Author's dialogue. Alexander Smirnov. - page 19
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More details... Here is an example - the sum of the increments of the left blue part is equal to the sum of the increments of the right blue part. You can see that more time was spent in the left part than in the right one, and the length of "ropes" of the right and left parts is the same, i.e. money was spent equally. And what would have happened if we had built on the basis of Fourier decomposition harmonics in linear time or used muwings with a constant period. They would not coincide with pivot points.
The article is precisely about this idea. But there are some subtle points about the contraction-expansion ratio involving global price balance, where one fits into the other and the small is similar to the big, which can easily get confused with which movement the current section belongs to and where it will end.
Hello!
Very interesting to know the opinion of the pack.
Posted an article on page 14 https://forum.mql4.com/ru/10446/page14 on Optimal Tracking Filters by John Ehlers . I am under the impression that it looks similar to this one (don't judge strictly).
Although the material is as old as the world, it has not lost its relevance IMHO. The authors of the article state:
OTF uses bar highs and lows besides the close price in its calculations. The part of the indicator formula, responsible for the adaptation, uses bar highs and lows in the calculation, which allows estimating the additional noise factor, which neither Kaufman's AMA nor VIDYA use in their calculations.
This has the advantage of using a single smoothing parameter. Kaufman's AMA requires the trader to make a decision regarding the choice of values for three different parameters. VIDYA requires a trader to make a decision concerning the values of two different parameters. OTF, in its turn, requires a trader to choose a single parameter - an averaging period (or a smoothing factor). It not only makes it easier to use, but also allows to understand and handle its essence faster.
ANG3110 You mentioned the T3. Could you please elaborate on its advantages (what is the fun in it) and preferably in comparison with the others.
Thank you.
Thanks for the article and the indicator. But unfortunately, it's not quite the same thing there either. I should probably write an article with correct formulas and example of use. I wish MQL had matrix operations, it would be much easier to write an indicator. However much I searched the Net for information on application of Kalman filter for analysis of quotes, the information is scarce and what I have is distorted; small distortions are almost imperceptible but they negate the entire idea implemented in this mathematical device.
Let's say this article, the K coefficient (gain) - only the initial value should be set, and it can't be a constant, as in the process of filter operation K adapts (changes). Plus using ( H + L )/2 this is median and we need a variance and two of them, one model variance and one measurement variance.
But even in this form it's already good, it's a kind of interpretation of the variant called alpha filter. There's a bit here about it 'Adaptive Digital Filters'. But that's me talking again, it's kind of weird that there's so little talk about this particular matrix, they're probably hiding it.
P.S. I tried to attach it - it does not work. The size is 3.7 Mb. If you are interested I can send it to you by e-mail.
P.S. Tried pinning it up - it won't go through. Size 3.7 MB. If interested, I can send it to you by email.
I wish MQL had matrix operations, it would be easier to write an indicator.
I can implement all necessary matrix operations in the form of independent subroutines. Just tell me which operations you need.
The same thing, and even faster, can be done, for instance, by komposter and many others here. So, Sergey, don't look for excuses, let's get to work. :-)
By the way, if you write a good, clear article on Kalman filter (without distortions, pure Kalman), I think there will be willing to implement the algorithm described there in the form of an indicator or separately filter.
It's a pity MQL doesn't have matrix operations, it would be easier to write an indicator.
I can implement all necessary matrix operations in the form of independent subroutines. Just tell me exactly which operations you need.
The same and even faster can be done, for example, by komposter and many others here. So, Sergey, don't look for excuses, let's work. :-)
By the way, if you write a good, clear article on Kalman filter (without distortions, pure Kalman), I think there will be willing to implement the algorithm described there as an indicator or a separate filter.
here is the whole algorithm in matcad, arrows are equal signs. I've got the Mathcad combo and MT4, so I don't need it, but if someone is willing to do it, I will definitely help. The article would be good. I have been writing so many of them in my life, both good and bad. I do not want to write a bad one. I don't want to write a good one, a serious one + with examples. I sometimes do not have time to write down ideas that I would like to see and explore, and I forget about them. One of them (ideas) is an article.
I've started to use the forum as a tool to keep track of them :-). Maybe something will come in handy.
to Prival
On the trend and the fence will fly...
I intuitively think that Chelomey's work on vibrations would be productive in forex.
It's better than catastrophe theory, and much closer to the market than a balanced apparatus flying.
By the way, for those who are still trying to figure it out - http://www.library.dgtu.donetsk.ua/fem/vip80/80_02.pdf. There's even a code in BASIC.