A One Dimensional Kalman Filter, the particularity of Kalman Filtering is the constant recalculation of the Error between the measurements and the estimate.This version is modified to allow more/less filtering using an alternative calculation of the error measurement.
Camparison of the Kalman filter Red with a moving average Black of both period 50
Can be used as source for others indicators such as stochastic/rsi/moving averages...etc
For any questions/suggestions feel free to contact me
Can you provide v4 version for this script please?
depeng
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Is ERRmea as variance of past price of ‘length’ ? The gain K is based on two variance, not just simple difference. Or is this too simple? Can you provide reference? Thx
alexgrover
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@depeng, ERRmea is the absolute error between the measurement and and the past estimate, although the form is similar to the kalman filter i think i misunderstood the whole concept of it, i apologize for that. I will try to post a legit kalman filter in the future. I hope i can be forgiven.
Firedrops
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@alexgrover, did you ever attempt this "true" one-dimensional kalman filter again?