Kalman_filter

//+------------------------------------------------------------------+
//|                                                Kalman filter.mq4 |
//|                              Copyright © 2006, iziogas@mail.com. |
//+------------------------------------------------------------------+
#property copyright "iziogas@mail.com"
//----
#property indicator_chart_window
#property indicator_buffers 2
#property indicator_color1 Turquoise
#property indicator_color2 Orange
//---- indicator parameters
//Mode description
// 0: Close
// 1: Open
// 2: High
// 3: Low
// 4: Median   (H+L/2)
// 5: Typical  (H+L+C/3)
// 6: Weighted (H+L+C+C/4)
extern int Mode=6;
extern double K=1;
extern double Sharpness=1;
extern int    draw_begin=500;
//---- indicator buffers
double ExtMapBufferUp[];
double ExtMapBufferDown[];
//----
int ExtCountedBars=0;
//+------------------------------------------------------------------+
//| Custom indicator initialization function                         |
//+------------------------------------------------------------------+
int init()
  {
//---- drawing settings
   SetIndexStyle(0,DRAW_LINE);
   SetIndexStyle(1,DRAW_LINE);
   IndicatorDigits((int)MarketInfo(Symbol(),MODE_DIGITS));
   SetIndexDrawBegin(0,draw_begin);
   SetIndexDrawBegin(1,draw_begin);
//---- indicator buffers mapping
   SetIndexBuffer(0,ExtMapBufferUp);
   SetIndexBuffer(1,ExtMapBufferDown);
//---- initialization done
   return(0);
  }
//+------------------------------------------------------------------+
//|                                                                  |
//+------------------------------------------------------------------+
double iValue(int mode,int shift)
  {
   switch(mode)
     {
      case 0:
         return(iClose(NULL,0,shift));
      case 1:
         return(iOpen(NULL,0,shift));
      case 2:
         return(iHigh(NULL,0,shift));
      case 3:
         return(iLow(NULL,0,shift));
      case 4:
         return((iHigh(NULL,0,shift)+iLow(NULL,0,shift))/2);
      case 5:
         return((iHigh(NULL,0,shift)+iLow(NULL,0,shift)+iClose(NULL,0,shift))/3);
      case 6:
         return((iHigh(NULL,0,shift)+iLow(NULL,0,shift)+iClose(NULL,0,shift)+iClose(NULL,0,shift))/4);
      default:
         return(0);
     }
  }
//+------------------------------------------------------------------+
//|                                                                  |
//+------------------------------------------------------------------+
int start()
  {
   if(Bars<=draw_begin) return(0);
//----
   int i;
//----
   double Velocity=0;
   double Distance=0;
   double Error=0;
   double value=iValue(Mode,draw_begin+1);
//----
   for(i=draw_begin;i>=0;i--)
     {
      Distance=iValue(Mode,i)-value;
      Error=value+Distance*MathSqrt(Sharpness*K/100);
      Velocity=Velocity+Distance*K/100;
      value=Error+Velocity;
      //color lines
      if(Velocity>0)
        {
         ExtMapBufferUp[i]=value;
         //ExtMapBufferUp[i] = S; 
         ExtMapBufferDown[i]=EMPTY_VALUE;
         //----
         if(ExtMapBufferUp[i+1]==EMPTY_VALUE) ExtMapBufferUp[i+1]=ExtMapBufferDown[i+1];
        }
      else
        {
         ExtMapBufferUp[i]=EMPTY_VALUE;
         ExtMapBufferDown[i]=value;
         //ExtMapBufferDown[i] = S;
         if(ExtMapBufferDown[i+1]==EMPTY_VALUE) ExtMapBufferDown[i+1]=ExtMapBufferUp[i+1];
        }
     }
//---- done
   return(0);
  }
//+------------------------------------------------------------------+