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Universal Oscillator

Ehlers DSP oscillator ehlers dsp universal momentum

An adaptive oscillator that normalizes price momentum using a SuperSmoother filter and AGC.

Visual Example

Universal Oscillator — annotated preview mapping to core implementation

Synthetic ideal per library logic. Generated 2026-06-25 IST via docs/generate_all_previews.py (reproducible; maps to core Next<T> implementation).

Description

The Universal Oscillator indicator is a technical analysis tool that an adaptive oscillator that normalizes price momentum using a supersmoother filter and agc.

This indicator is primarily used for identifying key market conditions. It provides a robust signal that can be easily integrated into both simple strategies and more complex machine learning feature pipelines. Compared to its alternatives, it offers a distinct balance of responsiveness and stability.

Traders often combine this with other metrics to confirm signals and avoid false positives during sideways market regimes. It remains a standard tool for systematic trading models.

Use as a generic oscillator framework that works on any pre-filtered input. Feed it the output of any smoother or filter to produce a normalized zero-centered oscillator.

Ehlers Universal Oscillator is a generic momentum computation that can be applied to any filtered price input. It computes the rate of change of the filtered series normalized by its RMS amplitude, producing a consistently scaled oscillator that works regardless of the underlying filter or price instrument.

QuantWave implements this indicator via the universal Next<T> trait, guaranteeing bit-identical results between Rust streaming, Python streaming, and Polars batch (.ta() / map_batches) surfaces.

Formula / Specification

Implementation (quantwave-core/src/indicators/universal_oscillator.rs):

[ WN = (Price - Price_{t-2}) / 2 ] [ AvgWN = (WN + WN_{t-1}) / 2 ] [ Filt = c_1 AvgWN + c_2 Filt_{t-1} + c_3 Filt_{t-2} ] [ Peak = \max(0.991 \times Peak_{t-1}, |Filt|) ] [ Universal = Filt / Peak ]

Gold-standard parity vectors: quantwave-core/tests/gold_standard/universal_oscillator.json.

Parameters

Parameter Default Description
band_edge 20 Critical period for the SuperSmoother filter

Usage Examples

Streaming (Rust)

use quantwave_core::indicators::UNIVERSAL_OSCILLATOR;
use quantwave_core::traits::Next;

let mut ind = UNIVERSAL_OSCILLATOR::new(20);
for price in &prices {
    let value = ind.next(price);
}

Streaming (Python)

from quantwave import UNIVERSAL_OSCILLATOR

ind = UNIVERSAL_OSCILLATOR(20)
for price in prices:
    value = ind.next(price)

Polars Batch (Python)

import polars as pl
import quantwave as qw

def apply_universal_oscillator(series: pl.Series) -> pl.Series:
    ind = qw.UNIVERSAL_OSCILLATOR(20)
    return pl.Series([ind.next(float(v)) for v in series.to_list()])

df = (
    pl.read_csv('ohlcv.csv')
    .lazy()
    .with_columns(
        pl.col("close").map_batches(apply_universal_oscillator, return_dtype=pl.Float64).alias("universal_oscillator")
    )
    .collect()
)

All surfaces are bit-identical via the single Next<T> implementation and proptests.

Edge Cases & Limitations

  • Recursive DSP filters require a warm-up period; first N bars may be unstable or raw-pass-through.
  • Designed for cyclic/mean-reverting regimes; trending markets can produce lag or drift.
  • Parameter period (or equivalent) controls cutoff — too small adds noise, too large adds lag.
  • Prefer chaining with other Ehlers tools (Roofing Filter, SuperSmoother) on noisy inputs.
  • Validated via proptests against gold-standard vectors where available.
  • No look-ahead bias; suitable for live streaming and batch feature pipelines.

Boundary Behavior

Condition Behavior
Warm-up Leading bars return NaN until warmup_bars is satisfied.
period > len When period exceeds series length, output is all NaN.
NaN inputs NaN in input propagates to output (NaN out).
Invalid params Non-positive period or missing required params raise ValueError.
Empty data Empty input returns an empty result series.

Sources & References

Primary Source: https://www.traders.com/Documentation/FEEDbk_docs/2015/01/TradersTips.html

Implementation: quantwave-core/src/indicators/universal_oscillator.rs (UNIVERSAL_OSCILLATOR / UNIVERSAL_OSCILLATOR_METADATA). Parity: quantwave-core/tests/gold_standard/universal_oscillator.json

Provenance: Standards bulk upgrade 2026-06-25 IST — see docs/DOCUMENTATION_STANDARDS.md.