Kalman filter - page 2

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If anyone is looking for the links, you can find all the necessary files at:


http://gammarat.com/Forex/BlackBoxes/Kalman/GRFKalmanAGASJW.mq4 (put in the includes folder)

http://www.gammarat.com/Forex/BlackBoxes/Kalman/GRFMatrixMath.mq4 (put in the libraries folder)

http://www.gammarat.com/Forex/BlackBoxes/Kalman/GRFMatrixMath.mqh (put in the include folder)

https://www.mql4.com/go?http://gammarat.com/Forex/BlackBoxes/Kalman/grfkalmanagasjw_hourly.tpl (the template for the hourly timeframe)

 

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All about MQL5 Wizard : create robots without programming.

Sergey Golubev, 2026.06.24 10:50

MQL5 Wizard Techniques you should know (Part 98): Using an Unscented Kalman Filter and a Capsule Network in a Custom Signal Class

MQL5 Wizard Techniques you should know (Part 98): Using an Unscented Kalman Filter and a Capsule Network in a Custom Signal Class

For this article, we rotate from regime classification (determinism) and return to real-time state estimation where we are introducing a custom signal class that is run by the algorithm Unscented Kalman Filter (UKF) and is paired with a Capsule Neural Network. This expands the toolkit library of what is on offer in prototyping and developing trading systems within MetaTrader and as always, is not intended as a silver bullet. This model is meant to bring to the fold trade set ups that work by stripping away market-noise without adding the lagging problems of many indicators such as the moving average.

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