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I think R has built in extensive time series analysis functions, and also Kalman filter.
There is a plugin you use, or the com server and create a static object.
Regards
Ly
--- In amibroker@xxxxxxxxxxxxxxx, Rick Osborn <ricko@xxx> wrote:
>
>
> out of curiosity, how close is this which I cobbled together based on my (limited) understanding of the dense math?
>
> Gain = Param("Gain",500,5,2000,5);
> BP = C;
> Pred = 0;
> Velo = 0;
> function Kalman ( BP, gain )
> {
> for ( i = 1; i < BarCount; i++ )
> {
> Dk[i] = BP[i] - Pred[i-1]; // Delta k
> Smooth[i] = Pred[i-1] + DK[i] * sqrt( ( Gain / 10000 ) * 2 );
> Velo[i] = Velo[i-1] + ( ( Gain / 10000 ) * Dk[i] );
> Pred[i] = Smooth[i] + Velo[i];
> kf[i] = Pred[i];
> }
>
> return kf ;
>
> }
>
>
>
>
>
> ________________________________
> From: reefbreak_sd <reefbreak_sd@xxx>
> To: amibroker@xxxxxxxxxxxxxxx
> Sent: Monday, September 7, 2009 10:50:00 AM
> Subject: [amibroker] Re: Vectorvest
>
>
> The .afl formulas for T3 that I can find are not Kalman style filters. The one I created uses the AMA2 function built into AB.
>
> There are many references to Kalman on the internet. For stock trading I chose one dimension and linear combination of functions. A good place to start is the Wikipedia article. Yes the math is a little dense, but some of the articles have enough verbal description that you can sort it out - at least that is how I did it.
>
> ReefBreak
>
> --- In amibroker@xxxxxxxxx ps.com, Rick Osborn <ricko@> wrote:
> >
> > would you consider the Tilson T3 function to be a Kalman Filter?
> >
> >
> >
> >
> >
> >
> >
> > ____________ _________ _________ __
> > From: reefbreak_sd <reefbreak_sd@ ...>
> > To: amibroker@xxxxxxxxx ps.com
> > Sent: Friday, September 4, 2009 10:39:13 AM
> > Subject: [amibroker] Re: Vectorvest
> >
> >
> > Since I made the indicators, I can run them on what ever index I want - rather than on just the VVC. So I run them on the components of several ETFs that I trade.
> >
> > For market timing, I have a statistical indicator that uses a Kalman Filter, and one that calculates temperature based on the Boltzman distribution from statistical thermodynamics. In this indicator, the temp goes negative during market declines - unlike what happens in nature.
> >
> > So the total is about 6 in all.
> >
> > I'm a trend follower. None of these predicts anything, just accurately reflects the markets current condition.
> >
> > ReefBreak
> >
> > --- In amibroker@xxxxxxxxx ps.com, "donald_brown_ 48367" <donald_brown_ 48367@ > wrote:
> > >
> > > I got pretty close with most signals using simple moving average trending. I also stopped my subscription. What other indictars do you use?
> > >
> > > --- In amibroker@xxxxxxxxx ps.com, "reefbreak_sd" <reefbreak_sd@ > wrote:
> > > >
> > > > Yes, I have written several indicators in .afl that simulate MTI, BSR, Confirmed buy/sell indicators in VV. They work well enough that I have dropped my subscription to VV. They are proprietary, not for sale or publication.
> > > >
> > > > ReefBreak
> > > >
> > > > --- In amibroker@xxxxxxxxx ps.com, "donald_brown_ 48367" <donald_brown_ 48367@> wrote:
> > > > >
> > > > > I'm curious if anyone has written code to simulate the Vectorvest overall market timing buy and sell signals?
> > > > >
> > > >
> > >
> >
>
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