Bandpass Filter (BPF)

Category: cycle, momentum

An Infinite Impulse Response (IIR) filter that isolates price movements within a specific frequency band by combining high-pass and low-pass filtering stages.

Formula

\text{BPF} = L(H(x)) \\\\ \text{where } H(z) \text{ is a 2nd order HPF and } L(z) \text{ is a 2nd order LPF.} \\\\ \text{HP coeffs: } c_2 = 2e^{-\alpha}\cos(\alpha), c_3 = -e^{-2\alpha}, c_1 = \frac{1+c_2-c_3}{4} \\\\ \text{LP coeffs: } c_2 = 2e^{-\alpha}\cos(\alpha), c_3 = -e^{-2\alpha}, c_1 = 1-c_2-c_3 \\\\ \text{where } \alpha = \frac{\sqrt{2}\pi}{Period}

Inputs

• Lower Cutoff (default: 10)
• Higher Cutoff (default: 20)
• Source (default: close)

See signal primitives and every published strategy that uses Bandpass Filter (BPF) on WOBR StrategyVerse.