Hello All,
I'm still alive and just reporting from the Bunker on my most recent ideas that may interest some of you....
Attached are a couple of charts showing a Kalman filter I have just managed to get working. I started this but could never get it functioning.
As my reader(s) will understand, I have an aerospace history and have designed several guided missile autopilots in my time with Kalman filters. But for some strange reason, I could never get them to work satisfactorily for the markets.
But I happenned to be reading the EURUSD thread at the Interactive forum and noticed a few articles by Hindustani (for instance https://www.cliqforex.com/general-fo...inary-gdp.html).
(What's Old Dog reading the Interactive threads you may ask -- he is a life-long swing and position trader on the Daily and Weekly charts! Well.... I have a confession to make. Now I am retired and have much too much time on my hands, I am in serious danger of getting sucked in to the scalping world all of the dashing young blades with this forum are so fond of. )
Hindustani's CCI indior looks remarkably like my Kalman and I suspect there is a lot more to his indior compared to just CCI. In reality, he states in one place (https://www.cliqforex.com/trading-sy...ics-trade.html) he is using an external Matlab set up to perform the calculations.
So this got me thinking, and I reckon I may have discovered the bug in my approach!
This is a scalpers fantasy -- the attached charts from today are rather common in all respects.
Probably the most important thing to realise about the Kalman filter is it is NOT A FILTER! It is an estimator for signs buried in lots of noise. Not a bad description of the market on time frames that are low!! (See my thread https://www.cliqforex.com/trading-sy...-dominate.html on this).
There's simply no question of repainting or any of the silly issues that plague lots of MT4 indiors along with the price-position estimates are rather statistically robust (p lt; 0.05). I am taking a very simple approach basing the current quote on the current price pivot, as well as the uncertainty (noise) on the range (hi - lo) of this pub. But simple seems to function just fine...
I made some very good pips today and am at risk of becoming a day-trading enthusiast when I do not exercise some strict self-discipline!
Like Hindustani, I can not post the indior since it's too complex. I have a somewhat convoluted system on my terminal which exports tick data from MT4 via the DDE server into Matlab. Matlab then does all the severe crunching that could be much too difficult in MQ4 language, then returns the results to MetaTrader.
I would hate for any serious programmer to view my code - I would be far too ashamed!
But some very fine developers on the Platform Tech forum have made very similar things available if anybody wants to have a move.
I am simply offering this out of interest.
Kind regards and Decent trading to all,
Old Dog
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