Calculations.CalculateEhlersStochastic Not giving same Info as TraderView

[200317314]

I am using the same inputs as Ooples on TraderView and using this library, but the library is giving me different numbers, and when I checked, it appears that the library is incorrect, has anyone else faced this?

I am using Ehlers2PoleSuperSmootherFilterV1 to smooth it

[ooples]

@200317314 Please share any code you have run on your end, link to the tradingview script you are comparing to as well as the results you are getting when using the library method. I publish a bunch of scripts on tradingview under the name cheatcountry so there shouldn't be any difference between my library and scripts on tradingview but mistakes could always happen of course

[200317314]

@ooples so the EhlersStochastic is a bit off, this is the pine script from tradingview
`study("Ehlers Stochastic", shorttitle="EStoch")

highpassLength = input(title="High-Pass Filter Length", type=integer, defval=48)
stochLength = input(title="Stochastic Length", type=integer, defval=20)
ssfLength = input(title="Super Smoother Filter Length", type=integer, defval=10)
numberOfPoles = input(title="Super Smoother Filter Poles", type=integer, defval=2, options=[2, 3])
obLevel = input(title="Overbought Level", type=float, defval=0.8, step=0.1)
osLevel = input(title="Oversold Level", type=float, defval=0.2, step=0.1)
src = input(title="Source", type=source, defval=close)
highlightBreakouts = input(title="Highlight Overbought/Oversold Breakouts ?", type=bool, defval=true)

PI = 2 * asin(1)

_ssf2(src, length) =>
arg = sqrt(2) * PI / length
a1 = exp(-arg)
b1 = 2 * a1 * cos(arg)
c2 = b1
c3 = -pow(a1, 2)
c1 = 1 - c2 - c3

ssf = 0.0
ssf := c1 * src + c2 * nz(ssf[1]) + c3 * nz(ssf[2])

_ssf3(src, length) =>
arg = PI / length
a1 = exp(-arg)
b1 = 2 * a1 * cos(1.738 * arg)
c1 = pow(a1, 2)

coef2 = b1 + c1
coef3 = -(c1 + b1 * c1)
coef4 = pow(c1, 2)
coef1 = 1 - coef2 - coef3 - coef4

ssf = 0.0
ssf := coef1 * src + coef2 * nz(ssf[1]) + coef3 * nz(ssf[2]) + coef4 * nz(ssf[3])

_rf(src, highpassLength, ssfLength, numberOfPoles) =>
alphaArg = 2 * PI / (highpassLength * sqrt(2))

alpha = 0.0
alpha := cos(alphaArg) != 0
     ? (cos(alphaArg) + sin(alphaArg) - 1) / cos(alphaArg)
     : nz(alpha[1])

highpass = 0.0
highpass := pow(1 - (alpha / 2), 2) * (src - 2 * nz(src[1]) + nz(src[2])) + 2 * (1 - alpha) * nz(highpass[1]) - pow(1 - alpha, 2) * nz(highpass[2])
arg = (highpass + nz(highpass[1])) / 2

numberOfPoles == 2
     ? _ssf2(arg, ssfLength)
     : _ssf3(arg, ssfLength)

_stoch(rf, stochLength, ssfLength, numberOfPoles) =>
estoch = fixnan(stoch(rf, rf, rf, stochLength) / 100)
estoch := na(estoch) ? 0 : estoch

arg = (estoch + nz(estoch[1])) / 2

numberOfPoles == 2
     ? _ssf2(arg, ssfLength)
     : _ssf3(arg, ssfLength)

erf = _rf(src, highpassLength, ssfLength, numberOfPoles)
estoch = _stoch(erf, stochLength, ssfLength, numberOfPoles)

estochColor = estoch > obLevel ? #0ebb23 : estoch < osLevel ? red : #f4b77d
plot(estoch, title="EStoch", linewidth=2, color=estochColor, transp=0)

transparent = color(white, 100)

maxLevelPlot = hline(1, title="Max Level", linestyle=dotted, color=transparent)
obLevelPlot = hline(obLevel, title="Overbought Level", linestyle=dotted)
hline(0.5, title="Middle Level", linestyle=dotted)
osLevelPlot = hline(osLevel, title="Oversold Level", linestyle=dotted)
minLevelPlot = hline(0, title="Min Level", linestyle=dotted, color=transparent)

fill(obLevelPlot, osLevelPlot, color=purple, transp=95)

obFillColor = estoch > obLevel and highlightBreakouts ? green : transparent
osFillColor = estoch < osLevel and highlightBreakouts ? red : transparent

fill(maxLevelPlot, obLevelPlot, color=obFillColor, transp=90)
fill(minLevelPlot, osLevelPlot, color=osFillColor, transp=90)
`

