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Indicators

Nonlinear Kalman filter - floating levels - indicator for MetaTrader 5

Mladen Rakic
Views:
6591
Rating:
(9)
Published:
2019.01.07 12:01
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Theory :

John Ehlers describes what he calls the nonlinear Kalman filter in the following way :

  • Take EMA of price (better, a 3 Pole filter).
  • Take the difference (delta) between Price and its EMA.
  • Take an EMA of delta (or a 3 Pole filter):
    • Smoothing will help reduce whipsaws.
    • Ideally, smoothing introduces no major trend mode lag because delta is detrended.
  • Add the smoothed delta to EMA for a zero lag curve.
  • Add 2*(smoothed delta) to EMA for a smoother predictive line.

In order to add signals other than simple slope direction change, in this version you can chose 3 types of color changes :

  • color change on slope
  • color change on outer (floating) levels cross
  • color change on middle (floating) level (sort of a "zero line") cross

Usage :

You can use the color changes as signals



Singleton Example Singleton Example

This is a working singleton code example. The sole purpose of this post is to provide a working code sample of a singleton object. A singleton object is created when there 'can be only one' of the object. This is accomplished by making an object's constructor private, and ensuring assignment and copy operations are also private. I was working on an EA and identified that an object should never have more than one copy. I don't expect the EA to ever get large enough for it to actually matter that a singleton is used, but I like the clarity in the code for the object's type. The code follows closely the tutorial at http://www.yolinux.com/TUTORIALS/C++Singleton.html.

Averages crosses Averages crosses

Averages crosses

Zero mean normalized nonlinear Kalman filter Zero mean normalized nonlinear Kalman filter

Zero mean normalized nonlinear Kalman filter

Zero mean normalized nonlinear Kalman filter - with floating levels Zero mean normalized nonlinear Kalman filter - with floating levels

Zero mean normalized nonlinear Kalman filter - with floating levels