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 [email protected], Rick Osborn <ri...@...> 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...@...> > To: [email protected] > 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 amibro...@yahoogrou ps.com, Rick Osborn <ricko@> wrote: > > > > would you consider the Tilson T3 function to be a Kalman Filter? > > > > > > > > > > > > > > > > ____________ _________ _________ __ > > From: reefbreak_sd <reefbreak_sd@ ...> > > To: amibro...@yahoogrou 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 amibro...@yahoogrou 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 amibro...@yahoogrou 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 amibro...@yahoogrou 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? > > > > > > > > > > > > > > >
