Roofing Filter

The Roofing Filter is a further development of John F. Ehlers’ Super Smoother Filter and can be used to correct distortions in the fixed scale overbought / oversold readings for normalized oscillators.

roofing filter for ninjatrader 8

Indicator Description

Both smoothing techniques developed by Ehlers are based on aerospace analog filters. However, whereas the Super Smoother Filter considers all wave cycles less than 10 bars to be noise, regardless of the time frame used, the Roofing Filter also eliminates long wave components. Specifically, it creates a “roof” for “spectral dilation” and only considers wave components whose periods are between 10 and 48 bars. As a result, the Roofing Filter can significantly reduce oscillator lag and more accurately assess turning points.

By using the Roofing Filter as input series for normalized oscillators, you may correct distortions in the fixed scale overbought / oversold readings. For example, when using a standard Stochastic readings you would have to manually adjust the:

  • Oversold threshold from 20 to 40 during strong uptrends
  • Overbought threshold from 80 to 60 during strong downtrends

By applying the Roofing filter, the distortion is no longer seen and you may rely on the fixed scale 20/80 levels without manually adjusting according to the current trend scenario.

The concept was presented by Ehlers with his MESA Stochastics indicator, however the Roofing filter may be applied independently to a number of other normalized oscillators.

Other library indicators

Other than the Roofing Filter, the Indicator Library also contains a number of other momentum oscillators. The standard momentum oscillator category contains the Acceleration Deceleration, the Awesome Oscillator, the Balanced Momentum, the Double Smoothed Momentum, the standard RSI, the Double Smoothed Stochastics, the standard Stochastics, Projection Oscillator,  and the Traders Dynamic Index (TDI). The TDI indicator specifically was reviewed at length in our Indicator Spotlight. These are built with trend indicators, tracking short-term overbought or oversold conditions. I.e. when the oscillator value approaches the upper extreme, it indicates overbought, and as it approaches the lower extreme, oversold.

Furthermore, the NinjaTrader Indicators Library also has a category for advanced oscillators featuring among others the Connors RSI, the Laguerre RSI, the MACD BB Lines, the MACD KC Lines and the Rainbow Oscillator. These tools build on the same concept as the standard momentum oscillators, but with a higher degree of sophistication. In general, they allow for added value approaches, utilizing a set of more complex algorithms.

Finally, you may want to review the Channel Indicators category,  in particular the Daily Regression Channel and our improved version of the standard Regression Channel.

The indicator is available for NinjaTrader 8.