Ehlers SNR

[bigale]

My compliments! Awesome coding!
I will be able to learn much from this.
This Signal To Noise indicator is supposed to tell you when not to trade -- when the SNR is low. I will apply it to some systems and let you know my results.
Thank you very much, JasonK.

[TimJ]

I'm a little late to this thread. I implemented Ehler's SNR before I found this post and my implementation is virtually identical to that already posted, except that I am using the Mesa ITL to compute the detrend.

The odd thing is that this code does not compute what I would expect for SNR. This indicator produces higher values for greater noise content and smaller values for a stronger signal content. I expect the opposite behavior: a larger number means greater signal to noise. Anybody have any insight?

Otherwise, the indicator is still quite useful. I can pick off a threshold value for the indicator and not trade when the indicator is above that level.

[bigale]

Welcome to the thread.
I like this indicator too.
The article that this code was extracted from asserted that anything above 6.0 dB was considered a good signal.
I color coded the bars because with variable scaling in the signal pane, it is hard to use this indicator.
Really, most indicators without 2 colorbands can be difficult to interpret.
Anyway. I use the MESA library indicators but don't calculate this with them.
Could you post how to do that?
I find a cool system entry that I haven't backtested with yet but look great on the screen is:
SNR > 9.5 or some higher relative value and entering when mesa is in Trend mode with the sine wave indicator crossing.
Exit with sine wave or Mesa moving average cross.
Or when Mesa mode changes back to Cycle.
The high SNR makes for a great filter.
Good Trading!
I'll post the color code indicator when I find it.

[gspiker]

Since the subject of trading strategies with MESA has come up, has anyone looked at the new MESA strategy efs (new with 7.3)? What rueset does it use? How well does it work?

Garth