//+------------------------------------------------------------------+
//| Kalman filter.mq4 |
//| Copyright © 2006, iziogas@mail.com. |
//+------------------------------------------------------------------+
#property copyright "iziogas@mail.com"
//----
#property indicator_chart_window
#property indicator_buffers 2
#property indicator_color1 Turquoise
#property indicator_color2 Orange
//---- indicator parameters
//Mode description
// 0: Close
// 1: Open
// 2: High
// 3: Low
// 4: Median (H+L/2)
// 5: Typical (H+L+C/3)
// 6: Weighted (H+L+C+C/4)
extern int Mode=6;
extern double K=1;
extern double Sharpness=1;
extern int draw_begin=500;
//---- indicator buffers
double ExtMapBufferUp[];
double ExtMapBufferDown[];
//----
int ExtCountedBars=0;
//+------------------------------------------------------------------+
//| Custom indicator initialization function |
//+------------------------------------------------------------------+
int init()
{
//---- drawing settings
SetIndexStyle(0,DRAW_LINE);
SetIndexStyle(1,DRAW_LINE);
IndicatorDigits(MarketInfo(Symbol(),MODE_DIGITS));
SetIndexDrawBegin(0,draw_begin);
SetIndexDrawBegin(1,draw_begin);
//---- indicator buffers mapping
SetIndexBuffer(0,ExtMapBufferUp);
SetIndexBuffer(1,ExtMapBufferDown);
//---- initialization done
return(0);
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
double iValue(int mode, int shift)
{
switch(mode)
{
case 0:
return(iClose(NULL,0,shift));
case 1:
return(iOpen(NULL,0,shift));
case 2:
return(iHigh(NULL,0,shift));
case 3:
return(iLow(NULL,0,shift));
case 4:
return((iHigh(NULL,0,shift)+iLow(NULL,0,shift))/2);
case 5:
return((iHigh(NULL,0,shift)+iLow(NULL,0,shift)+iClose(NULL,0,shift))/3);
case 6:
return((iHigh(NULL,0,shift)+iLow(NULL,0,shift)+iClose(NULL,0,shift)+iClose(NULL,0,shift))/4);
default:
return(0);
}
}
//+------------------------------------------------------------------+
//| |
//+------------------------------------------------------------------+
int start()
{
if(Bars<=draw_begin) return(0);
//----
int i;
//----
double Velocity=0;
double Distance=0;
double Error=0;
double value=iValue(Mode,draw_begin+1);
//----
for(i=draw_begin;i>=0;i--)
{
Distance=iValue(Mode,i) - value;
Error=value + Distance * MathSqrt(Sharpness*K/100);
Velocity=Velocity + Distance*K/100;
value=Error+Velocity;
//color lines
if (Velocity>0)
{
ExtMapBufferUp[i]=value;
//ExtMapBufferUp[i] = S;
ExtMapBufferDown[i]=EMPTY_VALUE;
//----
if (ExtMapBufferUp[i+1]==EMPTY_VALUE) ExtMapBufferUp[i+1]=ExtMapBufferDown[i+1];
}
else
{
ExtMapBufferUp[i]=EMPTY_VALUE;
ExtMapBufferDown[i]=value;
//ExtMapBufferDown[i] = S;
if (ExtMapBufferDown[i+1]==EMPTY_VALUE) ExtMapBufferDown[i+1]=ExtMapBufferUp[i+1];
}
}
//---- done
return(0);
}
//+------------------------------------------------------------------+
Sample
Analysis
Market Information Used:
Series array that contains close prices for each bar
Series array that contains open prices of each bar
Series array that contains the highest prices of each bar
Series array that contains the lowest prices of each bar
Indicator Curves created:
Implements a curve of type DRAW_LINE
Indicators Used:
Custom Indicators Used:
Order Management characteristics:
Other Features: