STD Stepped Ehlers Optimal Tracking Filter MTF w/ Alerts

The STD Stepped Ehlers Optimal Tracking Filter MTF w/ Alerts indicator provides a refined version of the traditional Ehlers Optimal Tracking Filter by incorporating a standard deviation stepping mechanism and multi-timeframe functionality to reduce noise and highlight significant trend shifts.

Usage

The indicator is used to identify trends while filtering out market noise. Unlike standard moving averages, the "stepped" nature of this filter means the output line only updates when the price or the filter value exceeds a specific standard deviation threshold.

• Trend Identification: When the filter line turns green and moves upward, it indicates a bullish trend. Conversely, a red line moving downward indicates a bearish trend.
• Filtering Options: You can choose to apply the standard deviation step filter to the source price, the Ehlers OTF output, or both. Setting the "Filter Deviations" to 0 will remove the stepping effect, turning it into a standard smooth filter.
• Signals: The script provides visual labels ("L" for Long and "S" for Short) and bar coloring to assist in identifying entry points based on direction changes.
• Alerts: Built-in alerts are available for both Long and Short signals, allowing for real-time monitoring of trend changes.

Details

The core of this tool is John Ehlers' Optimal Tracking Filter (OTF). Ehlers developed this concept as a practical alternative to the Kalman filter, which is often used in navigation systems to estimate the state of a system amidst uncertainty.

The OTF utilizes a "Tracking Index" to optimize how the filter follows price movement based on volatility. By adding a Standard Deviation stepping filter, the script ensures that the line only shifts when price movement is statistically significant relative to the recent volatility (length). This creates a "staircase" effect that helps traders stay in a trend during minor fluctuations.

Settings

Basic Settings

• Source: The price input used for calculations (default is HL2).
• Filter Options: Determines which part of the calculation the stepping filter is applied to: "Price", "Ehlers OTF", or "Both".
• Filter Length: The period used to calculate the standard deviation for the stepping filter.
• Filter Deviations: The multiplier for the standard deviation. A higher value requires a larger price move before the filter updates.

UI Options

• Color bars?: Toggles price bar coloring based on the current trend.
• Show signals?: Toggles the visibility of the Long and Short triangle labels on the chart.

FAQ

How do I use the multi-timeframe (MTF) feature?

You can change the indicator's timeframe via the standard TradingView "Timeframe" dropdown in the script's settings panel. This allows you to view the filter from a higher timeframe on your current chart.

What is the advantage of a "stepped" filter over a normal one?

A stepped filter reduces "sawtooth" price action. It prevents the moving average from fluctuating during low-volatility periods, only updating when a significant move (defined by the standard deviation) occurs.

Where can I find more tools like this?

You can get access on the LuxAlgo Library for charting platforms like TradingView, MetaTrader (MT4/MT5), and NinjaTrader for free.