Hodrick Prescott Filter alternative?

[Xpl0siv]

Hi Everyone,

I am currently looking for a viable - non repainting (HP filter is a repainting indicator) indicator that would leave same (or very similar) data as the Hodrick prescott filter.

Could anyone help me with my search? I have already gone through a couple hundred indicators, none of which leaves similar information.

Any guidance would be extremely appreciated!

[Fernando Carreiro]

Xpl0siv:  I am currently looking for a viable - non repainting (HP filter is a repainting indicator) indicator that would leave same (or very similar) data as the Hodrick prescott filter. Could anyone help me with my search? I have already gone through a couple hundred indicators, none of which leaves similar information. Any guidance would be extremely appreciated!

You were already given an answer on your other thread. You could have just continued there instead of creating a new one.

Either way, the answer is still the same. There is no other Indicator that gives the same or similar results without recalculating, because that is the nature of the Hodrick–Prescott filter .

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Zero Lag indicator - Technical questions

Mladen Rakic, 2021.06.02 15:30

Two sided Hodrick Prescott filter is a non-causal indicator - ie: it recalculates. Saying that it "repaints" and that it is, because of that, useless, would be same as saying that Fourier regression analysis is repainting and is hence useless (when at least a half of world would literally stop without it)

On the other hand, one sided Hodrick Prescott filter is not something you shall find floating on the net and frankly I doubt that people would "like" the results it is producing 

Forum on trading, automated trading systems and testing trading strategies

Zero Lag indicator - Technical questions

Fernando Carreiro, 2021.06.02 15:18

You can't fix what is not broken! The Hodrick–Prescott filter is designed for analysis of purely historical static data. It was not designed and should not be used for currently evolving data and causes misleading predictions when used dynamically. This is because the algorithm changes during each new bar iteration.