This paper contains the description of the generalized Sequential Probability Ratio Test (gSPRT) method used for automatic ELM detection in different diagnostic signals collected on the COMPASS tokamak. After determination of H-mode region based on Dα signal in a given shot, ELMs are automatically detected in different diagnostic time traces (e.g. magnetic signals and also in Dα signals). The onset time, the maximum location and the peak value, and the duration of each detected ELM is determined. Analyzed diagnostic signals came from different radial positions of the studied plasma volume, thus from arrival times of given ELM into different detectors, the average radial propagation velocity of the ELM event can be also estimated. Comparison of results from gSPRT method with two different, commonly used automatic ELM detection method (threshold technique and correlation based technique) is also reported.