Nonlinear Kalman Filter Bias - MetaTrader 5 Script | Forex Indicator Download - MT4/MT5 Resources
We have several ways to measure volatility. One is the standard deviation (and all its variations - since standard deviation uses a simple moving average - which uses various smoothing methods to calculate estimated volatility). Each has its good sides, but mainly the speed of response is crucial for volatility estimation.
The indicator uses the Ehlers nonlinear Kalman filter (originally published, with more explanation, see here: Nonlinear Kalman Filter ) for bias calculation. You can use one of 4 standard average types for pre-smoothing methods:
Like any deviation calculation indicator, it is not a directional indicator (you cannot tell a trend just by looking at the indicator). Therefore, this indicator is used for volatility assessment and you should use it in a very similar way to the Standard Deviation indicator.
Attachment download
📎 nonlinear_kalman_filter_deviation.mq5 (13.48 KB)
Source: MQL5 #22919
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