Roofing Filter
Combines a 2-pole HighPass filter and a SuperSmoother to isolate specific cyclic components.
Usage
Apply before oscillators to remove both low-frequency trend drift and high-frequency noise, leaving only the tradable cycle band (roughly 10-48 bars).
Background
Introduced in Cycle Analytics for Traders (2013), the Roofing Filter first applies a high-pass filter to remove the dominant trend component, then a SuperSmoother to remove short-term noise. The result is a cycle-only signal with controlled bandwidth, ideal for use as input to oscillators and cycle indicators.
Parameters
hp_period(default: 48): HighPass critical periodss_period(default: 10): SuperSmoother critical period
Formula
[ \alpha_1 = \frac{\cos(\sqrt{2}\pi/P_{hp}) + \sin(\sqrt{2}\pi/P_{hp}) - 1}{\cos(\sqrt{2}\pi/P_{hp})} ] [ HP = (1 - \alpha_1/2)^2 (Price - 2 Price_{t-1} + Price_{t-2}) + 2(1 - \alpha_1) HP_{t-1} - (1 - \alpha_1)^2 HP_{t-2} ] [ Filt = c_1 \frac{HP + HP_{t-1}}{2} + c_2 Filt_{t-1} + c_3 Filt_{t-2} ]