bandpass filter code

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bandpass filter code #479237 03/08/20 22:03 03/08/20 22:03
Joined: Mar 2020 Posts: 19 London H hola123 OP Newbie
hola123 OP Newbie H Joined: Mar 2020 Posts: 19 London	Hi, I am reading about cycles and am very interested in the topic. The function bandpass seems very powerful but bit of a black box. Is there any code anywhere or if not any code any information on the type of algorithm it is using? Cheers

Re: bandpass filter code [Re: hola123] #480941 07/26/20 09:37 07/26/20 09:37
Joined: Aug 2016 Posts: 61 D dr_panther Junior Member
dr_panther Junior Member D Joined: Aug 2016 Posts: 61	There is a very good explanation of spectral analysis in the blackbook of JCL, I also think this concepts might be explained in Ehlers book.

Re: bandpass filter code [Re: hola123] #487407 04/10/23 11:46 04/10/23 11:46
Joined: Apr 2023 Posts: 15 R rki Newbie
rki Newbie R Joined: Apr 2023 Posts: 15	I can confirm that the blackbook does not have the code for BandPass filter

Re: bandpass filter code [Re: hola123] #487411 04/10/23 18:43 04/10/23 18:43
Joined: Apr 2023 Posts: 15 R rki Newbie
rki Newbie R Joined: Apr 2023 Posts: 15	Ehler's work has a Roofing Filter that is a BandPass filter. Below is code for that def RoofingBandPassFilter (vals): filt = np.ones (len(vals))vals hps = np.ones(len(vals))vals for i in range (2, len(vals)): # Highpass filter cyclic components whose periods are shorter tahn 48 bars # converted cos and sin arguments from degrees to radians as mentioned in the paper alpha1 = (np.cos(0.0925) + np.sin(0.0925) - 1) / np.cos(0.0925) hps[i] = ((1.0-alpha1/2.0)*2)(vals[i]-2vals[i-1]+vals[i-2]) + 2(1-alpha1)hps[i-1] - ((1-alpha1)* 2)hps[i-2] # smooth with a super smoother a1 = np.exp(-1.414 3.14159 / 10) b1 = 2 * a1 * np.cos(0.436) c3 = -a1 * a1 c1 = 1 - b1 - c3 filt[i] = c1(hps[i]+hps[i-1])/2 + b1filt[i-1] + c3*filt[i-2] return filt But it does not have the center and width parameters of zorro

Re: bandpass filter code [Re: rki] #487432
04/17/23 19:58 04/17/23 19:58

Joined: Apr 2016
Posts: 38

madpower2000 Offline

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madpower2000 Offline

Newbie

Joined: Apr 2016
Posts: 38

Book: Cycle analytics for traders : advanced technical trading concepts / John F. Ehlers. 2013
EasyLanguage, Code Listing 5-1.

Code

{
    BandPass Filter
    © 2013 John F. Ehlers
}
Inputs:
    Period(20),
    Bandwidth(.3);
    Vars:
    alpha2(0),
    HP(0),
    gamma1(0),
    alpha1(0),
    beta1(0),
    BP(0),

alpha2 = (Cosine(.25*Bandwidth*360 / Period) + Sine (.25*Bandwidth*360 / Period) - 1) / Cosine(.25*Bandwidth*360 / Period);
HP = (1 + alpha2 / 2)*(Close - Close[1]) + (1- alpha2)*HP[1];
beta1 = Cosine(360 / Period);
gamma1 = 1 / Cosine(360*Bandwidth / Period);
alpha1 = gamma1 - SquareRoot(gamma1*gamma1 - 1);
BP = .5*(1 - alpha1)*(HP - HP[2]) + beta1*(1 + alpha1)*BP[1] - alpha1*BP[2];

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