This is an extension of Nicolas’s great indicator that implements the Hodrick-Prescott smoother. My contribution just consists of calculating the standard error bands (with respect to the close) around the HP line.
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defparam drawonlastbaronly=true //PRC_Hodrick-Prescott filter | indicator //28.09.2020 //Nicolas @ www.prorealcode.com //Sharing ProRealTime knowledge // Added standard error // 25.03.2024 // Manuel Cabedo @ www.prorealcode.com // Sharing ProRealTime knowledge // --- settings nobs =100 //Number of bars to smooth lambda =30 //Higher lambda leads to the smoother data // --- end of settings if islastbarupdate and barindex > max(nobs,lambda) THEN // IsLastBarUpdate duvuelve un 1 si estamos tratando la última barra PERO no nos dice su numero. // (eso lo hace la instrucción BarIndex) for i=0 to nobs-1 $output[i]=Close[i] $Cierre[i]=Close[i] next $a[0]=1.0+lambda $b[0]=-2.0*lambda $c[0]=lambda for i=1 to nobs-3 do $a[i]=6.0*lambda+1.0 $b[i]=-4.0*lambda $c[i]=lambda next $a[1]=5.0*lambda+1 $a[nobs-1]=1.0+lambda $a[nobs-2]=5.0*lambda+1.0 $b[nobs-2]=-2.0*lambda $b[nobs-1]=0.0 $c[nobs-2]=0.0 $c[nobs-1]=0.0 //Forward for i=0 to nobs-1 do Z=$a[i]-H4*H1-HH5*HH2 HB=$b[i] HH1=H1 H1=(HB-H4*H2)/Z $b[i]=H1 HC=$c[i] HH2=H2 H2=HC/Z $c[i]=H2 $a[i]=($output[i]-HH3*HH5-H3*H4)/Z HH3=H3 H3=$a[i] H4=HB-H5*HH1 HH5=H5 H5=HC next //Backward H2=0 H1=$a[nobs-1] $output[nobs-1]=H1 for i = nobs-2 downto 0 do $output[i]=$a[i]-$b[i]*H1-$c[i]*H2 // $output es el valor del indicador H2=H1 H1=$output[i] drawsegment(barindex[i],$output[i],barindex[i+1],$output[i+1]) coloured(0,0,0) style(line,3) next // Calculate StdErr of values of the Hodrick-Prescott value. Sum = 0.0 Ubound = LastSet($output) for k = Ubound downto 0 Sum = Sum + square($output[k] - $Cierre[k]) next StdErr = sqrt(Sum/(Ubound-1)) // Draw the bands around the Hodrick-Prescott value for i=nobs-1 downto 0 do drawsegment(barindex[i],$output[i] + 2 * StdErr, barindex[i+1], $output[i+1] + 2 * StdErr) coloured(128, 128, 128) style(dottedline, 3) drawsegment(barindex[i],$output[i] - 2 * StdErr, barindex[i+1], $output[i+1] - 2 * StdErr) coloured(128, 128, 128) style(dottedline, 3) NEXT endif Return |
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