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Problem with Ehlers High Pass Filter

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Problem with Ehlers High Pass Filter

#1
Hello,

I am trying to make an indicator with Ehlers formula for a high pass filter with a user input cut off period. The formula Ehlers writes in is paper "Predictive Indicators for Effective Trading Strategies" is coded in EasyLanguage as follows:

Code: Select all

//Highpass filter cyclic components whose periods are shorter than 48 bars
alpha1 = (Cosine(.707*360 / 48) + Sine (.707*360 / 48) -1) / Cosine(.707*360 / 48); 
HP  =  (1 -alpha1    /  2)*(1 -alpha1  /  2)*(Close -2*Close[1]  +  Close[2])  +  2*(1 -alpha1)*HP[1] -(1 -alpha1)*(1 -alpha1)*HP[2];
I wrote in mql4 the follwing:

Code: Select all

 for (i=limit; i>=0; i--){
 Price[i] = (High[i]+Low[i])/2;
 alpha = MathCos(0.707*360/CutOff) + MathSin((0.707*360/CutOff)-1) / MathCos(0.707*360/CutOff);
 highPass[i] = (1-alpha/2) * (1-alpha/2) * (Price[i] - 2*Price[i+1] + Price[i+2]) + 2 * (1-alpha) * highPass[i+1] - (1-alpha) * (1-alpha) * highPass[i+2];
 }
 
Everything compiles fine with no errors or warnings but when attached to a chart the Data Window returns a value of "-nan(ind)" for the highPass buffer.
I'm assuming I have a syntax problem somewhere but I have not found out where. Does anyone have any ideas?
Thanks


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