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Kalman Filter for Amibroker (AFL)
Rating:
4 / 5 (Votes 4)
Tags:
amibroker
Translated & modified simple Kalman Filter code written in C freely available on internet to amibroker afl. Experts can contribute to the coding by projecting the Kalman filter value one bar ahead into future. Tested on Amibroker 5.6
Screenshots
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Indicator / Formula
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_SECTION_BEGIN("Kalman Filter");
x_temp_est = 0;
x_est_last = 0;
P_temp = 0;
P_last = 0;
Q = 0.022;
R = 0.617;
P = (H +L)/ 2;
z_real = EMA(EMA(P,3),3) ;
x_est_last = z_real + TSF(P,3);
for (i=0;i<BarCount;i++)
{
x_temp_est = x_est_last;
P_temp = P_last + Q;
K = P_temp * (1.0/(P_temp + R));
z_measured = z_real;
x_est = x_temp_est + K * (z_measured - x_temp_est);
P = (1- K) * P_temp;
P_last = P;
x_est_last = x_est;
}
Plot(x_est, "Kalman Filter", colorGreen, styleLine|styleThick);
_SECTION_END();4 comments
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Sorry, couldn’t Upload the screenshot !
nice attempt.
good logic.
This is nothing else.. EMA 3
It works well even without EMA 3..I used it to have a smoother line