I think the bags at the grocery store are made from LDPE (Low Density PolyEthylene). Upon looking for anything about HDPE filament for 3D printing, what's mostly there are articles saying how great it would be if we could recycle milk jugs or whatever and make 3D filament. But hardly anyone seems to offer HDPE filament, although there are people who have tried to make it. Here's someone's thesis about how it might work:
https://www.theseus.fi/bitstream/han...pdf?sequence=1 He seems to have gotten it to work to some degree, but with difficulty.
This source talks about how it can work, but enumerates the problems:
http://www.hotcopier.com/hdpe
Apparently, people have had better luck printing with PET (PolyEthylene Terephthalate), another polyethylene variant which is also used to make plastic bottles. It has the #1 code, whereas HDPE has the #2 code and LDPE is #4. Here's the chart:
http://plastics.americanchemistry.co...esin-Codes-PDF
If you're determined to try this, it seems that collecting, shredding, washing, drying, extruding and using PET would be more effective than with HDPE.
Andrew Werby
Juxtamorph.com