This is the Gammarat version of Kalman bands which Mladen did some work on, I added the coloring of the Kalman.

mrtools wrote:Mon Jun 05, 2017 9:29 am This is a (username)Gammarat version of Kalman bands which Mladen did some work on, I added the coloring of the Kalman.

Hi Mladen/MrTools,

Thank You for posting this indicator.

I can kinda remember hearing about it years ago.

May I ask a question please.

My understanding of the Kalman filter, is that it adapts itself to noise rather than a fixed moving average,therefore making it less lagging than an MA.

The noise is controlled by the suppress setting?

Mainly used as a trend indicator.
Am I correct?

Kindest Regards
AussieBeau

Thanks, unfortunately the Gammarat version doesn't produce same results as FPS kalman (I wasn't able to reproduce them). Kalman fps looks like a much simpler code and lags only if the bands period is high (100+).

mades wrote:Mon Jun 05, 2017 5:22 pm Thanks, unfortunately the Gammarat version doesn't produce same results as FPS kalman.

mades
That are 2 different calculation criteria i guess so don't expect same result,i am fighting with comparison too

mades wrote:Mon Jun 05, 2017 5:22 pm Thanks, unfortunately the Gammarat version doesn't produce same results as FPS kalman (I wasn't able to reproduce them). Kalman fps looks like a much simpler code and lags only if the bands period is high (100+).

Gammarats version is the "real" Kalman filter. FPS is an approximation (of something)
Also, I would like to remind - Kalman filter is not an average :

Kalman filtering, also known as linear quadratic estimation (LQE), is an algorithm that uses a series of measurements observed over time, containing statistical noise and other inaccuracies, and produces estimates of unknown variables that tend to be more accurate than those based on a single measurement alone, by using Bayesian inference and estimating a joint probability distribution over the variables for each timeframe. The filter is named after Rudolf E. Kálmán, one of the primary developers of its theory.

There is no lag in Kalman filter - since it is estimating (predicting). What you see is how good the prediction/estimation was
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PS: more information on Kalman filter you can find here : Kalman filter ...

Unfortunately the fps version is bugged and lags the metatrader heavily. Yeah well, screw it then although I really liked the way it did the bands.

mades wrote:Mon Jun 05, 2017 5:22 pm Thanks, unfortunately the Gammarat version doesn't produce same results as FPS kalman (I wasn't able to reproduce them). Kalman fps looks like a much simpler code and lags only if the bands period is high (100+).

Hi Mades and mntiwana,

May I share with you, how I successfully use the Kalman.

The Kalman is used to measure the strength of a direction..its not just a crossover!

I leave the settings at 21 which is the default on this indicator.

The only adjustments needed are the suppress it controls the outside lines and make sure the gain is set to true.

On each currency pair the suppress may need adjustment....I have not found it needs more than a setting of 3.

Most USD pairs will be 1 or 2 and the JPY usually 2 but sometimes 3

The bands are want for a better word acceleration bands.

The initial crossing of the Kalman is usualy the most powerful so it would be to furtherest outside line.

Then after the initial push ,you will notice that the price will settle into one of the channels..that is when I enter.

As the trend weakens you will see the price start to slowly edge back to the Kalman....that is when I exit

The suppress setting with auto gain on is what sets the outside lines..I adjust them as I mentioned to average strength of the Pair...important to look at the chart and line up the outside lines with previous major pushes of a change of trend direction.

Please just put this on a H1 chart and watch and you will see what I mean

Kindest Regards
AussieBeau

mades wrote:Mon Jun 05, 2017 6:17 pm Unfortunately the fps version is bugged and lags the metatrader heavily. Yeah well, screw it then although I really liked the way it did the bands.

Use the gammarats version - that is one of the milestones of mq indicators

mladen wrote:Tue Jun 06, 2017 7:35 pm

Use the gammarats version - that is one of the milestones of mq indicators

I do, although the results are a bit different. But it's bug free

simple trend
MLADEN : This is as simple as it gets - there is just one line of code that does the calculation - but with an addition of a slope - coloring/trending it seems to be producing usable results - happy testing
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