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hajixde
25 июня 2021 г., 23:15

Hodrick-Prescott (HP) filter 

Bitcoin / United States DollarCoinbase

Описание

This indicator is an implamentation of Hodrick-Prescott (HP) filter
This filter is a mathematical model the can remove cyclical components from the price signal to get the trend components.
  • "Lambda" is the smoothing factor and can have a value between 1 and infinity.
  • "Length" is the number of previous prices that are included in the filter.

The default values of lambda and length work well for almost all time frames.

Информация о релизе

Converted to v5
Комментарии
loxx
My man, powerful, good work! This is a nice detrender.
willkm3
Thanks for sharing this. Great tool to detrend data. I have seen the following formula for determining Lambda.

# Normal Rule of thumb is Lambda = 100*(number of periods in a year)^2
# For Quarterly Data = 100 * 4^2 = 1600
# For Monthly Data = 100 * 12^2 = 14400

Following this calculation would make Lambda for weekly data 270,400, and 13,322,500 on daily data. Thoughts?

Thanks again...
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