Ok, thanks. I was actually looking for a way to make it less responsive, not more responsive. From your explanation, it sounds like my control should be the price in the past. Is that right?
On Sun, Oct 24, 2010 at 7:43 PM, Astor <[email protected]> wrote: > Looks good. The filter can be made a bit more responsive by using the > constructor and methods which allow "control". > > The term "control" is really misleading. The "control" is simply new > information that influences the forecast. Using EMA analogy, if EMA(t) = > EMA(t-1) + K*[X(t) - EMA(t-1)], then X(t) is the "control" in this equation. > Why the name "control"? In some applications, such as missile guidance, X(t) > may represent thrust added at each time t by the targeting computer to > control the missile trajectory. > > If control is omitted then the prediction stage is run as simple > auto-regression and X(t) enters at the correction stage. If control is > included, then X(t) enters at both, prediction and correction stages, > causing filter to respond quicker. > > For price data from Eugene's test, control is the new price at time t and > the constructor should be: > > *JKalman kalman = new JKalman(1, 1,1);* > > and predict method: > > *s = kalman.Predict(price);* > > > > > > > > > > ------------------------------ > *From:* Eugene Kononov <[email protected]> > *To:* [email protected] > *Sent:* Sat, October 23, 2010 9:41:14 AM > > *Subject:* Re: [JBookTrader] Re: Status of Kalman filter? > > Based on Astor's comments, I made some changes to the indicator. From the > attached chart, it looks like it's doing a good job. > > > -- > You received this message because you are subscribed to the Google Groups > "JBookTrader" group. > To post to this group, send email to [email protected]. > To unsubscribe from this group, send email to > [email protected]<jbooktrader%[email protected]> > . > For more options, visit this group at > http://groups.google.com/group/jbooktrader?hl=en. > > -- > You received this message because you are subscribed to the Google Groups > "JBookTrader" group. > To post to this group, send email to [email protected]. > To unsubscribe from this group, send email to > [email protected]<jbooktrader%[email protected]> > . > For more options, visit this group at > http://groups.google.com/group/jbooktrader?hl=en. > -- You received this message because you are subscribed to the Google Groups "JBookTrader" group. To post to this group, send email to [email protected]. To unsubscribe from this group, send email to [email protected]. For more options, visit this group at http://groups.google.com/group/jbooktrader?hl=en.
