
alpha = 2 / (Length + 1).https://www.mesasoftware.com/papers/ZeroLag.pdfIvan Baev
Some more bits of code
#Indicator 'frEMA #param "alpha", .1,.1, 1 ' use this to change period #param "PlotBars", 260,0,512 Dim a, b, fr, emaFR as Single Dim r1, r2, r3, r4, r5, r6, r7, r8 as Single Dim warmUp as integer Dim BgnPlot as integer if Bar = 0 then warmup = 99 if Plotbars = 0 or PlotBars>(SymbolData.Numrec-1-2*warmup) then BgnPlot = 2*warmup else BgnPlot = Symboldata.numRec-1-PlotBars end if b = 1-alpha elseif bar>20 and bar <= BgnPlot-warmup then fr = alpha*Close + b*fr[1] elseif bar>BgnPlot-warmUp then 'Forward EMA fr = alpha*Close + b*fr[1] 'means ema(19)? 'fr = ema(19) gives different value 'I think EMA in tradestation code is just a variable 'Truncated infinite series for Reverse EMA r1 = b^(2^0)*fr + fr[1] r2 = b^(2^1)*r1 + r1[1] r3 = b^(2^2)*r2 + r2[1] r4 = b^(2^3)*r3 + r3[1] r5 = b^(2^4)*r4 + r4[1] r6 = b^(2^5)*r5 + r5[1] r7 = b^(2^6)*r6 + r6[1] r8 = b^(2^7)*r7 + r7[1] 'Calculate Forward Reverse EMA oscillator ' alpha is specific to a period ' diff periods require different alphas emaFR = fr - alpha*r8 if bar>BgnPlot then if emaFR>emaFR[1] then Plot("FRema", emaFR, green) else Plot("FRema", emaFR, red) end if Plot("zline", 0, black) End If End If Return emaFRAlexandre Catarino
Hi Ivan Baev ,
FYI: if there is a clear reference (website, paper, etc), we can open GitHub issues in Lean repo to implement any indicator. We need a third-party calculation for validation too.
Ivan Baev
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