Hello Traders.
i've noticed that the Kalman Filter supposed to be used in a Linear system. but we're in the nonlinear world.
there's a extended kalman filter for nonlinear system. but seems no one have implemented it to an indicator yet.
anyone interest of making it?
below is Linear Kalman Filter code for tradestation.
i've noticed that the Kalman Filter supposed to be used in a Linear system. but we're in the nonlinear world.
there's a extended kalman filter for nonlinear system. but seems no one have implemented it to an indicator yet.
anyone interest of making it?
below is Linear Kalman Filter code for tradestation.
Inserted Code
Type : Function, Name : Kalman Filter
{Function name= KF}
INPUT:
K1(Numeric),
BP(NumericSeries);
VARS:
Pred(BP),
Smooth(0),
Velo(0),
DeltaK(0),
stderr(0),
error(0),
sumerr(0) ; IF currentbar > 1 then BEGIN
DeltaK = BP -Pred;
Smooth = Pred + DeltaK* SquareRoot( (K1/10000)*2 ) ;
Velo= Velo + ((K1/10000)*Deltak) ;
Pred = Smooth + Velo ;
KF=Pred;
END;