Porting Kalman Filter

[Mauro60]

this is a tradestation function code,is some experienced of C# able to do its porting?

{Function = Kalman Filter}
{Use gain between 500 to 1000 for starters...}
Inputs: price(NumericSeries), gain(Numeric);
Vars: Pred(price), Smooth(0), Velo(0), DeltaK(0), stderr(0),
         error(0), sumerr(0) ; 
 
if currentbar > 1 then
begin
    

    DeltaK = price - Pred;
    Smooth = Pred + DeltaK* SquareRoot((gain / 10000) * 2) ;
    Velo= Velo + ((gain / 10000) * Deltak) ;
    Pred = Smooth + Velo ;

    KF=Pred;
end;

[KBJ]

Kalman Filter Conversion

I don't know Trade Station, so I'm not sure I got this right.

But I converted it....

  private int            gain        = 500;
        
  double pred;
  double velo = 0;

  protected override void Initialize()
  {
      Add(new Plot(Color.Orange, "Kalman"));

      Overlay                = true;
      PriceTypeSupported    = true;
  }

  protected override void OnBarUpdate()
  {
      if (CurrentBar == 0) pred = Close[0]; // Initialize on first bar.
            
      double DeltaK = Close[0] - pred;
      double smooth = pred + DeltaK * Math.Sqrt(( gain / 10000) * 2);
      velo = velo + ((gain / 10000) * DeltaK);
      pred = smooth + velo;
            
      Values[0].Set( pred );
  }

It seems to be touchy about the value of "gain", either plotting just a horizontal line if too small, or nothing at all if too big.

Let me know if this is what its supposed to do (see attachments).

Best regards,

KBJ

[Mauro60]

Thanks a lot of for the answer, I have made a small change to the variable GAIN,as soon I can I will compare to Tradestation's KF

[thebluescout]

Kalman Filter

This post was from a while ago. I wanted to see if anyone else had a Kalman Filter indicator that they are using. Any help would be appreciated.

Thanks.