Ehlers Filter
A non-linear FIR filter using distance coefficients to adapt to price transitions while maintaining smoothness.
Usage
Use as a configurable digital filter from Ehlers DSP toolkit when you need a specific frequency response not covered by the standard smoother or Butterworth designs.
Background
The Ehlers Filter is a generalized IIR filter design drawn from Ehlers digital signal processing framework for markets. Its coefficients can be tuned to approximate different filter types (lowpass, highpass, bandpass), making it a flexible building block for custom indicator pipelines.
Parameters
length(default: 15): Filter window length
Formula
[ C_i = \sum_{j=1}^{L-1} (Price_{t-i} - Price_{t-i-j})^2 ] [ Filt = \frac{\sum_{i=0}^{L-1} C_i Price_{t-i}}{\sum_{i=0}^{L-1} C_i} ]