Disliked{quote} Kalman filter with some extras (like automatic gain calculation, asymmetric bands, ...) - mt5 version (showing mt5 version since it is newer than the mt4 version) {image} Why wouldn't it be possible in mql (4 or 5 does not matter)?Ignored
Nicholishen and Mladen;
Kalman and Bayesian Filter theory is very rich.I am particularly interested in unscented kalman filter types which is proposed for noisy time series.
Is Optimised form of square-root Unscented Kalman filter possible in mql4-5?
https://github.com/sfwa/ukf
http://au.tono.my/log/20130531-kalman-filter.html
Mladen can you give a link for Kalman filter with extras in mt5 ?