Roofing Filter

What is a Roofing Filter?

A roofing filter is John Ehlers' preprocessing bandpass for indicator inputs. It chains two stages: a two-pole high-pass filter removes components with periods longer than an upper cutoff (48 bars in Ehlers' published defaults), stripping out trend and drift, then an Ehlers SuperSmoother low-pass removes periods shorter than a lower cutoff (10 bars), suppressing bar-to-bar noise and aliasing. What survives is the band between the two, the 'roof': the cycle-scale swings oscillators are actually meant to trade.

Oscillators computed on raw price inherit trend distortion: in a persistent uptrend a stochastic oscillator pins high and its overbought readings stop marking reversals. Computed on roofed data, the same oscillator swings around a zero-mean input, so overbought and oversold regain meaning, and downstream dominant cycle measurement sees a much cleaner signal. The cost is the one all filters pay: a few bars of lag, and blindness to anything outside the passband, which is precisely the design intent.

How traders use it

• As an oscillator front end: stochastics, RSI, and custom oscillators computed on roofed output produce cleaner, more symmetric overbought/oversold swings than the same tools on raw price.
• As the standard preprocessing stage before cycle measurement, where leftover trend would otherwise dominate the spectrum and mask the tradable period.
• As a detrended series in its own right: zero crossings and turns of the roofed output mark cycle-scale swing shifts without any further indicator.