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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 https://www.mql5.com/ru/code/19223 https://en.wikipedia.org/wiki/Hodric...rescott_filter...

      
   
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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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    Administrator newdigital's Avatar
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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,
    thanks.
    Mario

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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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