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Causal Hodrick-Prescott

ionone, Wed Feb 11, 2026 10:57 pm

Causal Hodrick-Prescott

HP is a well known smoother, but only problem it's not real-time friendly.

I changed this by making it 100% NRP

you got a few settings, I just added the "delay" value that allows you to get the "nth" value of the buffer instead of the last one, and you'll gain smoothness by augmenting it.
  • extern int FiltPer =14; period of the MA
  • extern int windowSize = 1500; rolling window size (in bars)
  • extern int delay = 7; index of the final output buffer

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