Ehlers Truncated Bandpass Filter (TBF)

Category: cycle

Isolates price action within a specific frequency band using a center period and bandwidth, featuring a truncated version to limit the filter's memory/lag.

Formula

\begin{cases} L1 = \cos(2\pi/P) \\ G1 = \cos(BW \cdot 2\pi/P) \\ S1 = 1/G1 - \sqrt{1/G1^2 - 1} \\ a0 = 0.5(1-S1) \\ a1 = L1(1+S1) \\ a2 = -S1 \\ BP_t = a0(x_t - x_{t-2}) + a1 \cdot BP_{t-1} + a2 \cdot BP_{t-2} \end{cases} \text{ where TBF is the BP logic applied over a finite length } L.

Inputs

• Source (default: close)
• Period (default: 20)
• Bandwidth (default: 0.1)
• Length (default: 10)

See signal primitives, usage in published strategies and more on WOBR StrategyVerse.