[blackcat] L2 Ehlers High Pass Filter (1 pole)

Level:2

Background

The first-order high-pass filter is a classic JF Ehlers specification.

Function

I have found many places where the algorithms are not uniform and some are even wrong. So, I did some research and wrote a high pass filter that I think is correctly defined. This indicator is often used as one of the basic elements of other trading systems.

When you are using it, you need to enter the HPPeriod setting period and specify its bandwidth parameter, the default value is 0.3

Remarks

Free but Open Source