Here is nonlinear kalman filter from Mladens MT5 version.
Updated with step function.....There are several method how calculate step....
Arrows, alerts and button....
The description by John Ehlers
- 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.
Settings to try
- Filter Order: First Order (EMA)
- Fast Filter Period: 14
- Pre-smoothing Period: 3
- MA Type: Linear Weighted MA
- Step calculate on: EMA Deviation
- Step size: 100.0
- Calculation period of Step: 51.0