EhlersAutocorrelationPeriodogram

Description

The Ehlers Autocorrelation Periodogram is a technical indicator proposed by John F. Ehlers; it attempts to reveal dominant cycles in market data and measure their amplitude. This study continues Mr. Ehlers’s market cycle research and is preceded by several other indicators, e.g., Ehlers Stochastic and Ehlers Super Smoother Filter.

As the first step, the Autocorrelation Periodogram takes Autocorrelation of price data filtered by Ehlers Roofing Filter. The Autocorrelation function compares the data with itself a certain period back; its value of +1 would signify the perfect correlation and -1, the perfect anti-correlation. Values produced by Autocorrelation are then subjected to Fourier transform and the resulting data is plotted in Thermo Mode.

The Thermo Mode representation of the study data may help you measure the relative amplitude of all cycle periods present in the filtered data. Cycles that have the maximum amplitude are visualized in color green, transitioning to yellow for those with lesser amplitude, and then becoming red as the amplitude drops to its lowest.

Input Parameters

lag Defines the lookback period for prior data to calculate the correlation with.

Plots

Periodogram The Ehlers Autocorrelation Periodogram plot.

Further Reading

1. "Measuring Market Cycles" by John F. Ehlers. Technical Analysis of Stocks & Commodities, September 2016.

2. "Whiter is Brighter" by John Ehlers, PhD. Technical Analysis of Stocks & Commodities, January 2015.

3. "Predictive Indicators for Effective Trading Strategies" by John F. Ehlers. Technical Analysis of Stocks & Commodities, January 2014.

Example*

*For illustrative purposes only. Not a recommendation of a specific security or investment strategy.

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