<abstract><p>Traders and investors find predicting stock market values an intriguing subject to study in stock exchange markets. Accurate projections lead to high financial revenues and protect investors from market risks. This research proposes a unique filtering-combination approach to increase forecast accuracy. The first step is to filter the original series of stock market prices into two new series, consisting of a nonlinear trend series in the long run and a stochastic component of a series, using the Hodrick-Prescott filter. Next, all possible filtered combination models are considered to get the forecasts of each filtered series with linear and nonlinear time series forecasting models. Then, the forecast results of each filtered series are combined to extract the final forecasts. The proposed filtering-combination technique is applied to Pakistan's daily stock market price index data from January 2, 2013 to February 17, 2023. To assess the proposed forecasting methodology's performance in terms of model consistency, efficiency and accuracy, we analyze models in different data set ratios and calculate four mean errors, correlation coefficients and directional mean accuracy. Last, the authors recommend testing the proposed filtering-combination approach for additional complicated financial time series data in the future to achieve highly accurate, efficient and consistent forecasts.</p></abstract>