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The Hodrick & Prescott MA System

This is a discussion on The Hodrick & Prescott MA System within the Trading Systems forums, part of the Trading Forum category; Hodrick Prescott MA.mq4

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    Member mariotrinchero's Avatar
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    Last edited by mariotrinchero; 11-03-2017 at 09:27 PM.

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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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    Member mariotrinchero's Avatar
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    Hi Sergey,

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    member mql5's Avatar
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    Gaussian Filter

    Gaussian Filter - indicator for MetaTrader 5

    The Hodrick & Prescott MA System-gaussian_filter_.png

    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.
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