| blob | 51edb612e0abae1edf6ee682e76e35d7c4e2cde2 |
1 //+------------------------------------------------------------------+\r
2 //| jkalman.mq4 |\r
3 //| Copyright 2011, Zarko Asenov |\r
4 //| http://jaltoh.6x.to |\r
5 //+------------------------------------------------------------------+\r
6 #property copyright "Copyright 2011, Zarko Asenov"\r
7 #property link "http://jaltoh.6x.to"\r
8 \r
9 #property indicator_chart_window\r
10 #property indicator_buffers 3\r
11 #property indicator_color1 DeepSkyBlue\r
12 #property indicator_color2 DeepSkyBlue\r
13 #property indicator_color3 DeepSkyBlue\r
14 #property indicator_width1 2\r
15 #property indicator_width2 1\r
16 #property indicator_width3 1\r
17 #property indicator_style2 STYLE_SOLID\r
18 \r
19 //--- input parameters\r
20 extern double Q = 0.022;\r
21 extern double R = 0.617;\r
22 extern int Num_Bars = 25;\r
23 extern int Num_Sub_Bars = 64;\r
24 \r
25 extern int Sub_Time_Frame = PERIOD_M1;\r
26 extern double Error_Weight = 2.0;\r
27 \r
28 extern bool Self_Correct = true;\r
29 extern int Num_Cycles_Bar = 4;\r
30 extern double Scatter = 33.3;\r
31 \r
32 extern bool Verbose = false;\r
33 \r
34 \r
35 //--- buffers\r
36 double ExtMapBuffer1[];\r
37 double ExtMapBuffer2[];\r
38 double ExtMapBuffer3[];\r
39 \r
40 \r
41 \r
42 double x_est_last;\r
43 double P_last;\r
44 //the noise in the system\r
45 \r
46 double K;\r
47 double P;\r
48 double P_temp;\r
49 double x_temp_est;\r
50 double x_est;\r
51 \r
52 int iter_ctr;\r
53 double sum_error_kalman;\r
54 double median_error_kalman;\r
55 datetime prev_subbar_time;\r
56 double prev_sum_error_kalman = 0.0;\r
57 \r
58 double used_q;\r
59 double used_r;\r
60 double next_q;\r
61 double next_r;\r
62 double adj_scatter;\r
63 \r
64 //+------------------------------------------------------------------+\r
65 //| Custom indicator initialization function |\r
66 //+------------------------------------------------------------------+\r
67 \r
68 double subbars_period;\r
69 double inv_subbars_period;\r
70 \r
71 int init()\r
72 {\r
73 //---- indicators\r
74 SetIndexStyle(0,DRAW_LINE);\r
75 SetIndexBuffer(0,ExtMapBuffer1);\r
76 SetIndexStyle(1,DRAW_LINE);\r
77 SetIndexBuffer(1,ExtMapBuffer2);\r
78 SetIndexStyle(2,DRAW_LINE);\r
79 SetIndexBuffer(2,ExtMapBuffer3);\r
80 SetIndexEmptyValue(0, 0.0);\r
81 SetIndexEmptyValue(1, 0.0);\r
82 SetIndexEmptyValue(2, 0.0);\r
83 //----\r
84 prev_subbar_time = 0;\r
85 \r
86 used_q = Q;\r
87 used_r = R;\r
88 next_q = Q;\r
89 next_r = R;\r
90 \r
91 // init_kalman( iClose(Symbol(), Period(), Num_Bars * Period() / Sub_Time_Frame) );\r
92 \r
93 adj_scatter = Scatter;\r
94 \r
95 subbars_period = Period() / Sub_Time_Frame;\r
96 inv_subbars_period = 1.0 / subbars_period;\r
97 \r
98 return(0);\r
99 }\r
100 //+------------------------------------------------------------------+\r
101 //| Custom indicator deinitialization function |\r
102 //+------------------------------------------------------------------+\r
103 int deinit()\r
104 {\r
105 //----\r
106 Comment("");\r
107 //---Commen\r
108 return(0);\r
109 }\r
110 \r
111 \r
112 void\r
113 init_kalman(\r
114 double init_value)\r
115 {\r
116 //initial values for the kalman filter\r
117 \r
118 //initialize with a measurement\r
119 x_est_last = init_value;\r
120 P_last = 0.0;\r
121 \r
122 sum_error_kalman = 0.0;\r
123 median_error_kalman = 0.0;\r
124 iter_ctr = 0; // for median\r
125 }\r
126 \r
127 double\r
128 do_kalman(\r
129 double value, \r
130 double train_val,\r
131 double q, \r
132 double r)\r
133 {\r
134 //do a prediction\r
135 P_temp = P_last + q;\r
136 \r
137 //calculate the Kalman gain\r
138 K = P_temp / (P_temp + r); \r
139 \r
140 //correct\r
141 x_est = x_est_last + K * (value - x_est_last); \r
142 P = (1.0 - K) * P_temp;\r
143 //we have our new system\r
144 \r
145 if (train_val != 0.0) {\r
146 double abserror = MathAbs(train_val - x_est);\r
147 sum_error_kalman += abserror;\r
148 \r
149 median_error_kalman = median_error_kalman * iter_ctr + Error_Weight * abserror;\r
150 median_error_kalman /= (iter_ctr + Error_Weight);\r
151 iter_ctr++;\r
152 }\r
153 \r
154 //update our last's\r
