Cycle

Even Better SineWave

This indicator attempts to quantify market cycles using a low pass filter.

Sources

rengel8
J.F.Ehlers 'Cycle Analytics for Traders', 2014
Pandas TA Issue #350
Proreal Code

Parameters:

Name	Type	Description	Default
`close`	`Series`	`close` Series	required
`length`	`int`	Max cycle/trend period. Values between `40-48` work as expected with minimum value: `39`. Default: `40`	`None`
`bars`	`int`	Period of low pass filtering. Default: `10`	`None`
`offset`	`int`	Post shift. Default: `0`	`None`

Other Parameters:

Name	Type	Description
`fillna`	`value`	Replaces `na`'s with `value`.

Returns:

Type	Description
`Series`	1 column

Note

The default is more cycle oriented and seems to be less whipsaw-prune. The older version might offer earlier signals at medium and stronger reversals. Compared to TradingView, returns very close results but appears to be one bar earlier.

NOTICE

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Reflex

This cycle indicator, by John F. Ehlers, attempts to reduce lag.

Sources

rengel8 (2021-08-11) based on the implementation from "ProRealCode"
traders.com
prorealcode

Parameters:

Name	Type	Description	Default
`close`	`Series`	`close` Series	required
`length`	`int`	The period. Default: `20`	`None`
`smooth`	`int`	SuperSmoother period. Default: `20`	`None`
`alpha`	`float`	Alpha weight of Difference Sums. Default: `0.04`	`None`
`pi`	`float`	Ehlers's truncated value: `3.14159`. Default: `3.14159`	`None`
`sqrt2`	`float`	Ehlers's truncated value: `1.414`. Default: `1.414`	`None`
`offset`	`int`	Post shift. Default: `0`	`None`

Other Parameters:

Name	Type	Description
`fillna`	`value`	Replaces `na`'s with `value`.

Returns:

Type	Description
`Series`	1 column

Tip

This implementation has a separate control parameter for the internal applied SuperSmoother.

Note

John F. Ehlers introduced two indicators within the article "Reflex: A New Zero-Lag Indicator” in February 2020, TASC magazine. One of which is Reflex, a lag reduced cycle indicator. Both indicators (Reflex/Trendflex) are oscillators that complement each other with the focus for cycle and trend.