Engineer who brought digital signal processing to trading; founder of MESA Software

John F. Ehlers

John F. Ehlers holds BSEE and MSEE degrees from the University of Missouri, was a Senior Engineering Fellow at Raytheon, and has been a private trader since 1976. He founded MESA Software and pioneered applying digital signal processing, starting with maximum entropy spectrum analysis, to market data.

What they argue

Prices are not normally distributed, so transforming them (for example with the Fisher transform) makes turning points sharp and easy to see.
Prices contain cycles and noise that fixed-length averages handle badly, so a filter should adapt its speed to what the market is measurably doing.

Sources

CMT Association: John Ehlers Wiley: Rocket Science for Traders - author information (July 2001)Wiley: Cybernetic Analysis for Stocks and Futures - table of contents (March 2004)Ehlers: Time Warp - Without Space Travel (MESA Software)Ehlers, MAMA - The Mother of Adaptive Moving Averages (PDF)Ehlers, FRAMA - Fractal Adaptive Moving Average (PDF, lists his books)

Summaries are Be The Puck's paraphrase of public material. Be The Puck has no affiliation with the people listed.

Books and papers

MESA and Trading Market Cycles
Rocket Science for Traders: Digital Signal Processing Applications (2001)
Cybernetic Analysis for Stocks and Futures (2004)

The full reading list

Ehlers' MESA Adaptive Moving Average (MAMA/FAMA) crossover

Rule and full record

Trend following · daily

MAMA is an average that speeds up or slows down with the market's measured cycle. Hold the stock while it sits above its slower companion line, FAMA.

Calls right31%71,328 closed calls on 377 stocks.

Beat buy and hold (Sharpe)81 of 375On raw return: 70 of 375.

In right now160 of 377As of the Oct 13, 2026 close.

Best risk-adjusted results against buy and hold:

ETHOUT GPROIN APPOUT STHHIN ALABIN BTDROUT NFIIN ACOUT EQBOUT DCBOIN BTEIN CIGIOUT All 377 stocks →

Ehlers and Way's Zero Lag (error-correcting EMA) crossover

Rule and full record

Trend following · daily · with Ric Way

An exponential average with an error-correcting term that pulls it toward price and removes most of the lag. Buy when it crosses above the ordinary average, but ignore crossings where the corrected line is hugging the price.

Calls right30%50,688 closed calls on 377 stocks.

Beat buy and hold (Sharpe)84 of 375On raw return: 72 of 375.

In right now152 of 377As of the Oct 13, 2026 close.

Best risk-adjusted results against buy and hold:

SUPXOUT APPOUT RKLBOUT ETHOUT LACOUT BTCIN STHHIN GPROIN EOSEOUT BYDOUT BTEIN CURAOUT All 377 stocks →

Ehlers Laguerre RSI 0.2/0.8

Rule and full record

Mean reversion · daily

Ehlers' fast RSI, built from four stages of a Laguerre filter instead of a fixed look-back, so it reacts with little lag. Buy when it climbs back above 0.2, sell when it drops back below 0.8.

Calls right47%100,135 closed calls on 377 stocks.

Beat buy and hold (Sharpe)43 of 375On raw return: 39 of 375.

In right now236 of 377As of the Oct 13, 2026 close.

Best risk-adjusted results against buy and hold:

SOBOOUT MDAIN IAUOUT STHHOUT TSATIN NTRIN GEHCIN AAVIN CRWVOUT DDOGIN PETIN TOUIN All 377 stocks →

Ehlers Fisher transform trigger cross

Rule and full record

Mean reversion · daily

Ehlers stretches price's place in its 10-day range so that turning points stand out sharply. Hold while the Fisher line is above its own value a day earlier.

Calls right37%328,518 closed calls on 377 stocks.

Beat buy and hold (Sharpe)67 of 375On raw return: 66 of 375.

In right now248 of 377As of the Oct 13, 2026 close.

Best risk-adjusted results against buy and hold:

MDAOUT NAMMOUT IAUIN CRWVOUT ATHIN BTEIN POUIN KELIN GPROOUT CMIN BMOIN BDTOUT All 377 stocks →