//+------------------------------------------------------------------+ //| Kalman_Filter.mq5 | //| Copyright 2018, MetaQuotes Software Corp. | //| https://mql5.com | //+------------------------------------------------------------------+ #property copyright "Copyright 2018, MetaQuotes Software Corp." #property link "https://mql5.com" #property version "1.00" #property description "Kalman Filter indicator" #property indicator_chart_window #property indicator_buffers 3 #property indicator_plots 1 //--- plot KF #property indicator_label1 "Kalman Filter" #property indicator_type1 DRAW_LINE #property indicator_color1 clrPurple #property indicator_style1 STYLE_SOLID #property indicator_width1 1 //--- input parameters input double InpK = 1.0; // K input double InpSharpness = 1.0; // Sharpness input ENUM_APPLIED_PRICE InpAppliedPrice = PRICE_CLOSE; // Applied price //--- indicator buffers double BufferKF[]; double BufferMA[]; double BufferVelocity[]; //--- global variables double k; double s; double shK; int handle_ma; //+------------------------------------------------------------------+ //| Custom indicator initialization function | //+------------------------------------------------------------------+ int OnInit() { //--- set global variables k=(InpK<0.01 ? 0.01 : InpK); s=(InpSharpness<0 ? 0 : InpSharpness); shK=sqrt(s*k/100.0); //--- indicator buffers mapping SetIndexBuffer(0,BufferKF,INDICATOR_DATA); SetIndexBuffer(1,BufferMA,INDICATOR_CALCULATIONS); SetIndexBuffer(2,BufferVelocity,INDICATOR_CALCULATIONS); //--- setting indicator parameters IndicatorSetString(INDICATOR_SHORTNAME,"Kalman Filter ("+DoubleToString(k,2)+","+DoubleToString(s,2)+")"); IndicatorSetInteger(INDICATOR_DIGITS,Digits()); //--- setting buffer arrays as timeseries ArraySetAsSeries(BufferKF,true); ArraySetAsSeries(BufferMA,true); ArraySetAsSeries(BufferVelocity,true); //--- create MA's handles ResetLastError(); handle_ma=iMA(NULL,PERIOD_CURRENT,1,0,MODE_SMA,InpAppliedPrice); if(handle_ma==INVALID_HANDLE) { Print("The iMA(1) object was not created: Error ",GetLastError()); return INIT_FAILED; } //--- return(INIT_SUCCEEDED); } //+------------------------------------------------------------------+ //| Custom indicator iteration function | //+------------------------------------------------------------------+ int OnCalculate(const int rates_total, const int prev_calculated, const datetime &time[], const double &open[], const double &high[], const double &low[], const double &close[], const long &tick_volume[], const long &volume[], const int &spread[]) { //--- Проверка и расчёт количества просчитываемых баров if(rates_total<4) return 0; //--- Проверка и расчёт количества просчитываемых баров int limit=rates_total-prev_calculated; if(limit>1) { limit=rates_total-2; ArrayInitialize(BufferKF,EMPTY_VALUE); ArrayInitialize(BufferMA,0); ArrayInitialize(BufferVelocity,0); } //--- Подготовка данных int count=(limit>1 ? rates_total : 1),copied=0; copied=CopyBuffer(handle_ma,0,0,count,BufferMA); if(copied!=count) return 0; //--- Расчёт индикатора for(int i=limit; i>=0 && !IsStopped(); i--) { if(i==rates_total-2) { BufferVelocity[i]=0; BufferKF[i]=BufferMA[i]; } else { double distance=BufferMA[i]-BufferKF[i+1]; double error=BufferKF[i+1]+distance*shK; BufferVelocity[i]=BufferVelocity[i+1]+distance*k/100.0; BufferKF[i]=error+BufferVelocity[i]; } } //--- return value of prev_calculated for next call return(rates_total); } //+------------------------------------------------------------------+