2-Pole High Pass Filter

Parameters: period = 48 (5–200)

Overview

The 2-Pole High Pass Filter, developed by John Ehlers, is an advanced version of the standard high pass filter that uses second-order filtering to achieve sharper frequency separation. With its -12 dB/octave roll-off rate (compared to -6 dB/octave for single-pole filters), it provides superior attenuation of low-frequency components while preserving short-term cycles with minimal distortion.

This filter is particularly effective when used in creating decycler indicators, where its output is subtracted from the input price data to reveal trends with virtually zero lag. The 2-pole design ensures cleaner separation between trend and cycle components, making it a fundamental building block for advanced technical indicators like the Ehlers Roofing Filter and Decycler Oscillator.

Interpretation & Trading Signals

Filter Characteristics:

  • Sharper Cutoff: -12 dB/octave roll-off provides cleaner frequency separation
  • Minimal Phase Shift: Preserves cycle timing for accurate turning point detection
  • Zero Lag Output: When used in decycler mode (input minus filter output)
  • Cycle Isolation: Passes cycles shorter than cutoff period, rejects longer ones

Trading Applications:

  • Decycler Creation: Subtract output from price to get lag-free trend
  • Cycle Analysis: Identify dominant market cycles by examining filter output
  • Oscillator Base: Foundation for creating zero-lag oscillators
  • Noise Reduction: Remove trend to focus on tradeable cycles

Parameter Guidelines:

  • Short Period (5-20): Aggressive filtering, only very short cycles pass
  • Medium Period (20-50): Balanced approach for swing trading cycles
  • Long Period (50-125): Gentle filtering, preserves more cycle components
  • Default (48): Optimal for most market conditions

Example Usage

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

Performance Analysis

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