Kalman Filter For Swing Trading

24 February 2017, 07:53
Ahmad Hassam
0
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It is surprising that the MQL5 community is not using Kalman Filter.

Kalman Filter is a simple recursive predictor estimator that is very quick as it depends on the last observation only.

Kalman Filter is much better than a moving average when it comes to following price.

Kalman Filter is basically a type of Bayesian Filter that can be programmed to follow price as closely as possible.

Everything depends on your Bayesian Modelling.

You can read this post in which I explain a Simple Kalman Filter for Swing Trading.

I have done the coding in Python. We can also use R language.

I have used the model given by Bishop in his book.
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