[blackcat] L2 Ehlers Autocorrelation Reversals

Level: 2


John F. Ehlers introduced Autocorrelation Reversals in his "Cycle Analytics for Traders" chapter 8 on 2013.


One of the distinctive characteristics of autocorrelation is that the autocorrelation shifts from yelow to red or from red to yellow at all values of lag at the cyclic reversals of the price. Therefore, all we need do to determine these reversals is to sum the bar-to-bar differences of the autocorrelation function across all values of lag. When the sum is large a turning point has been identified.

The indicated reversals are very sensitive to the smoothing of the price data. Therefore, the LPLength is made available as an indicator input to decrease or increase the number of indicated reversals as desired. The AvgLength parameter is also made available as an indicator because this averaging also impacts the number of indicated reversals. Care should be taken when increasing the value of this input because the lag of the indicator increases in direct proportion to the increase of the value of the AvgLength. Typical delay of the indicator will be about three bars when the AvgLength parameter is set to a value of 3. The HPLength parameter is also made available as an input for complete flexibility of the indicator. However, changing its value has a relatively minor impact on the indicated reversals.

Key Signal

Reversals --> Autocorrelation Reversals pulses

Pros and Cons

100% John F. Ehlers definition translation of original work, even variable names are the same. This help readers who would like to use pine to read his book. If you had read his works, then you will be quite familiar with my code style.


The 50th script for Blackcat1402 John F. Ehlers Week publication.


In real life, I am a prolific inventor. I have successfully applied for more than 60 international and regional patents in the past 12 years. But in the past two years or so, I have tried to transfer my creativity to the development of trading strategies. Tradingview is the ideal platform for me. I am selecting and contributing some of the hundreds of scripts to publish in Tradingview community. Welcome everyone to interact with me to discuss these interesting pine scripts.

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I assume it has to be just me but my charts arent showing anything with it.
ChasinAlts ChasinAlts
@ChasinAlts, Strange...actually the only thing I can see it not working on is the one I started with it on. That being VETUSDTPERP 1min charts. Any idea why as thats my go-to. Oh and Ive seen you comment on many scripts but never looked you up for some strange reason. Like an early Bday present to me when I finally did though. Astonishing dedication and work mate.
+1 Svara
blackcat1402 ChasinAlts
@ChasinAlts, try the same trading pair and time frame of this page
ChasinAlts blackcat1402
@blackcat1402, works with it.
+1 Svara
marketrading001 blackcat1402
@blackcat1402, Does it work with some currencies and not others? Why don't other currencies show autocorrelation reversals?