Premium4 468x60 forex
Results 1 to 5 of 5

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...

      
   
  1. #1
    Member mariotrinchero's Avatar
    Join Date
    Dec 2014
    Posts
    39
    Last edited by mariotrinchero; 11-03-2017 at 09:27 PM.

  2. #2
    Administrator newdigital's Avatar
    Join Date
    Feb 2013
    Posts
    9,964
    Blog Entries
    1706
    Follow newdigital On Twitter Add newdigital on Facebook Add newdigital on Google+ Add newdigital on MySpace
    Add newdigital on Linkedin
    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.

    ----------------
    Attached Files Attached Files
    Premium Trading Forum: subscription, public discussion and latest news
    Trading Forum wiki || Social networks for the forum
    Trading blogs || My blog
    ePayments: premium subscription without paypal

  3. #3
    Member mariotrinchero's Avatar
    Join Date
    Dec 2014
    Posts
    39
    Hi Sergey,
    thanks.
    Mario

  4. #4

  5. #5
    Senior Member mql5's Avatar
    Join Date
    May 2013
    Posts
    1,671
    Blog Entries
    529

    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.
    Metatrader 5 / Metatrader 4 for MQL5 / MQL4 articles preview preview
    Trading blogs || My blog

Tags for this Thread

Bookmarks

Posting Permissions

  • You may not post new threads
  • You may not post replies
  • You may not post attachments
  • You may not edit your posts
  •