I am using settings 48, 3, 7 on the the 2 poles
Trading view im getting on QQQ -0.0077
When I use your function
Calculations.CalculateEhlersStochastic(stockData, OoplesFinance.StockIndicators.Enums.MovingAvgType.Ehlers2PoleSuperSmootherFilterV1, 48, 3, 7);
I get -0.0329 and pretty much ever value is off

[200317314]

https://www.tradingview.com/script/iNw44glL-Ehlers-Stochastic/

[ooples]

@200317314 It is possible of course that I made a mistake but I double checked my source code to the link you sent (written by a friend of mine) and I'm not seeing any differences. I might have missed something so please let me know if you spot any differences in my version. I also checked Ehlers work and my version matches his exactly

[200317314]

@ooples interesting, why am I getting the wrong data? I have the same data

Are you using close or HL? and which supersmoother should I use?

[200317314]

@ooples I checked the code it is using close, but i cannot for the life of me figure out why its not giving me the same numbers

[ooples]

@200317314 My version uses close as well by default but you can also customize my version by changing the input source

[200317314]

@ooples I played around with the source and it uses close, and I tried other smoothing and SMA/EMA I am not sure why my outputvalues are different, if you get a chance to use the traderview link, and use the 48,3,7 and try it out with the calculation you will see they are not the same.

[ooples]

I'm not doubting you at all. I'm just pointing out that comparing the source code, it looks identical to me comparing my version with their version. Please help me by taking a look yourself and seeing if I'm missing anything. Just compare the two versions and see if you spot any differences between how I do it and how the tradingview script does it

…

On Wed, Oct 25, 2023 at 11:45 PM The Buddha ***@***.***> wrote: @ooples <https://github.com/ooples> I played around with the source and it uses close, and I tried other smoothing and SMA/EMA I am not sure why my outputvalues are different, if you get a chance to use the traderview link, and use the 48,3,7 and try it out with the calculation you will see they are not the same. — Reply to this email directly, view it on GitHub <#53 (reply in thread)>, or unsubscribe <https://github.com/notifications/unsubscribe-auth/AAXO4ZIEE7LVC6EZWSJ3KD3YBHMFZAVCNFSM6AAAAAA6JB46V2VHI2DSMVQWIX3LMV43SRDJONRXK43TNFXW4Q3PNVWWK3TUHM3TGOBXHAYDS> . You are receiving this because you were mentioned.Message ID: <ooples/OoplesFinance.StockIndicators/repo-discussions/53/comments/7387809 @github.com>

[200317314]

@ooples
I found some issues while comparing tradingview with yours, not sure if I am correct or mistaken but some things ive seen are

in CalculateEhlersRoofingFilterV1() when we calc the CalculateEhlersHighPassFilterV1
TradingView
highpass := pow(1 - (alpha / 2), 2) * (src - 2 * nz(src[1]) + nz(src[2])) + 2 * (1 - alpha) * nz(highpass[1]) - pow(1 - alpha, 2) * nz(highpass[2]) arg = (highpass + nz(highpass[1])) / 2

Yours looks like this
ar highPass = (pow1 * (currentValue - (2 * prevValue1) + prevValue2)) + (2 * (1 - alpha) * prevHp1) - (pow2 * prevHp2); highPassList.AddRounded(highPass);

Another thing is on tradingview when we calc the _ssf2
`arg = sqrt(2) * PI / length
a1 = exp(-arg)
b1 = 2 * a1 * cos(arg)
c2 = b1
c3 = -pow(a1, 2)
c1 = 1 - c2 - c3

ssf = 0.0
ssf := c1 * src + c2 * nz(ssf[1]) + c3 * nz(ssf[2])`
It looks like you calc the supersmotherfiilter BEFORE you get the highpass instead of after like tradingview

After getting the erf, im not sure when you calculate the estoch = _stoch(erf, stochLength, ssfLength, numberOfPoles)?

[200317314]

@ooples were you able to take a look at this by chance?

[200317314]

@ooples I know you are tired of hearing from me, but I found some real differences
in CalculateEhlersSuperSmootherFilter you see
var filt = (coeff1 * ((currentValue + prevValue) / 2)) + (coeff2 * prevFilter1) + (coeff3 * prevFilter2);

But in TraderView it looks like this
ssf := c1 * src + c2 * nz(ssf[1]) + c3 * nz(ssf[2])

shouldnt your code just be currentValue and not (currentValue + prevValue) / 2 ?

you are also multiplying the prevFilters by the coefficients and im not sure why?

[200317314]

@ooples further investigation shows that roofing filter you have works correctly, but the var estoch2PoleList = GetMovingAverageList(stockData, maType, length2, arg2PoleList); when you use Ehlers2PoleSuperSmootherFilterV1 it does not work, it needs to be EhlersSuperSmootherFilter so the roofing filter needs the 2PoleV1 for some reason, but the smoothing on the stochastic needs normal, I still have not been able to get it to match up thought