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HP Extrapolator

HP Extrapolator 2018-12-07

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Author: gpwr

The distinctive feature of the Hodrick-Prescott filter is that it does not delay. It is calculated by minimizing the objective function

F = Sum((y - x)^2,i=0..n-1) + lambda*Sum((y[i+1]+y[i-1]-2*y)^2,i=1..n-2)

where x[] - prices, y[] - filter values. Below is the example of the filter behavior (see the file HP.mq4 attached below)

hp_small.gif
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