This indicator was originally developed by John F. Ehlers (Stocks & Commodities , V.33:10 (September, 2015): "Decyclers").
The idea is still the same as for the Simple Decycler.
Mr. Ehlers suggested to virtually eliminate lag by getting rid of the very low-frequency components. So, he applied the high-pass filter to the simple decycler.
Mr. Ehlers recommended to...
The High Pass Filter was created by John Ehlers and I would define this indicator as both a momentum indicator but also a predictor indicator. This does a pretty good job of predicting future price action even though I have double smoothed it to provide clear buy and sell signals. I will be publishing quite a few more Ehlers indicators very soon so stay tuned....
This indicator is an implamentation of Hodrick-Prescott (HP) filter
This filter is a mathematical model the can remove cyclical components from the price signal to get the trend components.
"Lambda" is the smoothing factor and can have a value between 1 and infinity.
"Length" is the number of previous prices that are included in the filter.