Causal Hodrick Prescott Moving Average
- Indicators
- Jean Francois Le Bas
- Version: 1.0
- Activations: 20
The Hodrick-Prescott filter is a well known filtering algorithm
Perfect for offline jobs it lacks realtime capabilities that are necessary in trading
This is a first time a causal Hodrick-Prescott filter has been made
I was able to successfully make a causal (realtime) version of the Hodrick-Prescott algorithm which keeps the lag to a minimum
as you can see on the screenshots, it is really responsive to sharp changes while retaining a high smoothing ability,
making it one of the best smoothers of all time