Distant Coefficient Filter

Two filters are presented by Ehlers: The non-linear Ehlers filter and the Distant Coefficient Filter which is found here.

Indicator Description

The Distant Coefficient Filter calculates the weighting coefficients for the filter by adding up the squared distances of each data point from the preceding N data points. Thus a data point which is far away from other prices will have a larger impact on the calculation of the average than a data point which is close to the preceding elements of the input series. The Distant Coefficient Filter also has adaptive properties.

The indicator is available for NinjaTrader 8.