Ehlers Roofing Filter (ROOFING)

The Roofing Filter is a bandpass built from two stages. The first is a two-pole highpass with cutoff HP Length: it removes trends and cycles longer than that many bars, leaving a wave that wanders around zero. The second is a Super Smoother with cutoff SS Length: it removes the fast noise shorter than that many bars.

What remains is the band of cycles between the two lengths, shown as a single line in its own pane around a dashed zero level. The highpass uses the current price and the two before it, and both stages feed back their own last two values.

On the first bars, missing earlier prices are read as the current one, so the highpass starts at zero and the oscillator builds from there.

Read the line as the cycle part of price. Above zero, price is above its long-term path in this cycle band; below zero, it is below. Peaks and troughs of the line are the cycle's highs and lows, and the zero crossings are the turns between them. Because the trend has been removed, the line says nothing about the longer trend; read it alongside a trend measure of your choice.

The values are in price units and are not normalised, so the height of the swings grows with volatility and price level. A cycle longer than HP Length is invisible here, which is the point of the filter but also its limit.