Alpha Beta Filter (Kalman Filter Variant)
Hello everyone! I made a simple conversion of indicator Alpha-Beta Filter for MT4. It's comparable to the
Kalman filter and I've already included slope and MTF coloring with the open-source code so our coders can review and improve it if they want.
How does the Alpha Beta Filter compare with the Kalman Filter & EMA?
The Alpha-Beta Filter is essentially an EMA enhanced with a velocity prediction component. Alpha controls the traditional EMA smoothing strength, while Beta controls how aggressively the filter estimates and projects trend momentum.
To break it down:
- An EMA is "Where is price now?"
- Alpha-Beta Filter is "Where is price now, and where will it probably be next?"
- Kalman Filter is "How much should I trust the new price bars on the chart?"
Comparing the Alpha Beta Filter, we can be see it as a "Turbocharged" EMA that predicts price's future movement using velocity, but it can also overshoot.
What do the Beta and Alpha options do?
If you were to adjust the Alpha setting, by keeping it at
0.0, there is no filtration on price.
If you set it to
1.0, it would follow price and have almost no smoothing at all.
For Beta, if you set it to
0.0, this indicator becomes an EMA.
If you set it to
0.2 (default), it would be slightly faster than an EMA, have less overshoot and be very stable.
To summarize, as mentioned above, Alpha controls the traditional EMA smoothing "strength". Setting Beta to zero makes the indicator mathematically equivalent to a standard EMA. Increasing Beta reduces lag and allows the filter to track trends closely, but excessive Beta values introduce overshoot and instability during reversals.
So the best setting is it's default which gives us a good mix of reduced lag, good acceleration and only small overshoot.
2026 June Technical Analysis of Stocks & Commodities article
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