Indicator Kalman Filter. It allows efficiently smoothing the noise, extracting the main trend from it.
This code is extracted from Average Filter Regression by laurenzo in PRC library and given signal according to the velocity. Go long if the velocity is above 0. Go short if the velocity is below 0.
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// K = 500 ({1...2000}) Series = TotalPrice ONCE Pred = Series IF BarIndex = 0 THEN KF = Series ELSE Smooth = Pred + (Series - Pred) * SQRT((K / 10000) * 2) Velo = Velo + ((K / 10000) * (Series - Pred)) Pred = Smooth + Velo KF = Pred ENDIF if velo > 0 then g = 255 r = 0 else g=0 r=255 endif RETURN KF coloured(r,g,0) as "Kalman Filter" style (DOTTEDLINE4,3), Velo as "Velocity" |
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