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https://www.mql5.com/ru/code/19223
https://en.wikipedia.org/wiki/Hodric...rescott_filter
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Hodrick-Prescott filter
The Hodrick-Prescott filter is used in macroeconomics, especially in real business cycle theory to separate the cyclical component of a time series from raw data. It has a zero lag. There is a common disadvantage of such zero lag filters - the recent values are recalculated.
More information on one sided HP filter you can find here : statistics - Hodrick–Prescott filter (one-sided version) - Mathematica Stack Exchange or here time series - Formula for one-sided Hodrick-Prescott filter - Cross Validated and in pdf file attached.
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Hi Sergey,
thanks.
Mario
hi there
it was interesting to read
i will watching your posts in this topic
regards
Gaussian Filter - indicator for MetaTrader 5
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Quote:
Gaussian filter that works for orders (poles) higher than the usual 4 poles that was available (mathematical maximum after which the precision of calculation is order (poles) 15 — but the coeffitients for those levels are so high, that the precision loss actually means very little).
Because of that, it is a sort of generalized Gaussian filter that can calculate arbitrary (order) pole Gaussian filter and which makes it a sort of a unique indicator.
