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Ehlers Super Smoother Filter

Install and import#

bash
npm install fintech-algorithms
ts
import { ehlersSuperSmootherFilter } from "fintech-algorithms/technical-indicators/trend-smoothing/ehlers-super-smoother-filter";

Signature#

ehlersSuperSmootherFilter(input)

Applies Ehlers' two-pole Butterworth recursion to the two-bar mean of close, with feedback coefficients derived from period via exp(-sqrt(2) * pi / period), suppressing high-frequency noise with far less lag than a moving average of the same length.

Parameters#

NameTypeNotes
inputTopicInputbars is a non-empty array of OHLCV records with strictly increasing timestamp, finite open, high, low, close and non-negative volume, all sharing one adjustment basis. From parameters this topic reads only period, an integer of at least 2, default 14, which sets the filter's cutoff.

Returns#

TopicResult

series and latest carry a single key, value. There is no warm-up: the first two bars pass their close through unchanged before the recursion takes over, so ready_at is 0 and no entry is ever null.

Warm-up#

The first 0 bars positions are not applicable. The recursion needs two prior outputs, and the implementation supplies them by seeding indices 0 and 1 with the raw close rather than emitting nulls. ready_at is therefore 0, but the first few values are effectively unfiltered and should be treated as transient.

Errors#

  • When parameters.period is not an integer of at least 2 — throws Error
  • When bars is empty or a bar violates the OHLCV contract — throws Error

Complexity: time O(n), space O(n).

Worked example#

executed Captured by running this function on the input its own test provides. Real output of real code — but not asserted against a published figure.

Input#

input
{
  "bars": [
    {
      "timestamp": "2024-01-02",
      "basis": "synthetic-unadjusted",
      "open": 100,
      "high": 101.45,
      "low": 98.695,
      "close": 100,
      "volume": 750000,
      "benchmark": 200
    },
    {
      "timestamp": "2024-01-03",
      "basis": "synthetic-unadjusted",
      "open": 101.49111452,
      "high": 103.38381693,
      "low": 100.05480022,
      "close": 101.78791214,
      "volume": 795117,
      "benchmark": 200.56326135
    },
    {
      "timestamp": "2024-01-04",
      "basis": "synthetic-unadjusted",
      "open": 102.45519048,
      "high": 104.6701838,
      "low": 100.91147007,
      "close": 102.9549389,
      "volume": 840234,
      "benchmark": 201.11020913
    }
  ],
  "parameters": {}
}

Call#

ehlersSuperSmootherFilter(input)

Returns#

object with 9 fields: topic_id, title, state, ready, ready_at, series, latest, parameters, …

{
  "topic_id": "D07-F01-A23",
  "title": "Ehlers Super Smoother Filter",
  "state": "calculated",
  "ready": true,
  "ready_at": 0,
  "series": {
    "value": [
      100,
      101.78791214,
      102.82125123553132,
      103.40896247631203,
      103.66519218875615,
      103.63747331288454
    ]
  },
  "latest": {
    "value": 103.12560464143179
  },
  "parameters": {},
  "diagnostics": {
    "causal": true,
    "input_count": 96
  }
}

Diagrams#

Ehlers Super Smoother Filter — article hero
Ehlers Super Smoother Filter — concept map
Ehlers Super Smoother Filter — decision comparison
Ehlers Super Smoother Filter — worked example

Calculation flow#

Ehlers Super Smoother Filter calculation flow 
flowchart LR
    A["an oldest-to-newest finite price series, declared price so"] --> B["Validate order, basis, and finite values"]
    B --> C["Apply the selected Ehlers Super Smoother Filter convention"]
    C --> D["Emit value, readiness, and diagnostics"]
    D --> E["Interpret descriptively; test outcomes separately"]
    B -->|invalid or insufficient| X["Withhold output with a reason"]
Ehlers Super Smoother Filter readiness and evidence states 
stateDiagram-v2
    [*] --> Waiting
    Waiting --> Ready: enough valid causal observations
    Waiting --> Rejected: malformed or unsupported input
    Ready --> Calculated: selected formula applied
    Calculated --> Interpreted: diagnostic and limitation retained
    Interpreted --> Ready: next observation arrives
    Rejected --> Waiting: corrected input and deterministic reset

How it works#

This page states the contract — how to call it correctly. The article explains the concept: why it works, and where it breaks.

Read the article →

References#

  • TA-Lib function groups — see linked primary or authoritative record
  • TA-Lib C/C++ API — see linked primary or authoritative record
  • TA-Lib maintained source — see linked primary or authoritative record
  • Evidence decision
  • Level 1 evidence map

The rest of the Trend Smoothing family#