Kalman_Filter - MetaTrader 5 Script | Forex Indicator Download - MT4/MT5 Resources

Index Kalman filter. It can effectively smooth noise and extract main trends from it.

There are various types of recursive filters available in the Kalman filter. In order to evaluate the system state at the current operating beat, a state evaluation is required at the previous operating beat (as a system state evaluation and an error evaluation that defines this state) and a measurement at the current clock. This property distinguishes it from packet filters that require knowledge of the history of measurements and/or evaluations within the current operation.

More about Kalman filters.

The indicator has three input parameters:

 Kalman[i] = error + speed[i]

Where:

 Error = Kalman[i-1] + distance * ShK
Speed[i] = Speed[i-1] + Distance * K / 100
Distance = Price[i] - Kalman[i-1]
ShK = sqrt (sharpness * K / 100)