Band Pass Filter

Parameters: period = 20 (10–100) • bandwidth = 0.3 (0.1–1)

Overview

The Band Pass Filter is a nearly-zero lag digital signal processing indicator designed by John Ehlers to filter out noise from both high and low frequencies of market data. It allows signals within a specific frequency range while attenuating components outside this band, providing traders with a focused perspective on cyclical price movements.

As part of Ehlers' framework for identifying and utilizing dominant cycles in time series data, the Band Pass Filter helps traders adapt their strategies to changing market conditions. By isolating specific parts of the frequency spectrum, it enables different trading styles - from position trading with longer wavelengths (upper bound 125 bars) to swing trading with shorter cycles (18-40 bars).

Interpretation & Trading Signals

Ehlers' Trading Rules:

  • Exit Long: When filter crosses below its RMS or crosses below -RMS (false entry signal)
  • Cover Short: When filter crosses above its -RMS or crosses above RMS
  • Default Period: Originally 20 bars, though some prefer 50 for smoother signals
  • Zero Lag Feature: Eliminates contamination by prior signals and noise

Cycle-Based Applications:

  • Position Trading: Upper bound 125+ bars for longer wavelengths
  • Swing Trading: Upper bound 40 bars, lower bound 18 bars
  • Frequency Domain: Think in frequency as well as time domain
  • Adaptive Systems: Respond to changing market conditions

2025 Developments:

  • Recent Articles: Ehlers published DSP updates in Feb-June 2025 TASC
  • New Filters: Laguerre Filters (July 2025), Linear Predictive Filters (Jan 2025)
  • Ultimate Oscillator: Reduced lag version released April 2025
  • Efficiency Focus: Select most efficient filter lengths for objectives

Example Usage

Code examples will be available once the Rust implementation is complete.

Performance Analysis

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Hilbert Transform - Dominant Cycle Period

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