The Kalman filter is an algorithm that uses a series of measurements observed over time, containing statistical noise and other inaccuracies. It was originally devised to work with noisy and incomplete data. Mainly designed for and applied in dynamic systems... such as price data on charts.
Details: https://en.wikipedia.org/wiki/Kalman_filter
The screenshot contains two identical price charts (Range Bar 10). It shows the Kalman Filter with different gain settings:
Gain = 20 Pink
Gain = 200 Yellow
Gain = 500 Cyan
Gain = 1000 Red
Enjoy,
TraderGB
Category NinjaTrader 8 Indicators and More
|
|
|
View Download Details
