Description
The Universal Oscillator strategy is based upon the eponymous technical indicator created by John Ehlers. This strategy analyzes the behavior of the white spectrum-based oscillator and adds simulated orders upon its crossovers with zero line.
The strategy allows for two interpretations of the oscillator: trend following and reversal based. In the trend-following mode, the strategy adds a simulated Buy order when the Universal Oscillator crosses above the zero level, and a simulated Sell order when it crosses below. For the reversal mode, the signals are the opposite: Buy orders are added upon crossing below the zero level, and Sell orders upon crossing above.
Input Parameters
cutoff length
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Used in the calculation of EhlersSuperSmootherFilter; defines the maximum period for a wave to be considered undesirable noise. |
mode
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Defines the mode of adding simulated orders: trend following or reversal. |
Further Reading
1. "Whiter is Brighter" by John Ehlers, PhD. Technical Analysis of Stocks & Commodities, January 2015.