155 P_last = P;\r
156 x_est_last = x_est;\r
157 \r
158 return (x_est);\r
159 }\r
160 \r
161 double\r
162 do_cycle(int start_bar, int end_bar, double q, double r, double reference_value)\r
163 {\r
164 double est = 0.0;\r
165 sum_error_kalman = 0.0;\r
166 \r
167 for (int i = start_bar; i >= end_bar; i--) {\r
168 double hist_val = iClose(NULL, Sub_Time_Frame, i);\r
169 est = do_kalman(hist_val, reference_value, q, r);\r
170 }\r
171 \r
172 return (est);\r
173 }\r
174 \r
175 \r
176 void\r
177 incr_coef(\r
178 double &qr_coef, \r
179 double &prev_qr_coef)\r
180 {\r
181 if (prev_qr_coef == 0.0) return;\r
182 \r
183 qr_coef = prev_qr_coef + (prev_qr_coef / adj_scatter);\r
184 }\r
185 \r
186 void\r
187 decr_coef(\r
188 double &qr_coef, \r
189 double &prev_qr_coef)\r
190 {\r
191 if (prev_qr_coef == 0.0) return;\r
192 \r
193 qr_coef = prev_qr_coef - (prev_qr_coef / adj_scatter);\r
194 }\r
195 \r
196 #define INCR_R_COEF 0\r
197 #define DECR_R_COEF 1\r
198 #define INCR_Q_COEF 0\r
199 #define DECR_Q_COEF 1\r
200 \r
201 int last_r_adj = INCR_R_COEF;\r
202 int last_q_adj = INCR_Q_COEF;\r
203 \r
204 \r
205 void\r
206 filter_bar(int index)\r
207 {\r
208 double est = 0.0;\r
209 double ref_value = Close[index];\r
210 \r
211 used_q = next_q;\r
212 used_r = next_r;\r
213 \r
214 est = do_cycle( Num_Sub_Bars + index * subbars_period, index * subbars_period, used_q, used_r, ref_value);\r
215 \r
216 if (Self_Correct == true) {\r
217 \r
218 if (sum_error_kalman < prev_sum_error_kalman) {\r
219 \r
220 if (last_q_adj == INCR_Q_COEF) incr_coef(next_q, used_q);\r
221 else decr_coef(next_q, used_q);\r
222 \r
223 if (last_r_adj == INCR_R_COEF ) incr_coef(next_r, used_r);\r
224 else decr_coef(next_r, used_r);\r
225 \r
226 } else if (prev_sum_error_kalman < sum_error_kalman) {\r
227 \r
228 if (last_q_adj == INCR_Q_COEF) decr_coef(next_q, used_q);\r
229 else incr_coef(next_q, used_q);\r
230 \r
231 if (last_r_adj == INCR_R_COEF) decr_coef(next_r, used_r);\r
232 else incr_coef(next_r, used_r);\r
233 \r
234 } else {\r
235 next_q = used_q;\r
236 next_r = used_r;\r
237 }\r
238 \r
239 prev_sum_error_kalman = sum_error_kalman;\r
240 \r
241 } \r
242 \r
243 if (est > ref_value) {\r
244 ExtMapBuffer1[index] = est;\r
245 ExtMapBuffer2[index] = est - median_error_kalman;\r
246 ExtMapBuffer3[index] = 0.0;\r
247 \r
248 if (ExtMapBuffer2[index + 1] == 0.0) {\r
249 double prev_err = ExtMapBuffer3[index + 1] - ExtMapBuffer1[index + 1];\r
250 ExtMapBuffer2[index + 1] = ExtMapBuffer1[index + 1] - prev_err;\r
251 }\r
252 \r
253 } else {\r
254 ExtMapBuffer1[index] = est;\r
255 ExtMapBuffer2[index] = 0.0;\r
256 ExtMapBuffer3[index] = est + median_error_kalman;\r
257 \r
258 if (ExtMapBuffer3[index + 1] == 0.0) {\r
259 prev_err = ExtMapBuffer1[index + 1] - ExtMapBuffer2[index + 1];\r
260 ExtMapBuffer3[index + 1] = ExtMapBuffer1[index + 1] + prev_err;\r
261 }\r
262 \r
263 }\r
264 \r
265 }\r
266 \r
267 //+------------------------------------------------------------------+\r
268 //| Custom indicator iteration function |\r
269 //+------------------------------------------------------------------+\r
270 int start()\r
271 {\r
272 //----\r
273 int counted_bars = IndicatorCounted();\r
274 int limit = Bars - counted_bars - 1;\r
275 if (limit < 0) return (0);\r
276 if (limit > Num_Bars) limit = Num_Bars;\r
277 \r
278 //----\r
279 if (limit == 0) { \r
280 if (prev_subbar_time == iTime(NULL, Sub_Time_Frame, 0)) return (0);\r
281 else prev_subbar_time = iTime(NULL, Sub_Time_Frame, 0);\r
282 }\r
283 \r
284 for (int i = limit; i >= 0; i--) {\r
285 init_kalman( iClose(Symbol(), Sub_Time_Frame, (i + 1) * subbars_period - 1) );\r
286 \r
287 for (int j = 0;j < Num_Cycles_Bar; j++) filter_bar(i);\r
288 }\r
289 \r
290 if (Verbose == true) {\r
291 Comment(\r
292 "\n\nTotal error this bar: ", sum_error_kalman, " (", iter_ctr," bars) \n",\r
293 "Last bar median weighted Kalman error: ", median_error_kalman, "\n",\r
294 "Q:",used_q," R:",used_r," \n",\r
295 "Prediction: ", x_est, "\n");\r
296 } \r
297 \r
298 return(0);\r
299 }\r
300 //+------------------------------------------------------------------+