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#471535 - 03/07/18 23:13 Delta in Bandpass filter
kujo Offline

Registered: 12/03/17
Posts: 108
Loc: Halifax, NS

I have a question about the Delta in the Bandpass filter. What does it mean?
Manual says:
The Delta value (0..1) gives the width of the filter curve.

The Black Book says:
This bandpass filter has a center period of 30 bars and a width of 0.5 (the width determines the frequency range that can pass the filter).

But it's quite general definition and still it’s not clear…
I found John Ehlers' paper with a bandpass filter description:

He writes the following about the bandpass filter with period 20 and delta=0.1:
The input variable delta is the approximate half-bandwidth of the filter. For the default settings with delta = 0.1, the filter will pass periods centered at 20 bars +/- 2 bars. In other words, the filter passes cycle components ranging between 18 and 22 bar periods while attenuating frequencies above and below this range.

Does Delta that is used in Zorro's BandPass have the same meaning? Is it a half-bandwidth of the filter? I think it will be useful to add this clarification to the manual if it's correct.

P.s. Ehlers' bandpass filter code in EasyLanguage can be found in the above-mentioned paper.

#471669 - 03/13/18 18:19 Re: Delta in Bandpass filter [Re: kujo]
jcl Offline

Chief Engineer

Registered: 07/22/00
Posts: 26261
Loc: Frankfurt
It has not the same meaning. We'll get some info about it and will then put it in the manual.

#471702 - 03/15/18 20:06 Re: Delta in Bandpass filter [Re: jcl]
kujo Offline

Registered: 12/03/17
Posts: 108
Loc: Halifax, NS

The Delta value (0.05 .. 1) determines the filter width; at Delta = 0.1, cycles outside a 30% range centered at TimePeriod are attenuated with > 3 db.

This is definitely better then nothing. However, it's still not clear how delta affects the results. What will be the % range and attenuation strength with Delta=0.3 or 0.5 and so on. It's difficult and risky to use the filter if you don't understand it. Right?

Please, consider 2 ideas:

  • Add comprehensive description of Delta.
  • Code an original Ehlers' bandpass filter. The link to a pseudo code can be found in my first post. I believe it would be useful not only for me.

JCL, what do you think?


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