{Function = Kalman Filter} {Use gain between 500 to 1000 for starters...} Inputs: price(NumericSeries), gain(Numeric); Vars: Pred(price), Smooth(0), Velo(0), DeltaK(0), stderr(0), error(0), sumerr(0) ; if currentbar > 1 then begin DeltaK = price - Pred; Smooth = Pred + DeltaK* SquareRoot((gain / 10000) * 2) ; Velo= Velo + ((gain / 10000) * Deltak) ; Pred = Smooth + Velo ; KF=Pred; end;
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Porting Kalman Filter
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Porting Kalman Filter
this is a tradestation function code,is some experienced of C# able to do its porting?
Code:Last edited by Mauro60; 09-17-2007, 06:43 AM.Tags: None
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Kalman Filter Conversion
I don't know Trade Station, so I'm not sure I got this right.
But I converted it....
Code:private int gain = 500; double pred; double velo = 0; protected override void Initialize() { Add(new Plot(Color.Orange, "Kalman")); Overlay = true; PriceTypeSupported = true; } protected override void OnBarUpdate() { if (CurrentBar == 0) pred = Close[0]; // Initialize on first bar. double DeltaK = Close[0] - pred; double smooth = pred + DeltaK * Math.Sqrt(( gain / 10000) * 2); velo = velo + ((gain / 10000) * DeltaK); pred = smooth + velo; Values[0].Set( pred ); }
Let me know if this is what its supposed to do (see attachments).
Best regards,
KBJ
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Kalman Filter
This post was from a while ago. I wanted to see if anyone else had a Kalman Filter indicator that they are using. Any help would be appreciated.
Thanks.
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